Rate of price change, how to calculate - page 9
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I've read through the topic a couple of times and still don't understand what speed has to do with it.
And the speed of what? What is price? Bid, ask, volume weighted average gang price, last price etc? Speed in what? Distance in pips, in percentage, in figures? Time in candlesticks, in ticks, in changes of the cup, in trying to run the terminal?
Verbal trash.
What's with all the name-calling? :) I thought there are no fools here, "default" as it is supposed to distance normalized in relation to the price, such as (for example) in the percentage. Time - in units of time, what - do not care, they are easily and uniquely recalculated. "What" (bid, ask, volume weighted average price, last price etc) is not important to begin with. If the definition is successfully (informatively) formulated, it will do for all of the above.
Give me better ideas. You're clever and inventive, I know you are. )
In this state, intellectual morality and the concept of sin are completely absent, but systemically ineffective (sinful?) actions simply do not take place.
They can then be mutually contextualised by pairwise analysis. In doing so, the 'statisticality' of the sample is halved with each iteration
This is still the most obscure, because it is associated with the dimensionality of the problem, and then it is not halved, but squared.
By definition, --- System efficiency is a numerical indicator that characterises the quality of a system's performance.
And before we can apply the concept of efficiency to the market, we must first learn how to determine the quality of its functioning, i.e. we must know the input and output flows and the operator of their transformation. Without this, all talk of efficacy or ineffectiveness of the market is mere talk.
You cannot define quality without defining meaning (purpose). What is the purpose of the market?
You are interpreting the word 'efficient' very narrowly, exclusively in the domestic sense. Whereas in science it is also common to use the word as a synonym for "effective", "actual". For example, are you familiar with the concept of "effective constant"?
In Russian, it boils down to the following equivalent statements.
The market is inefficient <=> Mutual information of neighbouring quotes is not equal to 0 <=> Neighbouring quotes are not statistically independent
Exactly in topics of mutual information it was found out that the lion's share of this dependence is the daily volatility dependence from which nobody seems to have learned much profit. Among such topics there used to be one in which I participated (I cannot find it in my search, I have completely forgotten, maybe it was something similar to mutual information). There I kind of suggested a way to filter out this component and see if anything remains after that at all? But no one did at the time.
P.S. I wrote that I didn't find it, and then I found it :), here it is
The market is inefficient -> you can make money. The more inefficient, the easier it is to find a way to make money.
Evaluating the efficiency of the market is um... utopia. Although you can measure it by the average spread :)
Profitability is an almost useless indicator.
I wanted to ask the community who calculates the speed of price change.
Mostly it's the news candlesticks.
One application is the action of the EA when there is a strong price change over a short period of time
For example: Strong news comes out and it's quite reasonable to either remove the take - and then set a new one according to the situation, or move the take far enough
Because it is annoying to get a take of 20-30 100 pips and then watch the price make another 5 10 or 20 take distances.
I'd like you to elaborate on the question, preferably with pictures. Because the guru has such a wild imagination, I almost twisted my brain.
The market is inefficient -> you can make money. The more inefficient, the easier it is to find a way to make money.
Evaluating the efficiency of the market is um... utopia. Although you can measure it by the average spread :)
Profitability is an almost useless indicator.
But if by that "interrupted" methodology, then after exclusion of the strongest, but apparently useless (in the sense of the grail), daily dependence, the strongest dependence (according to my unproven guesses) will be profitability. I assume that's what's being killed by the spread/commission. More specifically, it kills the ability to make money from it. And this is very noble :)))), because without refunds total chaos with rates would be constant, not occasional as it is now :)).
P.S. Regarding profitability, it's probably important how you prepare it. Suppose we take a "natural" zigzag (I mean HZZ) and stupidly draw a time profitability graph for a breakdown (or bounce) strategy. Obviously the outcome will be approximately zero (no spread), but there will be fluctuations. By definition, it will be just H-volatility fluctuations. And these fluctuations can be analyzed in terms of randomness - non-randomness.
By definition, these would be exactly the fluctuations of H-volatility. And you can analyse these fluctuations for randomness or non-randomness.
Just in the topics on mutual information it was found that the lion's share of this dependence is the daily dependence of volatility, from which it seems no one has learned how to make much profit. Among such topics there was one in which I participated (I cannot find it in my search, I have completely forgotten, maybe it was something similar and not mutual information). There I kind of suggested a way to filter out this component and see if anything remains after that at all? But no one did at the time.
P.S. I wrote that I didn't find it, and then I found it :), here it is
I remember reading it.
The point is that "the lion's share of this dependence is the daily volatility dependence" concerns precisely neighbouring bars, a kind of *ARCH effect, which in statistics nails everything else due to the fact that the whole stream of quotes is analysed in a cluster. In order to detect directional dependencies we need a more subtle analysis the first step of which, in my opinion, should be division of a stream into sectors where there is and where there is not mutual information. You might say, identifying areas of inefficiency.
You cannot define quality without defining meaning (purpose). What is the purpose of the market?
You are interpreting the word 'efficient' very narrowly, exclusively in the domestic sense. Whereas in science it is also common to use the word as a synonym for 'effective', 'actual'. For example, are you familiar with the concept of "effective constant"?
Of course, for the efficiency-quality pairing, there is an implicit purpose. And it's not about mundane 'good-bad'. It is quite so scientific "match--non-match". And this introduces a kind of gradation. But too broad an interpretation deprives the very phrase "market efficiency/inefficiency" of meaning;))