FR H-Volatility - page 17
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For example, when you trade FX in a bank on the line - then any yield is infinite. For the funds invested directly - zero. (in-line - is when you can make transactions WITHOUT any collateral in the form of margin, GO, etc.).
My belief is easiest to understand - there can be no GRAIL. And you can make money (But it's hard).
Maybe this conversation will go on for a while longer.
I thought, out of the goodness of my heart, that people who think 60% is the limit have some sort of argument...
Yes. There's still a question. Don't think I'm trying to hurt your ego. I'm just trying to understand your position.
There can be nograil (it's apparently about... well, let's say 600% APR). But what makes you think that (however difficult, however super-complex) you can still make money? Where do you see a principled source of information for forecasting to make money? (Or perhaps you mean the occasional temporary earnings with the obligatory drain?)
kniff
Thank you for starting a constructive conversation.
The point is that I approach the analysis of this curve from the point of view of a specialist in the field of radiolocation (military me). And I imagine this curve as a trajectory of enemy's movement (missile, plane). And it is important for me to know where it flies to dodge or on the contrary to cover the defender with my chest. And in methods of analysis of such curves there were no such notions as arbitration, efficiency.
You said it yourself "...it's a property of the distribution of this curve, which is, generally speaking, a speculative construct", but then you twist it again I'm sorry. "...but the results of your various actions over the curve (strategies) are a property of the curve, not strategies. Do you agree?" I disagree with this one, the curve does not have this property, it's my property, I'm a dummy not breathing properly, and the curve doesn't give a damn about that at all.
The discussion of the last few pages of this thread has been all about that. I hope my point of view and posts help me to understand which properties of the flow can be studied and which properties it doesn't have and therefore can't be studied.
My views on the analysis of the curve, I put in another branch of the "Theory of random flows and FOREX", by the way one of the first models that I want to investigate is just written in the form of a system of stochastic differential equations.
P / S / A Just do not such phrases do not "You would not have disgraced at least)) argue with a person who has an average score of 5.0 in the Faculty of Mechanics, and just doing financial mathematics :-D Lol just))) I'm sorry." You don't know who sits on the other side of the monitor, much less their level of knowledge. I've been doing random flow theory for over 10 years now. Better give me a link to the literature where it is proved that Stratonovich integral looks into the future. I would be happy to discover something new.
And with Stratonovich - well, do you mean to say that you do not remember this place of construction of the Stratonovich integral in the literature where the middle of the segment is taken? Or do you understand it, but you don't understand what it is about?
2) industry experience
3) The perception that there are ALWAYS inefficiencies in the market, which of course are then found and equalised, but you could be the one to find and equalise.
For example, when you trade FX in a bank on the line - any yield is infinite. For the funds invested directly - zero. (In-line - is when you can make transactions at all without any collateral in the form of margin, GO, etc.)
My belief is easiest to understand - there can be no GRAIL. And you can make money (But it's hard).
Maybe this conversation will go on for a while longer.
I thought, out of sheer simplicity, that people who believe that 60% is the limit have some argument...
Yes. There's still a question. Don't think I'm trying to hurt your ego. I'm just trying to understand your position.
The grail can't be (it's probably about... well, let's say 600% per annum). But what makes you think that (however difficult, however super-complex) you can still make money? Where do you see a principled source of information for forecasting to earn? (Or perhaps you mean the occasional temporary earnings with the obligatory subsequent drain?)
2) Industry experience
3) Consideration that there are ALWAYS inefficiencies in the market, which of course are then found and equalised, but you could be the one to find and equalise.
I'm not twisting. I'm just making your point.
Here, for example, about experience. It's the kind of thing that doesn't come right the first time. Surely you must have sat at the monitor for hours and accumulated experience... Perhaps your experience can be formalized, integrated into the algorithm and produce a profitable TS.
From here it's a simple development of thought. If we gather the experience of other people and process it all properly ... then we probably could obtain 72%. No?
The same applies to inefficiencies, bifurcation points, random influences, etc. After all, it's all in principle a doable task, albeit a difficult one.
I don't think it's an argument. Rather it would have to be called a point of view, a belief. I'll take that as an answer. Thank you.
>> I'll even get lost and say this: come and join us for currency options on the RTS ;)
Yeah, short us Volatility ))))
History VOL = 3.6%, ready to buy from you VOL. at 4.6% :-D
Your mental simplicity knows no bounds :) Do you think I'm about to tell you "I have megamatdofirmation that you can't earn more than 61.43% a year"? Figures are floating, they say about something else - if all hedge funds of the world make less than 60% and someone makes 600% with a small risk (which we don't know) - then it's a reason to think first of the simple explanations (demo, etc., well they sounded above) and then of the complex (someone smarter than thousands of professionals). Occam's razor, like a trader, so to speak. We have been doubling the deposit, but we understood in time what we have been really doing and after re-fixing the profit we went to some normal business. In fact, the source of profits is low liquidity. And I say: come and see us on the RTS. I'll even go so far as to say: come to us for currency options on the RTS ;)
You see, I am not really interested in where you have gone.
Simply because I see a different source of profit.
Mother of God!!! What's going on in this thread...
I don't think I'd be throwing up too much if I publicly promised not to use the terms from now on:
Distribution function, but talk about the number of events falling in a given interval of the argument.
Arbitrage/Besarbitrage or Market Efficiency/Non-Efficiency (I did not separate these terms) but will talk about the possibility/impossibility to obtain a non-random profit.
What else? Correct as you go!
Well in the end, in order not to play the role of "ideas killer" here I'll tell you a very simple idea, which I used to push in my article here at mql4.ru and which becomes more and more important as my practical trading experience increases: the standard Gaussian model of geometric random walk can be saved from all problems by rethinking of the only one parameter: time. This idea has already been mentioned here, but it's not a sin to repeat it again: look at the tickframe! And the effects like "heavy tails", like "volatility", and many other things will disappear.
Look also: in the picture below the number of calculations of the first difference of BP EUR/USD ticks expressed in points, which are in the interval of pending values of the abscissa axis, is shown in red.
So, where are the missing effects in the form of"heavy tails"? We can also plot"volatility" if you suggest its correct definition to "see" how"much is missing"?
Well enough "about that", let's talk "about that":-)
Look at the fig. The red line on it shows a process, let it be of some interest for us, and the dots show its realization (useful signal + normally distributed CB) that we can work with. We will smooth it out using asimple moving average (black line).
It is clear that we can choose any smoothing window (w), e.g. w=5 - blue dots or w=20 - blue dashed line, etc. It seems obvious that by choosing small values of w, we will get a "sprawling" series, far (vertically) deviating from the original series (red). If we choose large values of w, we obtain a "lagging" series, which deviates far from the original series (horizontal axis). Perhaps there is an optimum in the averaging window width, in the sense of a minimum of the sum of squares of the difference between the original series and the smoothed (S). This is indeed the case! The figure below shows the value of S in o.d.s. as a function of w.
Immediately noticeable is the pronounced minimum of the function (w=9) for this implementation of the process. This averaging window size will obviously provide the minimum deviation of the smoothed function from the useful signal (the black line in the previous fig.). Unfortunately, in reality we are not able to plot and study this difference due to our ignorance of the original signal. Actually, the question is if it is possible to build an adequate estimation for finding the optimal averaging window having only noisy BP in the asset.
Yura, Sergey, what do you think about it?
Look at this: the figure below shows in red the number of calculations of the first difference of EUR/USD BP ticks expressed in pips and falling in the interval of the values set on the abscissa axis.
[...]
So, where are the missing effects in the form of"heavy tails"? You can also plot the graphof "volatility" if you tell me its correct definition to "see" how"many things are missing"?
I noticed the article at the time, but I wasn't yet hooked on p.d.f., and I haven't seen any trading application of these ideas. Even now I don't see much use for trading, but on the other hand I clearly understand what the author of the article wrote at the very beginning (emphasis added):
I will take the liberty to state that few system developers - beginners, as well as some "experienced" ones, ever think that even the simplest indicators of the moving average type, being related to time, are actually different units at different times of day. Of course, there are also systems formulated in terms of price, but not time. A typical example is the renko and kagi systems, but they are in the minority. But, I will repeat, the majority of them are "tied" to time, most often indirectly through indicators.
This is spot on: the very appearance of classic continuous indicators changes significantly after such a conversion. Those who try to build their TS on this, should only make an effort and see how envelopes and Bollinger Bands would look, say, superimposed on such a chart. I suspect that along with the disappearance (or significant thinning) of thick tails and stabilisation of variance (volatility) these indicators will show much more reasonable entries/exits. You won't get a grail, but dealing with simpler processes will also be easier.
Personally, I'm only interested in this chart conversion because the chart itself could potentially become much closer to a Wiener process - with p.d.f. increments very close to those described by Bachelier (+-1 tick at any point in time, regardless of the past). What to do next is the second question.
SK., I understand very well that the tick volumes on Foreh is too dependent on the data provider and its filters. But you can try it, right?
P.S. Yes, it's not a year and a half ago Amir's article appeared, something stuck with me. Must be living in the future...
Mother of God!!! What's going on in this thread...
I don't think I'd be tearing the blanket off myself too much if I publicly promised not to use the terms from now on:
Distribution function, but talk about the number of events falling in a given interval of the argument.
Arbitrage/Besarbitrage or Market Efficiency/Non-Efficiency (I did not separate these terms), but will talk about the possibility/impossibility to obtain a non-random profit.
What else? Correct as you go!
But to crown it all, in order not to play the role of "ideas killer" here I'll tell you a very simple idea, which I used to push even in my article here at mql4.ru, and which has become more and more important as my practical trading experience increases: the standard Gaussian model of geometrical random walk can be saved from all problems by rethinking only one parameter: time. This idea has already been mentioned here, but it's not a sin to repeat it again: look at the tickframe! And the effects like "heavy tails", like "volatility", and many other things will disappear.
Look also: in the picture below the number of first tick difference of BP EUR/USD expressed in pips, which are in the interval of pending values on the abscissa axis, is shown in red.
Well, where are the missing effects in the form of "heavy tails"? We could also plot "volatile volatility" if you tell me the correct definition to "see" how "much is missing".
Where did the ticks come from?
Concerning the volatility - to a large extent what I am saying is taptology, because the price variability (volatility) is directly related to the activity of transactions (the number of ticks) and considering the tickframe you devolalue the chart, go to the so called operational time. Since the data about the traded volatility are closed for us (i.e. someone will find short expiration options - you are welcome, but even the minutiae of them are not freely accessible), so it is difficult to check my statement "directly", only the speculative construct above.