The market is a controlled dynamic system. - page 382
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1) Demonstrate an understanding of what a martingale is, then I will write more.
2) Rather, you are unfamiliar with the basics of probability theory.
1) You should have a book handy.
Handbook of Probability Theory and Mathematical Statistics - M.: Nauka, Main Editorial Office for Physical and Mathematical Literature, 1985. - 640 с.
Chapter 13. Martingales.
My understanding does not differ from that given here. I hope that your understanding does not differ either.
2) Are we really going to go into "you're a fool" mode again? I'd rather not.
Handbook on Probability Theory and Mathematical Statistics - Moscow: Nauka, Main Editorial Board of Physical and Mathematical Literature, 1985. - 640 с.
Chapter 13. Martingales.
My understanding does not differ from the one presented here. I hope that your understanding is not different either.
1) If the capital has constant expected payoff, then the system is unprofitable. Profitable system must increase.
2) Martingale has constant expected payoff (Korolyuk's 13.1.3 paragraph 1).
3) Equity of TS on SB is integral of Ito on position volume (for small increment of equity dc=v(t)dw(t), where v(t) is volume, and w(t) is a Wiener process)
4) Ito integral is a martingale (19.2.3 from Korolyuk) --> capital has constant expected payoff --> TS is unprofitable
We'll definitely continue, but it's tomorrow. Because I'm taking a smoke break from the festive table here. Celebrating my child's birthday :)
And to continue requires concentration ;))
We'll definitely continue, but tomorrow. Because I'm taking a smoke break from the festive table here. Celebrating my child's birthday :)
And it takes concentration to continue ;))
Best wishes! ))
Best wishes! ))
Thank you! ))
Best wishes! ))
I join in!
And what is the term? Sound it out.
(I hope it's not a zigzag? ;)))
Oleg, what don't you like about the zigzag? By no means as a trading tool, but as a tool for statistical evaluation of its effectiveness.
If you use the reversal indicator "Vasya", then build a zigzag by points of its beginning retroactively and evaluate its effectiveness by points of its triggering compared to the ideal (any indicator lags).
I join in!
Thank you! ))
Oleg, what's wrong with the zigzag? Not as a trading tool by any means, but as a tool for statistical evaluation of its effectiveness.
If you use the reversal indicator "Vasya", then build the zigzag by its starting points retroactively and evaluate its effectiveness by its triggering points compared to the ideal (any indicator lags).
Remind me again what it was about. As far as I remember, my opponent reduced everything to a zigzag. That was the reason for my irony.
But to use the zigzag"as a tool for statistical evaluation ofits effectiveness" is beyond any scope at all.
Remind me again what it was about. As I recall, my opponent was reduced to a zigzag. That was the reason for my irony.
But to use the zigzag"as a tool to statistically assess its effectiveness" is beyond anything at all.
With the birthday girl in the family.