The market is a controlled dynamic system. - page 379
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Speaking of which,
https://dic.academic.ru/dic.nsf/dic_fwords/332/ЭКСЦЕСС
;)
:))) But before rushing off on a new Grail chase, we should finish the topic "Random walk" on the example of the Laplace distribution for increments. But what if you're wrong?
If on Laplace motion your TS will be cutting an insane amount of money, then, that's it - follow the moments of real distribution of increments and put cash in your pockets.
Don't thank - don't. Better open a signal later.
What's the matter, are you sad or something, Automatista? You're not drinking bitter, are you? Ahem... Is that a good thing?
Okay. Listen up...
I still think there's a rational basis to your system.
However, you don't have the key...
You need to incorporate momentum analysis into your TS, whether you like it or not.
Enter the trade at non-parametric kurtosis <=10 and sit on the fence at >10.
At non-parametric kurtosis <=10 we practically have a Variance Gamma Process type SB, and your TS shows brilliant results at that.
Are you pinching?
unfold and that's it)
:))) But before rushing off on a new Grail chase, we should finish the topic "Random walk" on the example of the Laplace distribution for increments. But what if you're wrong?
If on Laplace motion your TS will be cutting an insane amount of money, then, that's it - follow the moments of real distribution of increments and put cash in your pockets.
Don't thank - don't. Better open a signal later.
Are you really missing Laplace in SB so you get some clarity? OK, just for you, I'll do a Laplace SB as well. But you shouldn't think it's a panacea. Many SB processes (including Laplace) do not cover many BP processes.
But remind me, what do you want from a SB with Laplace, what do you think it should be? (remember, I gave a list of possible manipulations there). And we'll build that case this weekend. For clarity ;))
But remind me, what do you want the SB with Laplace to be, what do you think it should be? (remember, I gave a list of possible manipulations there). And this weekend we'll build the case. For clarity ;))
You take the GSH with Laplace distribution:
standard deviation.
Takean integer part of the generated HF.
1. The simplest case is mu=0, b=1.
We have a series of types 0, -1, 5, 2, -10, ... satisfying Laplace distribution.
And at each step consider the sum (integral) of these numbers.
You will get the pureest SB of Laplace motion type.
2. mu=sin(t).
etc.
If on such SB your TS will have no problems when trading - just watch at the moment of entering transaction - is your distribution of increments close to Laplace or not.
I assure you, in most cases it is VERY close.
You have to watch the moments of the actual distribution of increments.
Seldim? I'm not kidding.
.
You take a GCF with a Laplace distribution:
Here:
mu is the expectation of the distributions
b is the standard deviation.
We take theinteger part of the generated HF.
1. The simplest case is mu=0, b=1.
We have a series of types 0, -1, 5, 2, -10, ... satisfying Laplace distribution.
And at each step consider the sum (integral) of these numbers.
You will get the pureest SB of Laplace motion type.
2. mu=sin(t).
etc.
If on such SB your TS will have no problems when trading - just watch at the moment of entering transaction - is your distribution of increments close to Laplace or not.
I assure you, in most cases it is VERY close.
You have to watch the moments of the actual distribution of increments.
Seldym? I'm not kidding.
We'll figure it out. If I can do it this weekend, I will. Or a little later, then.
Because I've got a much more important job to do right now.
.
.
.