ERUUSD spectra - is this proof of non-stationarity? - page 8
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Yes, the spectrum and periods may indeed stand out for certain parts of the history and even this will not be a coincidence. For example, it has been flat recently and it is likely that "important" periods can indeed be found in the increments. But it does not mean that you will find such moments in time and you will be able to profit from them. The same may be for some trend areas. But you will always find this spectrum with a delay and apply it when it has already changed (you will learn about it later). You can find out the moments when the market has changed only after the fact.
The states I've posted say: you cannot optimize the TS on the first 240 bars, because on the next 240 bars it will be losing. Inversely. We know that there are TS that are debugged, optimized on history, and then work some time in the future. Each TS captures some significant and not always realized by the author characteristics of BP, which are then repeated in the future. The SPM is a characteristic of BP and its limitations in not being able to identify windows.
A stable spectrum is when the market has cycles with a constant period with a constant phase change. Cyclicality is a very strict condition, like how day and night on earth are stable in time :) Just periodicity is a less strict condition. It is e.g. when some process has a fixed time period, but it does not have to repeat cyclically - it can start at almost any time. There is cyclicality in volatility and it is related to the different presence of players in the market at different times of the day. But cyclicality in periods of growth/decline, where does it come from? It doesn't exist even on a short sample - it's coincidences.
That's right, there's no cycles on a silver platter.
there is a complex signal... the challenge is to make out what the market is mumbling
What instrument(s)? Let me check it.
I don't need to be specific.
We live on the same planet. Feel the markets.
I.e. is it not rational to use sliding window price filtering because the spectrum is constantly floating? Or is it possible to use adaptive filters? What is the criterion for adapting them?
The spectrum in my stats does not drift - it just differs! If it does, it's tolerable. It means that the TS gradually loses its characteristics and eventually becomes unprofitable. If the trading system is based on the spectrum analysis, it can be recalculated. But one has to be sure that the spectrum is floating and not entirely new.
That's right, there are no cycles on a blue plate.
There's a complex signal. The challenge is to understand what the market's saying.
I don't need to be specific.
We live on the same planet. Feel the markets.
I mean there's nothing to put out... and stop talking to the markets!
Mark Twain:
"I've been an editor for fourteen years and this is the first time I've heard that a person has to know something in order to edit a newspaper. You're a bruv!
Who writes theatre reviews for run-down newspapers? Former cobblers and retired pharmacists who know as much about acting as I do about farming. Who writes book reviews? People who haven't written any books themselves. Who concocts heavy-handed editorials on financial matters? People who have never had a penny in their pockets. Who writes about Indian battles? Gentlemen who cannot tell a wigwam from a wampum, who have never had to run for their lives to escape a tomahawk, or pluck arrows out of their kinsmen to make a fire in a campfire. Who writes heartfelt proclamations about sobriety and shouts the loudest about the dangers of drunkenness? People who will only sober up in their coffins.
Who edits an agricultural newspaper? Root beer drinkers like you? No, mostly losers who have had bad luck with poetry, tabloid novels in yellow covers, sensational melodramas and chronicles, and who have settled on agriculture as a temporary refuge on their way to the asylum.
You're telling me something about the newspaper business? I know it from Alpha to Omaha, and I tell you that the less a man knows, the more he makes noise and the more he gets paid. God knows, if I were a round ignoramus and a brash, rather than a humble educated man, I'd make a name for myself in this cold, unfeeling world.
I'm going, sir. You treat me in such a way that I'm even glad to leave. But I have done my duty."
I mean there's nothing to put out... And stop talking to the markets!
AlexEro wrote >>.
Mark Twain:
I'm leaving, sir. You treat me like this, I'm even glad to leave. But I've done my duty."
sir, go to the garden
There are no sustained frequencies, so spectral analysis really doesn't work.
>> That's funny...
You shouldn't like cats. You just don't know how to cook them!
That's right, there are no cycles on a blue plate.
There's a complex signal. The challenge is to understand what the market's saying.
I don't need to be specific.
We live on the same planet. Feel the markets.
But some...do. Or learn.The spectrum changes all the time - with the arrival of each new bar, in different areas, it's true. That's the difficulty with spectrum application. It is not possible to isolate the carrier frequency, or rather it changes all the time. Here the guy is working on the spectrum of the signal. The poor guy is tossing from side to side. As soon as he finds the carrier frequency and maintains it for some time, the equity goes up. He starts searching again. And so on.......
I also tried to work with indicators based on signal spectrum analysis, particularly SSA, CSSA. I didn't get anything more or less stable either due to the instability of the fucking spectrum.......))))
The spectrum is floating. That's obvious. But sometimes it swims "fast", sometimes "slow". This can mean a very conservative application strategy.
Spectrum by itself is 10-20% of what might be called an attempt to use spectral analysis to build a TS.
If it's no secret, what did you use to estimate the spectrum (power spectral density), at what time resolution, what was the strategy, at what timeframe.
Since you failed, we can probably share the results. Although a negative result is also a result.
For a start, stop confusing periodicity and cyclicity all the time.
The cyclicality is inherent in all repeating processes.
Somewhere on this forum (I don't remember where I was reading diagonally) it was said correctly that a cycle is the market's memory window of an event.
The market remembers some event and there is a cycle, and it naturally fades,
and of course it should start with an event.