a trading strategy based on Elliott Wave Theory - page 260
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Thanks for constructive comments. Fixed it!
On a side note:
In line
You should write 1.0/(2*K) instead of 1/(2*K) .
This changes the results (increases the sensitivity to the FLFPeriod parameter), but zeroing for any positive K was probably not intended.
Also the Gibbs phenomenon can be dealt with by setting the initial values of the first two elements of the MA array equal to each other.
If the price series is viewed from a mechanical perspective and we try to identify it with an elastic one-dimensional medium, then the time series can be ascribed the property of elasticity. This does not contradict the negative autocorrelation on small timeframes for many instruments. Indeed, any perturbation will most likely be compensated by the reverse price movement, but if the perturbation is long-lasting, the market ignores it, i.e. we can talk about the analog of fluidity (pliability).
In Kagi constructions, we retreat from a local extremum by a fixed number of points and open a position, or we can, for example, open a position when the speed of price movement (the speed is calculated near the local extremum) exceeds some limit. This is somewhat analogous to Kagi constructions, but with respect to the first derivative of the price series over time. The speed or, in other words, the binding to time, is necessary to use the elasticity property as much as possible and avoid the appearance of fluidity.
What do you think? Shall we dig in that direction? I estimate the profitability of this baida to be much higher than for Kagi-builds and it exceeds the spreads with a margin.
In Kagi constructions, we retreat from a local extremum by a fixed number of points and open a position, or we can, for example, open a position when the speed of price movement (the speed is calculated near the local extremum) exceeds some limit. This is somewhat analogous to Kagi constructions, but with respect to the first derivative of the price series over time. The speed or, in other words, the binding to time is needed in order to use the elasticity property as much as possible and to avoid the flow.
I like this idea! With some refinements.
The best measure, in my opinion, that determines if the market will remain in elasticity or if the liquidity threshold will be passed and the price will move to a new equilibrium level, is energy. If we talk about kinetic energy, for example, it is characterised by two parameters, mass and velocity. Therefore, imuls is more important here than just velocity. If correctly, from the point of view of market properties, to define for it the concept of impulse, then already experimentally it is possible to find its value, at which elastic properties of the medium are not enough, its structure breaks and there comes the fluidity. And further the medium will flow until complete dissipation of the energy-momentum, which caused this transition, occurs.
For renko and kagi constructions, in the case of H-strategy we have some value of H price movement upon achievement of which the market turns around more often than goes further. And in the case of H+ strategy - on the contrary. More often - in purely statistical sense, so any of these strategies, at best, gives a small advantage of profit trades over the loss ones, with a huge total number of trades.
If one can measure impulse of the price, then, having determined its critical value, one can decide to reverse or hold a position at corresponding points comparing its value with the critical one. In fact, this is the "trend-non-trend" indicator that will turn the Pastukhov strategy from a very dubious venture into a printing press. And to measure the momentum in such a scheme, all the time the price passes the H range - if one knows what momentum is, that is quite enough. If one knows. :-))
But the speed seems to me to be not enough. It's not uncommon in the market to have very quick spikes that immediately bring the price back up or even start trending in the opposite direction.
Personally, I like this analogy with the mechanics of continuous media better than with electrical circuits.
Thermodynamic system would also be interesting, but capacitances and inductances are something of a stretch. IMHO.
I'll start from afar. Lately I've been leaning towards the idea that a deterministic market model is needed after all. By conventionally dividing the market into such phases as rally, flat and correction, we can hope that it should work well in the second and third cases and serve as a detector of the first. The model is a system of equations, in this sense the choice of analogy is just a choice of a prototype. For example, finding an analogy for capacitance only involves finding quantities related via a relationship such as I = C*dU/dt . If for the same quantities the relation U = R*I is valid, there is every reason to look for additional food for thought in the field, from where these equations are taken.
Let's write down Ohm's law more correctly :) - U(t) = R(I,t)*I(t) . Now we can obtain effects akin to plasticity and elasticity. Now let's write it down even more correctly :) R = R(I,T,t), where T is temperature. Here we have got some way to thermodynamics. Another bridge to thermodynamics is noise.
As for the capacitance analogues, of course the thought of jars immediately arises. Although the corresponding equation might look a little different.
Actually I have some analogies accumulated in my head (breakdown, injection, relaxation, generation, ... and all that :), but the critical concentration for crystallization into candy is not there yet.
Sorry if you took my phrase as a negative review. That is purely my perception - I don't feel any analogy here. Maybe because it is not indicated. Ohm's law, i.e. direct proportionality, is too elementary a relationship for the market. And you have not elaborated further.
I have no doubt that electromagnetism is an extremely rich field and analogies can be found here too.
What does copyright have to do with it? It was said before you, dear, in XVIII century. I think it was Lenin. :-)
Интересный был бы вариант и с термодинамической системой, но емкости и индуктивности - чтой-то не очень. ИМХО.
I agree.
The differential equations describing the oscillations of a system in the presence of dissipation forces are the same in mechanics and in electrical engineering, hence the systems of equations for these processes are similar. Therefore, it makes no sense to talk about which analogy is better. It is more important to identify the laws to which the phenomenon under study obeys, and to describe these laws by a system of difurcations is a matter of technique and time.