The market is a controlled dynamic system. - page 230
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And the rouble is steadily strengthening, despite provocations, sanctions, sophisticated lies, analysts screaming, etc.
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This was the casetwo months ago (17.03.2014)- the reference point where analysts were gushing about the ruble's imminent collapse. (Crimea. Threats of US and EU sanctions against Russia)
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And so it is now (23.05.2014)
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The conditional starting point (17.03.2014) has turned into a pivot point ;)))
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What nonsense and abominations these analysts have produced lately in powerless rage... ...drooling... brainless.
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And the ruble is steadily strengthening.
The current experiment is over. The objectives have not yet been met. Small errors have led to large deviations.
In view of the results obtained, the aim of achieving breakeven comes to the fore.
A new experiment will be launched in May 2014.
Probably the main mistake is in postulating that it is somehow possible to identify an unknown excitatory force in the market as a "controlled dynamic system". There are many excitatory forces in small timeframes (news of various kinds) and their direction is unknown in advance. The only method to make money on small timeframes is to wait for the excitatory force and trade at its moment. But there is no need for theories of controlled processes or Kalman filters for that. Believe me, who has dug through a lot of trading and market modelling methods. If you want to do it scientifically, with the creation of market models, then go to monthly or even quarterly timeframes and use economic indicators as inputs. You can thus predict both market crashes and up-trends if the model is correct (the blue dashed line below is the S&P500 quarterly economic data prediction, the black solid line is the S&P500 index).
Expect a decent bounce in the S&P500 in June-July.
Probably the main mistake is in postulating that you can somehow identify an unknown excitatory force in the market as a "controlled dynamic system". There are many exciting forces on small timeframes (news of various kinds) and their direction is not known in advance. The only method to make money on small timeframes is to wait for the excitatory force and trade at its moment. But there is no need for theories of controlled processes or Kalman filters for that. Believe me, who has dug through a lot of trading and market modelling methods. If you want to do it scientifically, with creating market models, then go to monthly or even quarterly timeframes and use economic indicators as inputs. You can thus predict both market crashes and up-trends if the model is correct (the blue dashed line below is the S&P500 quarterly economic data prediction, the black solid line is the S&P500 index).
Expect a decent bounce in the S&P500 in June-July.
It is possible, within the accepted model, to identify such strength - and this is already a fact. It is a mistake to deny this fact. The problem is different. It must be understood that there are several such forces simultaneously present -- significant enough to be taken into account -- which may act both in-phase and in-phase, or be in some mixed state of uncertainty. The main task is shifted to a higher level, which is the task of coordinating them. But, taking into account the goals assigned to the trading system, this task is solvable!!! Let me emphasize: all this information is obtained from the primary data, from the quotes, without using external sources, such as economic indicators and other inside information. And so all of this applies to any market, including forex, as was required at the stage of formulating the problem. The road is travelled by the man who walks.
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As of today (23.05.2014) the SP500 is painting the following picture :
Hi there!
Do you have any predictions on the Eurodollar? Will it keep falling? Where to? Or is it about to turn up.
Thank you!
Hi there!
Do you have any predictions on the Eurodollar? Will it keep falling? Where to? Or is it about to turn up.
Thank you!
avtomat:
Здесь нет прогнозов ...
How could it not? There's "buy open" in the pictures. Pardon me, but if the trading system gives us a buy signal it means that it predicts (or predicts) that the market instrument will go up. Or there's a semantics issue here:
"the temperature tomorrow will be 30 degrees warm" is a prediction, and "tomorrow will be warmer than today" is not a prediction?
How could it not? There's "buy open" in the pictures. Pardon me, but if the trading system gives us a buy signal it means that it predicts (or predicts) that the market instrument will go up. Or there's a semantics issue here:
"the temperature tomorrow will be 30 degrees warm" is a prediction, and "tomorrow will be warmer than today" is not a prediction?
"Don't confuse the warm and the soft" (c)
by.
and the pictures are not the forecast but the current state. They are not the same thing at all. I hope you are familiar with the concept of state space.
The space of states is familiar to me. Your states are not static but change over time. For example, how did the "Open Buy" condition appear? The answer: The trading system has given a signal and it means that it predicts that there is a higher probability that the price will go up. It is a prediction! The system makes a prediction, you open a position, a state is formed, you close the position, the state changes. Do I really need to explain this to you, or are you just pretending to understand everything yourself? You don't like "predictions" and you make your own predictions.
The space of states is familiar to me. Your states are not static but change over time. For example, how did the "Open Buy" condition appear? The answer: The trading system has given a signal and it means that it predicts that there is a higher probability that the price will go up. It is a prediction! The system makes a prediction, you open a position, a state is formed, you close the position, the state changes. Do I really need to explain this to you, or are you just pretending to understand everything yourself? You don't like "predictions" and you make predictions yourself.
You are badly mistaken, reversing cause and effect. Firstly, it is NOT"the trading system has given a signal, so it predicts that there is a higher probability that the price will go up", but on the contrary, based on the analysis of the current state the trading system decides to do one or another thing. Secondly, my system does NOT operate with probabilities, and not because I couldn't calculate them, but because it's not based on a probabilistic approach(which is not acceptable to me). Prediction, as you understand it, DOES NOT work.
Further. You are confusing the definition of state space, viz:"The system makes a prediction, you open a position, a state is formed, you close a position, the state changes" -- here you are including my position in the state vector. And this is not true. My position has nothing to do with the market state space.
Well, and about "explaining, pretending"... You can only explain to the extent of your limited knowledge and understanding. And everything that goes beyond the boundaries of that knowledge and understanding you perceive as "pretending". Expand the limits of your knowledge and your perception will change.
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For example, in the state space of two signals you can make the following table of outputs:
1 1 OpenBuy
1 0 CloseBuy
0 1 CloseSell
0 0 OpenSell
( total 2^2=4 )
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Here's an exercise (similar, but more complicated):
Make a table of outputs in the state space of three signals:
1 1 1 OpenBuy
1 1 0 .....
1 0 1 .....
1 0 0 .....
0 1 1 .....
.....
( 2^3=8 in total )
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and so on...
Complexity increases as 2^n