Random Flow Theory and FOREX - page 80
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faa, you show me what youractual practical results are, which you achieved using the miracle packages.
You do realise that the test run is as far from the real results as earth and sky...
It may be a test run... The question is whether it's a forward or not.
forward or not, it doesn't matter. Because forward is also a toy (a little more advanced, but a toy!), very far from reality.
Happy New Year 2013 to all !!!
In the good old tradition, I'm posting a present.
A little explanation for it. There's an awesome article here https://www.mql5.com/ru/articles/1573 but its practical use is hampered by the fact that America gives these reports with a 24-hour delay. At the same time it works great in the Russian market. I made a short video for 20 minutes. Look at it, I've tried to explain in simple language, and most importantly, show how to trade using the Open Interest analysis ....
Merry Christmas to all !!!
More links to my videos
how to set up Open Interest https://www.youtube.com/watch?v=lvtjJjZ8hhQ
Video of real trading, with explanations of what is how and why... want to see pips ? watch
Three part scalping RTS index, 30 minutes of real trading sliced into parts, result +5%.
https://www.youtube.com/watch?v=mLSPpLglA8g
https://www.youtube.com/watch?v=Xj8Wp7dQXrc
https://www.youtube.com/watch?v=aWOeYyKvBJQ
video how to set up this betting markethttps://www.youtube.com/watch?v=Rh6IJPGiL84
Z.I. The attentive will find 1 more present, but for that you need to dig under the tree (read the site) and unwrap it. It's a joint project with Moroshkin, it's cooler than a tiki story there ...
You are wrong. I will try to write briefly about what it is.
It is not a question of my being right or yours.
We have absolutely different approach. I am not interested in algorithm of filter calculation. I am interested in using this filter, which is not a simple task at all. Perhaps you will need to know its calculation algorithm when using the filter, but agree that in this case there is no discussion of the calculation algorithm itself. Moreover if I take ready-made code, e.g. EViews, over 20 years of its use thousands of smart guys fished out all bugs and removed all questionable points I can just trust. At any rate, when using off-the-shelf code I can get results that don't contradict similar ones.
1. You are right that the procedure of calculating the Kalman filter is known and has been known for a long time. The order of calculation and formulas themselves are given here in a branch (I even laid out two ways, depending on a priori data how to count these matrices), but...pay attention 4 years as lay, and not a single implementation is not laid out in code base....just ask yourself why ? (although I could be wrong it's been a long time since I looked there) but what they sometimes send me on Skype can hardly be called a competent solution...
2. in order to use this filtering procedure correctly, you need to understand it, really understand how it works, otherwise you get nonsense.
With my approach, there is no problem using the Kalman filter per se. There is the problem of using the model within which the Kalman filter is used. This is a very widely used state-space model in economics, in which the output depends not only on the input, but also on some state of the model. Yes the matrix problem remains, but it becomes meaningful because it is part of the model, which is the core of the TS.
.
Again. "Everything before us has been stolen" and God forbid we should be able to use what we already have. The packages I have named are: EViews and R. The composition of the R package has been laid out. Kodobobase has a wrapper for R. Free package. The de facto standard in the application of statistics in economics.
I started posts on econometrics a year ago, hoping to grow a MQL-like hangout. You are one of the potential candidates and it is with great regret that I look at your attempts to answer questions for which the answer has long been known.
Sorry for taking so long to reply. Just now read the thread and saw the post, I'm trying to clarify as best I can. I will try again, but with a different example. The Kalman filter must not be treated in this way. "...I'm not interested in the algorithm of filter calculation, I'm interested in using this filter, which is not a simple task at all...". That is why most people have difficulties using it. Let me explain - everyone can use a television, like press a button, the channel switches over... but what to do when the television is broken....
BUT YOU are the master, you create a trading system.... it's broken...who do you take it to, who will fix it for you if you're not interested and don't know how it works, how are you going to create it at all ?
About the different packages, wrappers, etc. There are a lot of them, it's not enough to study and test them. Knowledge of MathCad andMathLab is enough for me.
Here is an example of how Kalman filter is calculated in MathCad....
The only thing you need to do is to set all these matrices correctly, which is impossible without understanding the whole process. Although, no, I'm lying, the probability is roughly equal to the one that a monkey will print Eugene Onegin by hitting the typewriter keys at random...
This phrase is not quite correct. "...Your attempts to answer questions, the answer to which has long been known...". I do not know a lot, much is unknown to me, and covered with mystery. And that's great, there is something to study, learn, etc. Analysts from Quantum flew to me recently, it was thanks to this thread that they found me. Consulted on the application of Colman filtering forS&P500forecasting . Next time I will send them to you, the answers have been known for a long time ... and we are still racking our brains :-)
That's how it is. Do not take it personally. You mustn't be angry. After all, in essence, the main thing is not the goal and the path by which we go to the goal, and the process ...
You go, you move towards your goal, do not turn away from the path, I've already said, and will repeat there is light at the end of the tunnel, and the road can only do the going ...
Greetings again, health, happiness, good luck and all will be well!
https://www.youtube.com/watch?v=GF2FplBH3_0&feature=player_embedded
I apologize for not answering for a long time. Only now I read the thread and saw the post. I try to explain as much as I can. I will try again, but with another example. The Kalman filter must not be treated in this way. "...I'm not interested in the algorithm for calculating the filter. I'm interested in using that filter, which is no easy task at all..." That is why most people have difficulties using it. Let me explain - everyone can use a television, like press a button, the channel switches over... but what to do when the television is broken....
BUT YOU are the master, you create a trading system.... it's broken...who do you take it to, who will fix it for you if you're not interested and don't know how it works, how are you going to create it at all ?
About the different packages, wrappers, etc. There are a lot of them, it's not enough to study and test them. Knowledge of MathCad andMathLab is enough for me.
Here is an example of how Kalman filter is calculated in MathCad....
The only thing you need to do is to set all these matrices correctly which, however, is impossible without understanding the whole process. Although, no, I'm lying, the probability is roughly equal to the one that a monkey will print Eugene Onegin by hitting the typewriter keys at random...
This phrase is not quite correct. "...Your attempts to answer questions, the answer to which has long been known...". I do not know a lot, much is unknown to me, and covered with mystery. And that's great, there is something to study, learn, etc. Analysts from Quantum flew to me recently, it was thanks to this thread that they found me. Consulted on the application of Colman filtering forS&P500forecasting . Next time I will send them to you, the answers have been known for a long time ... and we are still racking our brains :-)
That's how it is. Do not take it personally. You mustn't be angry. After all, in essence, the main thing is not the goal and the path by which we go to the goal, and the process ...
You go, you move towards your goal, do not turn away from the path, I've already said, and will repeat there is light at the end of the tunnel, and the road can only do the going ...
Greetings once again, health, happiness, good luck and all will be well!!!
https://www.youtube.com/watch?v=GF2FplBH3_0&feature=player_embedded
Please excuse me for some passages in my post which I can attribute to unacceptable polemical witticism.
To put it in a nutshell.
A Kalman filter is like an engine in a car. But to drive (mow greenery), an engine is not enough. Of course, if you build the car yourself, you have to figure out the engine, and if you take the whole car, then in our time, not the time of Volgas and Zhiguli, you don't fix the car yourself.
In econometrics (mathematical statistics in economics) actually only two filters are applied: Kalman and HP. Other filters are not applied, as there are other, more convenient means of smoothing. But the Kalman filter is more than a smoothing algorithm, as it is the core of a very promising State Space Model. This model has a practical purpose, but it's much broader than the Kalman filter. I attach an attachment with a not very good translation of the relevant chapter from EVews.
Looking for a colleague on the forum to team up with to master the state space model. It won't be forex though.
PS. Otherwise I agree with you. "The process is life and the result is death". Zhvanetsky, mid 70's.
Happy New Year, dear Prival!
More links to my videos
how to set up Open Interest https://www.youtube.com/watch?v=lvtjJjZ8hhQ
Video of real trading, with explanations of what is how and why... want to see pips ? watch
Three part scalping RTS index, 30 minutes of real trading sliced into parts, result +5%.
https://www.youtube.com/watch?v=mLSPpLglA8g
https://www.youtube.com/watch?v=Xj8Wp7dQXrc
https://www.youtube.com/watch?v=aWOeYyKvBJQ
video how to set up this betting markethttps://www.youtube.com/watch?v=Rh6IJPGiL84
Z.I. The attentive will find 1 more present, but for that you need to dig under the tree (read the site) and unwrap it. It's a joint project with Moroshkin, it's cooler than a tiki story there ...
Thanks for the Giveaway! Exploring...
Not participating in the 2012 LCHI competition?
More links to my videos
how to set up Open Interest https://www.youtube.com/watch?v=lvtjJjZ8hhQ
Video of real trading, with explanations of what is how and why... want to see pips ? watch
Three part scalping RTS index, 30 minutes of real trading sliced into parts, result +5%.
https://www.youtube.com/watch?v=mLSPpLglA8g
https://www.youtube.com/watch?v=Xj8Wp7dQXrc
https://www.youtube.com/watch?v=aWOeYyKvBJQ
video how to set up this betting markethttps://www.youtube.com/watch?v=Rh6IJPGiL84
Z.I. The attentive will find 1 more present, but for that you need to dig under the tree (read the site) and unwrap it. It's a joint project with Moroshkin, it's cooler than a tiki story there ...
Found the gift, thanks Sergey and really fascinating=)