Market etiquette or good manners in a minefield - page 9
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Putting on the rose-coloured glasses of incorrigible optimists, let's start the analysis of the received data on several pairs!
For this purpose let's take the daily data from the Alpari DC archive and calculate the daily volatility of the instruments. Knowing the predictability parameter of each instrument p, let's find all necessary values of input values for the optimal MM. To do this, on each histogram, we select the area where there is a "sure" excess of the blue bars over the profitability line and correspond this area with the values of p and Hopt, and find Lopt using the third formula of the previous post. This is what we get:
We can see that EURUSD is not the most attractive by the characteristic time of deposit doubling (as much as three years), which is to be expected, because this instrument does not have the highest rate of predictability of quotient behavior, while it is included in the rate of return, as much as in degree 4! Hence, the result is not so impressive. And the optimal value of the leverage - L, can't be called big - only 3... No, it's not our tool! Pairs from the first five look much more attractive. They have deposit doubling time near a month, and trade horizons at the level of 50-150 points, and the "leverage" look more attractive - 10-20.
Here, of course, I need to put some straw on the ground. In estimating the predictability parameter no assumption was made about its non-stationarity in time, and the area itself, allows some arbitrariness in the choice of p (more or less). In fact, stationarity does not look far-fetched as the parameter p was estimated by the limit NS to be retrained at every transaction (step) and it can be assumed that the change of market mood (hidden patterns in the quotient) will be inevitably traced by this NS, i.e. we can expect a quasi-stationarity in the parameter p. The final answer about acceptability of this assumption will be given by the MTS testing based on the algorithm. There are absolutely no pairs, such as EURAUD, CHFJPY, etc. (see the end of the list in the table). (see the end of the list in the table) to work with them is possible, but considering the speed of deposit growth and the value of trading horizons, it's not considered reasonable.
I wonder if there is someone trading long time and having enough statistics to work with these instruments, may confirm or reject conclusions obtained with this hypothesis?
The doubling was counted in points ?
No, not in pips, but in deposit currency (the fourth formula in the figure) and, to be quite precise, not doubling, but changing in e-fold (but that's between us).
By the way, knowing the optimal leverage size - L and average size of the bribe - H, you can estimate from below the minimum deposit size - Kmin when working with this or that instrument... From below, because we don't know the true distribution of the size of bribes and can only estimate under the normal law.
Below is a file with daily open prices of all the instruments during the year. The first line is the name, the second is the commission, and the third is p.
Neutron, can I order you a study on the elasticity of instruments?
Упру́гость (эласти́чность) — свойство вещества оказывать влияющей на него силе механическое сопротивление и принимать после её спада исходную форму. Противоположность упругости называется пластичность.
my intuition tells me that EURUSD is not attractive because these are the two most elastic currencies.
ZS no kidding, I think we cancreate an indicator onthis
Neutron, can I order you a study on the elasticity of instruments?
my intuition tells me that EURUSD is not attractive because these are the two most resilient currencies
I'm not kidding, I think you can create an indicator on this
if you write a formula for calculating this elasticity for kotier. There will be a minimum of work. Collecting and running the statistics is no problem. I already have everything ready for it in Matkad. I do a lot of formulas myself, so it's just a matter of checking them.
If you write a formula for calculating this elasticity for a cotier. There is a minimum of work to be done. Collecting and running the statistics is no problem. I already have everything ready for that in matcadet. I often check various forlulas myself, so it's just a matter of
I'm a Neanderthal.)
For me it's much more complicated than picking on a spectrum.
The basic system of equations for solving this problem is six equations of statics, three of which are automatically satisfied (if there are no so-called momentary stresses in the body). The remaining three contain the six unknown components of the stress tensor. The so-called continuity equations are used to close the system. Indeed, if a body remains solid in the process of deformation, then the deformation (strain tensor) cannot be independent. Mathematically, this reflects the simple fact that the nine components of deformation (constituents of the deformation tensor) depend on three functions - constituents of the displacement of a solid point. The six joint strain conditions and generalised Hooke's law enclose the problem of elasticity theory.
I, too, am a neanderthal. I don't do strength and resilience. If someone were to translate this paragraph into understandable language (preferably in forex terms), maybe something would come out. And so it seems to be written in Russian, but ...
In our case the problem is reduced to one-dimensional and it is not necessary to consider tensors (we leave them for three-dimensional space). The medium can be characterized by plasticity (elasticity) and goodness of fit, which is the inverse of the energy loss per unit time. The first characterises the property of matter to resist in response to a forcing force and the second characterises the ability to dissipate (absorb) this perturbation. In principle, the arrival of each tick, can be considered as a one-dimensional perturbation of the medium and by the nature of its relaxation in time (response) can be qualitatively judged the magnitude of plasticity and the presence of desipative losses. Already at this stage, we can note the presence of weak elasticity characteristic of all instruments in the market (property of antipersistence) - the quotient in response to a sharp jump of price usually rolls back (Hurst index <1/2 and/or correlation coefficient between neighboring samples in the series of the first difference <0), but not to the initial level, but to the level of 1/2 or so indicating the presence of noticeable desipative forces that dissipate the energy of perturbing impulse. If these forces were absent, the kotyr would hang around indefinitely after the perturbation. In reality, however, the transition process typical of a system with low energy losses is almost never observed on the kotyr - the perturbation fades out before it reaches the initial level.
One can quantitatively estimate these values studying the behavior of the Hurst index for a chosen symbol - analog of elasticity/plasticity and gathering statistics on the pullback levels after the news arrival - analog of goodness of fit.
It seems to me that comparing a quotient to a string oscillating in a medium with friction is a more adequate model than simply introducing an elasticity analogue for a one-dimensional infinite string.
It might then be useful to plot the goodness of an instrument against the time of day (trading session) on the basis of statistics
I made an assessment of the predictability of p (ordinate axis) financial instruments available in the quotes archive of Alpari. The calculation was performed for different trading horizons expressed in points (abscissa axis):
Hello Neutron, I would like to ask you some questions about NS that I can't figure out myself, but in this thread it would be an obvious off-topic. Where would you be comfortable answering my "childish questions"?
Respectfully.