a trading strategy based on Elliott Wave Theory - page 231

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Started reading the dissertation. Very interesting in general, especially about patterns. But there are a number of misunderstandings. Maybe someone with a background can explain it to me? First of all it is not clear what is a continuous function. After all we have discrete time and discrete values of functions. How we can talk about continuity/discontinuity here, frankly speaking, is not very clear to me. If I were the author, I would probably consider everything continuous. Question, what is the point of considering the case of limits on the left ? <br / translate="no">


Time is continuous. The price value does not change from the arrival of a quotation until the arrival of the next one. Therefore the price function at the arrival point of the quote has a discontinuity of the first kind - it is continuous on the left and has a limit on the right.

Function f(x) is continuous on the left side at the point x0 if for any epsilon>0 we find such delta>0 that the inequality |f(x0-delta) - f(x0)|<epsilon is satisfied. Similarly on the right-hand side. A function is continuous at x0 if it is defined at that point and continuous on the left and on the right. Unless, of course, I have forgotten something.
 
Yurixx, in that case it's not very clear why we should consider continuous functions at all... In general it seems to me that the author messed up a bit with continuity. Well, maybe it's just a heavy legacy of professional mathematics...
Folks, here's a question. If anybody already wrote kagi-renko based on dissertation, what you used, continuous or discontinuous algorithms ? So far it seems to me that we should limit ourselves to continuous.
One more thing. To what extent does the author's H-buildings differ from classical kagi and renko ? Unfortunately I don't know the classical definitions. Only it seems to me (from what I read on the spider) that the classical renko is the sequence r(0)... r(n), from which he then extracts pairs in which the sign changes. Why do I ask, because he writes quite vaguely. I could explain it in a much simpler way. But I have to literally cut through the road with an axe, a flamethrower and some kind of mother. That is why I would like, at least for basic construction, to read something more lucid.

P.S. Regarding generic software. People, how do you like the idea of switching to matlab? After all, it's an absolutely common tool. I've got MathCad 13 and saw how much clearer and more convenient it is. The only drawback is that it's much heavier. I've got 2.5 g instead of 122 meg occupied by MathCad 13. But it has literally everything. And a bunch of packages are distributed freely and for free.
 
to grans
My understanding is that you need to make adjustments to the model for this case. Simply replacing the commission with the spread will not fit the correct model.


Sergey, you are wrong. Such a substitution is quite adequate.

So, has anyone tried to derive this proof on their own?


Follow your advice and derive the proof yourself. We will appreciate it.

to eugenk 25.01.07 00:08

The author of the paper, by sticking to strict mathematical language, has one and only one goal - to be rigorous in the mathematical sense. This, in turn, guarantees us maximum consistency of the author's results with reality.
Using the class of continuous functions in his constructions, Pastukhov shows us the mechanisms of construction and operation of his proposed constructions as simply and vividly as possible. Turning to the class of piecewise monotone functions, he shows how a real price can behave at turning points and what to do if the next quote, for example, "jumped over" the discretization level (size of a brick).
Basically it is useless to find out now, classically or otherwise, if the author sets Renco and Kagi algorithm, because we are discussing HIS strategy and we will use his constructions.

About math support. When we considered Excel's inadequacy for our tasks, we have concluded that we should switch to Mathcad platform. In this sense Mathlab is not less good and adequate, sometimes even redundant application. You are welcome to use it.

Northwind noted in one of his messages, that the thesis does not contain the arbitrage definition ( http://forum.fxclub.org/showthread.php?t=32942&page=9 18.12.2006, 10:46), i.e. the criterion according to which one can clearly define: one can or can not get a stable income with the existing brokerage companies commission.
See the paper on p.64, Assertion 2.1.1.
Obviously the strategy is profitable if the right hand side of the inequality is greater than zero. By neglecting the last term in the right side of the inequality due to its smallness, we obtain the arbitrability condition:
|nt-2H|/Spread>1, where nt is the total length of the zig-zag (in points) related to the number of links (breaks), or the average length of a link. H - discreteness of partitioning (in points). Spread is the DC commission (in points).
For example, if nt-2H>0, we should use H+-strategy (open towards price movement), if nt-2H<0, we should use H-strategy (open against price movement).
All of the above is also true for the Renko-build.
So now that we have the Renko and Cagy algorithm, we can begin to analyze the marginalities of available financial instruments!

I ask everyone to share their opinions.
 
Neutron, thanks ! I.e. when applied to real discrete quotes we can assume that the function is continuous if the increment is not large (say delta < H/2), and discontinuous with a limit to the left if delta > H/2. Am I right ? Regarding classical definitions I was asking simply in the sense of whether something worth reading as an introduction, to make it easier to understand the author. But now I realised that I probably shouldn't.
 
DO NOT SLEEP!

Neutron, thanks ! I.e. when applied to real discrete quotes we can assume that the function is continuous if the increment is not large (say delta < H/2), and discontinuous with a limit to the left if delta > H/2. Am I right ?


I think so, but I won't give the tooth away.

Here, Pastukhov on page 68 has a clear definition of the arbitrage market criterion:



This is fully consistent with what we got ourselves, if we put K(H)=nt/H, we have:
|nt-2H|/Spread=|K(H)-2|H/Spread>1 or |K(H)-2|H-Spread>0.
That's a joy!

Who and how far along are the renko and kagi constructions? Need help - I can post matkad files with codes.
 
Who and how far along are you in renko and kagi building? If you need help, I can post matcad files with codes.


When I started to handle this thesis in details, then, after a short struggle, I understood, firstly, the difference between kagi and renko (till then I've never encountered them), and secondly, that the zigzag I wrote 1.5 years ago, which I started my market research with, is none other than described by Pastuhov kagi. The only consolation is that it was invented before Pastukhov, "in 18th century" ("Captive of the Caucasus") :-)) I can lay out the code.

In general, I wanted to calculate something on EURUSD ticks. I`ll probably finish it today and then we`ll see.
I think that renko may be practiced too, but only for the sake of completeness.

Everyone, please have your say.

I have already said my opinion about it. And what I wanted to calculate will just give me an opportunity to estimate these failures.
By the way Sergey, don't you know what number is in the first column of the Gain Capital table?
Here is a sample line: 191306362,EUR/USD,2006-01-02 19:00:23.000,1.181000,1.181500,D
The first number 191306362 what is it ? And at the end it appears to be Bid,Ask,D ?
 
I don't know - I haven't used it.
I think it's a through time in seconds from some year...
 
<br / translate="no"> ...Here is a sample line: 191306362,EUR/USD,2006-01-02 19:00:23.000,1.181000,1.181500,D
The first number 191306362 what is it ? And at the end it appears to be Bid,Ask,D ?

just the order number of the tick, among all DC ticks, irrespective of currencies.
 
<br / translate="no"> ...So, we can now, with the Renco and Cagi algorithm in hand, start analyzing the margins of the currency instruments at our disposal!

Please let everyone have their say.

The currency instruments in the dissertation have already been studied, the conclusions are not encouraging.
 

...Таким образом, мы уже сейчас, имея на руках алгоритм ренко и каги-построений, можем приступить к анализу маржинальности имеющихся в нашем распоряжении валютных инструментов!

Прошу всех высказаться.

The currency instruments in the dissertation have already been researched, the conclusions are not encouraging.


It seems to me that kagi/renko-patterns are much more interesting... Although I read the first time very cursorily, just to familiarise myself with it. I only started studying it in detail the day after yesterday.
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