Averaging?
If TS (trading strategy) loses on any one instrument out of 1000, can the total result of the same TS not to lose if it works on all these instruments simultaneously?
That is if probability Pi = probability of getting profit on one instrument during certain period of time < 0.5, then what will be equal to probability of "sum" of all on i?
Maybe the Ford is the wrong car?
Should the lady try driving other cars?
Then what is the Nevermind telling us? :)
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If TS (trading strategy) loses on any one instrument out of 1000, can the total result of the same TS not to lose if it works on all these instruments simultaneously?
That is if probability Pi = probability of getting profit on one instrument during certain period of time < 0.5, then what will be equal to probability of "sum" of all on i?
Interestingly, there have been many discussions on the forum about TCs based on arbitrage of two correlated pairs. For example an Australian and a New Zealander. They go roughly together. Then on their strong divergence selling one and buying the other one can gain profit on the reverse move. The profitability of such TS is not large, but the risk is minimal.
The meaning of this approach is clear to everyone, I think the author gets it too. Nobody in his right mind and mind is likely to say that such TS may easily get stuck with MC. So why such difficulty in understanding what the Nevetran is doing ?
And he's doing roughly the same thing. The only difference is that he has replaced a pair with a known correlation with a large basket. If that basket has some correlation balance, then it is highly likely to perform the same oscillatory motion around its equilibrium as the correlation pair. Although the equilibrium position itself may drift in some direction in doing so. The non-veteran, of course, has not dealt with correlations in the basket and with its balance. But he is justified in saying that the more pairs in the basket, the less likely there is to be significant bias. Either way stochasticity rules.
Strange that even experienced people on this forum haven't seen the point, and instead of thinking a bit, immediately rush to label and banish witches.
That's why there are muddy thoughts in the head and little meaningful questions.
Интересно, тут на форуме не раз подымалось обсуждение ТС основанных на арбитраже двух корелирующих пар. Например, австралиец и новозеландец. Они ходят примерно вместе. Тогда на сильном их расхождении продавая одну и покупая другую можно получить профит на обратном ходе. Дохдность такой ТС невелика, но и риск минимален.
Смысл такого подхода доходит до всех, думаю что и до топикстартера. Утверждать, что такая ТС легко может нарваться на МК в здравом уме и твердой памяти вряд ли кто-нибудь станет. Так почему такие трудности с пониманием того, что делает Неветеран ?
А он примерно то же самое и делает. С той только разницей, что пару с известной кореляцией он заменил на большую корзину. Если в этой корзине имеется некоторый кореляционный баланс, то она с высокой вероятностью будет совершать такое же колебательное движение вокруг своего равновесия, как и корелирующая пара. Хотя само положение равновесия может дрейфовать при этом в некотором направлении. Неветеран, конечно, с кореляциями в корзине и с ее балансом не разбирался. Но его оправдывает то, что чем больше в корзине пар, тем меньше вероятность существенного перекоса. Так или иначе стохастичность рулит.
Странно, что даже опытные люди на этом форуме не увидели сути дела, а вместо того, чтобы немного подумать, сразу кинулись лепить ярлыки и изгонять ведьм.
Поэтому и возникают мутные мысли в голове и мало осмысленные вопросы.
Then you should start by analysing correlations and selecting pairs, rather than by going headlong, as the Neveteran advocates.
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If TS (trading strategy) loses on any one instrument out of 1000, can the total result of the same TS not to lose if it works on all these instruments simultaneously?
That is, if probability Pi = probability of getting profit on one instrument during certain period of time < 0.5, then what will be equal to probability of "sum" of all on i?