Econometrics: one step ahead forecast - page 29
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If you know the function no errors
Come on, I'd like your two years on the subject ...
I provided my arguments to back up what I said ... I don't see any counter-arguments other than the finger tic "come on like..." etc etc.
But good luck in general.
IT WILL BE INTERESTING TO WATCH THE BUMMER,
UNLESS, OF COURSE, THE MODERATORS ERASE MY POSTS.
For comparability, we take the same model
Here we have:
EURUSD hp1(-1 to -4) hp1_d(-1) hp1_d(-2)
Here HP is the HP filter of EURUSD. Let us take a filter from DX and forecast EURUSD
I've provided my arguments to back up what I'm saying... I don't see any counter-arguments other than the finger tic "come on like..." etc etc.
But good luck in general.
IT WILL BE INTERESTING TO WATCH THE BUMMER,
UNLESS OF COURSE THE MODERATORS ERASE MY POSTS.
That's right, but where are the sources of indicators? I do not quite believe that some averaging brings good results, at least with 0.5 probability. I need to see the codes of indicators for starters, their mathematics
There is no source code for the indicators. There is a schematic model
EURUSD hp1(-1 to -4) hp1_d(-1) hp1_d(-2)
If you reverse it
EURUSD = с(1)*hp1(-1) + С(2)*hp1(-1) + С(3)*hp1(-1) + С(4)*hp1(-1) + С(5)*hp1_d(-1) + С(6)*hp1_d(-2)
Let's evaluate C(i) coefficients and get some synthetic indicator.
Above, the table shows the estimated accuracy of this synthetic indicator for the quote = 97%.
See what happens in our case.
Volumes for AUDUSD,EURCHF, EURGBP, EURJPY, USDCAD, USDCHF, USDJPY, EURUSD
What can you see or guess here? (T minutiae)
Well, the weights of currency pairs are clear - the volumes are different (by height) and the percentage ratio is clear
What can you see or guess here? (minutes)
For example since 1999. AUDUSD,EURCHF, EURGBP, EURJPY, USDCAD, USDCHF, USDJPY, EURUSD
You can start to believe since October 2010. I hope it is clear why
Forecasting results using the dollar index.
Dollar index quotes downloaded from the terminal - symbol DX
Graph:
Note that the DX quotes go in the opposite direction to the EURUSD quotes
I record the following model by analogy
EURUSD DX_HP(-1 TO -4) DX_HP_D(-1 TO -2)
where DX_HP is the value of the НР indicator
after estimating the coefficients of the equation we get
EURUSD = 1.3375931364*DX_HP(-1) - 3.27636518775*DX_HP(-2) + 2.58060240407*DX_HP(-3) - 0.623668221765*DX_HP(-4) + 0.061086265724*DX_HP_D(-1) + 0.100405219475*DX_HP_D(-2)
Final scorecard:
R-squared is negative. It does not. It is the result of opposing direction of the DX quote to EURUSD
Let's form a quote using the formula: DXM = 1/DX, i.e. let us take opposite values and apply our model to them. We obtain the final valuation table:
Quite an acceptable result. I make EURUSD forecasts on the basis of quotes of the inverse value of dollar index = 1/DX. I get an extension of the result table
Conclusions:
1. Successful forecasts increased by 1.
2. the magnitude of the predicted bias became more realistic
3. there was an improvement in prediction with an increase in prediction error.