First sacred cow: "If the trend started, it will continue" - page 48
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
As for "made-up", of course the subtraction (exclusion, elimination) of MA from quote values is not the best way to bring
to stationarity, but the autocorrelation function for EURUSD((O+H+L+C)/4)-MA(5) gives some encouraging results:
as we see, ACF rapidly decreases and after 6.7 samples its value can be considered equal to zero.
just about stationarity, at least specifies that the given invert.
is not hopeless to search for more significant stationarity
ACF should be considered for the increments without using averaging (MA) because dependence on previous values is in the formula for MA. For example, MA(5) for two adjacent bars contains 4 identical values in calculation, while they differ only by one. That is why it is difficult to draw any conclusions on ACF with MA. By definition, the AFM is autocorrelated.
Low autocorrelation does not indicate the stationarity of the series.
It decreased after the 6th count because you took MA(5). Take the first price difference and the autocorrelation will die after the first count. The first difference can conditionally be considered stationary. Well, what will you do with this stationarity as it cannot be traded? What does it say? That the price is a random fluctuation and there are no trends there.
Right, but it will indicate that a Box-Jenkins moving average predictive model is appropriate. :)
Right, but it would indicate that a Box-Jenkins moving average predictive model would be appropriate. :)
If you look closely at the graphs I posted in this thread, you can see the parameters of the predictive model and
it's using an autoregressive, moving average model where the autoregressive
takes into account non-stationarity and moving average takes into account stationarity.
Just because you "see" a trend in history does not mean there was a trend. The human brain is so built that it tries to find order where there is none. In order to identify a trend in a time series, you need to know why you expect the trend to be there. Explanations such as "I see it" or "I drew a zig-zag" do not apply, as they do not explain anything.
Draw a random walk, you will see the beginning of the trend, its end, the beginning of a new trend. Put a zig-zag on it and you get a pack of trends. But they are not there by definition, all these trends are glitches of the imagination.
ZZ is for pure theorists. Trending has a purely physical basis in the crowd and has nothing to do with our exercises. The whole bazaar confuses trend as a fait accompli and trend prediction as a pipe dream. And trends have been and will be.
убывание как раз и говорит о стационарности, по крайней мере указывает что приведенное преобр.
не безнадежно для поисков на предмет более значимой стационарности
The rapid decay of the ACF says nothing about stationarity. It's just a fast decay. Learn the math.
2 timbo:
Draw a random walk, you will see the beginning of a trend, its end, the beginning of a new trend. Put a zig-zag on it and you get a bunch of trends. But they are not there by definition, all these trends are glitches of the imagination.
Well, no, not glitches, of course: they are in history. It's just that these phenomena cannot be used long term and profitable in real trading (even if there are no spreads, slippages, etc.).
The rapid decay of the ACF says nothing about stationarity. It's just a fast decay. Learn the math.
I'm trying :)
ZZ - это для чистых теоретиков. Трендэ имеет чисто физическую основу в толпе и не имеет никакого отношения к нашим упражениям. Во всем базаре путают тренд как свершившейся факт и прогноз тренда как несбыточную мечту. А тренды были есть и будут
A trend is precisely a forecasting opportunity. A trend as a "fait accompli" is a figment of the fevered imagination, a reading of coffee grounds, there are many things you can see with a fertile imagination, too. There are and will be trends, but not in the financial markets.
ZZ is for pure theorists. Trending has a purely physical basis in the crowd and has nothing to do with our exercise. The whole bazaar confuses trend as a fait accompli and trend prediction as a pipe dream. And trends are and will be.
ZZ is a tool and it all depends on how you apply it.
Mathemat
Let me speak on this subject.
I believe there are no trends in forex, it's just a money game.
And there is only one way to make profit, good money management.
All entries/exits are pure chance.надеюсь
On what?