The market is a controlled dynamic system. - page 54

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Let's build a model.

Step by step:

1) Have an input stream of quotes (with history) --- this observable process is the actual reliable data.

2) Assume the existence of some system with a variable structure that forms the observed process.

Here both parameters of PF channels and the internal structure of channels can change.

 

3) Having made this assumption about the presence of the shaping system, we set the task of constructing its model.

The model output y should correspond to the actual data x, taking into account the chosen criterion of proximity of the processes y and x.

 

4) Convert the diagram

The mismatch error e=x-y is a measure of the consistency of the process x and its model y.

 

5) By including an optimisation-adaptation loop, we obtain a closed simulation system

 
and what do we do?
 
modelling
 
The overall objective, I hope, is clear.
Next, we need to solve specific tasks, the main ones being:
1) Determining the structure of each channel. Each individual channel can be represented as a separate link or as a closed-loop tracking system.
2) Choosing an optimization criterion. This criterion determines the operating frequency range of the model.

Smaller tasks to be solved in working order.
That's all ;)
 
avtomat:
The overall objective, I hope, is clear.
Next, we need to solve specific tasks, the main ones being:
1) Determining the structure of each channel. Each individual channel can be represented as a separate link or as a closed-loop tracking system.
2) Choosing an optimization criterion. This criterion determines the operating frequency range of the model.

Smaller tasks to be solved in working order.
That's all ;)

1. Following what?

2. [I won't say anything] ?

Smaller tasks are clearer :)

 
avtomat:
The overall objective, I hope, is clear.
Next, we need to solve specific tasks, the main ones being:
1) Determining the structure of each channel. Each individual channel can be represented as a separate link or as a closed-loop tracking system.
2) Choosing an optimization criterion. This criterion determines the operating frequency range of the model.

Smaller tasks to be solved in working order.
That's all ;)

Outputs from which to take buy/sell signals, position holding, lot management are not shown.

Or is it a "smaller tasks"? ;)

 
avtomat:
The overall objective, I hope, is clear.
Next, we need to solve specific tasks, the main ones being:
1) Determining the structure of each channel. Each individual channel can be represented as a separate link or as a closed-loop tracking system.
2) Choosing an optimization criterion. This criterion determines the operating frequency range of the model.

Smaller tasks to be solved in working order.
That's all ;)

Are you sure that it is necessary to divide circuit into WL, WR, W0? Isn't one link enough to start with? And it's a good idea to take into account estimation and noise...

I have such a scheme, crookedly drawn, but it works))


Your main tasks are not really main tasks, but auxiliary ones, and can be easily solved even by trial and error. It is much more important to create an optimization algorithm (question mark in the solver on my scheme), by and large it is a trading system, everything else is a necessary add-on.

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