Econometrics: one step ahead forecast - page 117
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
I would like to understand one thing, if you are forecasting ZZ, how do you calculate the ZigZag forecast step?
Happy New Year! To all! Believers and non-believers in the scientific approach to forex.
After our conversation, Alexander, I suggest:
1. We use bandpass filters to split the price range into bands. Then we decide on which ones and how many.
2. We apply your models for each band. There they will work perfectly. Because predicting a sine-like curve is very easy in any way.
3. Then we sum up (arithmetic mean, geometric mean or other way) the results of each strip forecast.
Give it a try. I bet the prediction result will be a couple orders of magnitude better.
After our conversation, Alexander, I suggest:
1. We use bandpass filters to split the price range into bands. Then we decide on which ones and how many.
2. We apply your models for each band. There they will work perfectly. Because it's very easy to predict a sinusoidal curve in any way.
3. Then we sum up (by arithmetic mean, geometric mean or other way) results for each band.
Try it. I bet the results will be a couple orders of magnitude better.
I've posted similar results a few years ago showing that due to non-stationarity of the market decomposition always drifts when the window is shifted.
I don't want to waste time getting the result I already had. If you want, find Ilyukhin's digital filter generator (it's in the code base) and practice it yourself.
We should start with a review of the results in this field. Burg wrote his dissertation Maximum entropy spectral analysis in 1975. Ehler wrote his book Rocket Science for traders also about 30 years ago. His book MESA and Trading Marcket Cycles was also published in 1993. There are programs and indicators that implement these ideas. So before you reinvent the wheel, you should just network and read the books and get up to the level that is available.
I am writing this generally for everyone, in an attempt to protect people from your illusions. I don't have any illusions about the applicability of DSP in trading.
We should start with a review of the results in this field. Burg wrote his dissertation Maximum entropy spectral analysis in 1975. Ehler wrote his book Rocket Science for traders also about 30 years ago. His book MESA and Trading Marcket Cycles was also published in 1993. There are programs and indicators that implement these ideas. So before you reinvent the wheel, you should just network and read the books and get up to the level that is available.
I write this generally for all, in an attempt to protect people from your illusions. I don't have any illusions about the applicability of DSP in trading.
You are our saviour, man.
But you see, there are two circumstances that follow from your posts:
1. By rising to these "levels" you never understood what you were reading about. Now you look like a woodpecker, but he, unlike you, has a strong head.
2. As a consequence, you yourself have enormous illusions. Sort them out for starters, and leave your fake teacher habits behind.
Ps: limit yourself all you want, but don't you dare limit others. There's a smart guy here, he's read his dissertation. I can imagine how faa would have come to Burg and said, "Stop reinventing at once, there's all this bicycle reinvention, some kind of entropy ...".
You're our bloody saviour.
But you see, there are two circumstances that follow from your posts:
1. By rising to these "levels" you never understood what you were reading about. Now you look like a woodpecker, but he, unlike you, has a strong head.
2. As a consequence, you yourself have enormous illusions. Sort them out for starters, and leave your fake teacher habits behind.
Ps: limit yourself all you want, but don't you dare limit others. There's a smart guy here, he's read his dissertation. I can imagine how faa would come up to Burg and say, "Stop reinventing now, you're bicycling, entropy ...".
Gone to come back and as usual out of touch
Happy New Year 2012 :) forgot to add :)
Notice how once you get within the bounds of propriety, it's all about substance.
Happy New Year to you too.
I wish you finish your bike and I'll be the first to congratulate you on the success of joining the army of cyclists.
Look, faa, it's a little early for you to be teaching anyone... I feel sorry for your students, too.
I strongly recommend, faa, that you change your Eagle's square wheels for round ones. You'll get your ass kicked in the bumps of forex.