Signs of a REAL system - page 23
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From my point of view, this is a haphazard "just in case something happens" approach. Again, you might as well predict the digits in the Pi entry.
With such haphazard approaches, patterns will not be born. It is possible to make a profit without the luck factor. Because you can predict equity (not price) when using a systematic approach. Non-systematic - the chance.
P.S. About the mandatory use of orthogonal indicators - I agree. This is the reason why indicators should not be a derivative of price, as price itself is an indicator.
I don't really understand the meaning of the word "systematicity" as you understand it.
It is for this reason that indicators should not be derived from price, as price itself is an indicator.
I don't know of any others. Name at least one. Without price - astrology or fundamental analysis, which is the same thing.
I included a file in Word 2003 in the archive. This may be the reason why it failed to open.
Let's distinguish between the original BP - the one which comes to the terminal - and its model (processing). I discuss the initial BP and argue that it is the one that has the property of non-stationarity. The proof of non-stationarity is already some models of this initial BP. Any TS deals with this initial BP, transforms it into another form (for example, into a wrecker) and decisions are made on this transformed BP. The whole problem is the lifetime of this transformation: for historical data everything is OK, but the market has changed and in reality we have a different BP and apply to it a transformation that was suitable in the past.
We don't need the entire series, because no one is forcing us to be in the market all the time. Separate, relatively short periods in which BP will have stationary characteristics are quite enough. Roughly speaking, on Thursday from 5 to 7 we have quite stationary price increases. Why do we need to mix up the rest of time? It is correct to determine moments of some local stationarity with stat. advantage from entry point to exit point, rather than trying to determine how stationarity floats on an arbitrary continuous section.
We don't need the whole series, because nobody is forcing us to be in the market all the time. Individual, relatively short periods in which BP will have stationary characteristics are quite sufficient. Roughly speaking, on Thursday from 5 to 7 we have quite stationary price increments. Why do we need to mix up the rest of time? It is correct to determine the moments of some local stationarity with statistical advantage from the entry point to the exit point, rather than trying to determine how stationarity swims on an arbitrary continuous stretch.
Here we go. Knowing what the next section of BP will be is essential knowledge and it is not given to us.
Here we are. Knowing what the next stretch of BP will be is the most important knowledge and it is not given to us.
I don't care what the next section of BP will be if I don't trade on it. I only care about the section between the opening and closing of the position.
I don't care what the next section of BP is if I don't trade on it. I only care about the section between the opening and closing of the position.
Once again: we do not know how to determine the statistical characteristics of the upcoming section, we do not know how to determine anything at all. We have a pattern and the tester has shown that if this pattern has appeared, there will be a profit with the probability > 50%, while the section - stationary or non-stationary - does not matter. The main thing is that the pattern has appeared and we are entering the market.
Once again: we do not know how to determine the statistical characteristics of the upcoming plot, we do not know how to determine anything at all. There is a pattern and the tester has shown that if this pattern has appeared, there will be a profit with the probability > 50%, and it does not matter what the section will be - stationary or non-stationary. The main thing is that the pattern has appeared and we have entered the market.
I don't understand what the spectrum and non-stationarity have to do with it. What does your research prove that it's floating and how it should be considered?
I don't know any others. Name one at least. Without the price - astrology or fundamental analysis, which is the same thing.
Input values for an indicator can be anything other than price: volumes (not ticks, real), prices of other trading instruments.
Stationary, not stationary. Gone is the conversation. Run any volatility indicator through MESA - you will get such stationarity. This is not what we are talking about.
Topic starter! Please put the framework of the topic. That is, calmly and simply: we have got our hands on it or we have created our Expert Advisor. We want to understand its viability in the first approximation. So we subject it to tests: we look at its stability against quotes, changes of parameters, etc.
This is what we are talking about, isn't it? Well, let us not digress from the practical side. And, importantly, the comprehensibility and applicability of the test method.
The input values for the indicator can be other than price: volumes (not ticks, real), prices of other trading instruments.
I don't believe in TS built on this.