Creating a positive IO - page 18
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That is, you think that the probability at time t3 that price goes against the trend (from point 2 to point 4) is greater than the probability that it will go against the trend (from point 2 to point 4),
than the probability that it will go against the trend (from point 2 to point 3)?
Answered according to the picture insert "C = f(t) with normal distribution". If we are talking about real prices, the answer would be different.
Dima, you were told there wasn't enough data.
Yes, and did you take equal intervals on purpose? )
Dima, you were told there wasn't enough data.
What other data do you need?
ACF. Without ACF, what is the point of talking about a random process?
P.S. If there is no mention of ACF, then consider that the process has no memory. And if it has no memory of what it did before, even a moment of time ago, then we don't need to consider it as a random process. The distribution at each given moment in time is sufficient. Then what gpwr said is true.
The problem is carried over from another branch:
The probability of events 3 (P3) and 4 (P4) at time t must be determined. Price went from point 0 to point 1, then rolled back to point 2.
Input data: C1, C2, C3, C4 are the prices at points 1,2,3,4 respectively.
It turns out that in this scenario, either way, further movement is downwards.
There was a thread on zigzag on this forum a few years ago. I called it an h-zigzag. It's elementary to build it. Suppose we go up and if the pullback happens by more than h points, the zigzag will change its direction. Downwards, the same thing happens. We trade based on signals of the zigzag. Trading can be profitable if the average amplitude of the zigzag is more than 2h.
Before trading on the instrument, I count the h-zigzags for the instrument on the hourly bar closes on the clock. For example, we obtain the following picture:
x-axis is a zigzag step, y-axis is the result of virtual trades for the instrument during the period of time with this step. The upper picture shows trading without the spread. The lower one - with taking the spread into account. Determine a comfortable size of a stop loss order to enter and trade.
Well, it seems that Shiryaev and Pastukhov discussed this a long time ago. H...volatility. But it was not really implemented, I think, but Pastukhov's thesis explained everything, but for non-mathematicians it is not so clear...
If the wave< 2H the market is flat and if it is greater than 2H it is trending. Very constructive. But on currency pairs on the long side it will definitely be around 2H. - Chaos.
Would you like to get involved in improvement?
It would be nice to have something to improve =)
It turns out that in this scenario, the further movement is downwards anyway.
What are these charts based on? On a random walk or on real quotes? How then do people trade on a trend to make money?