Finding the Natural Relationship of Currencies - page 2
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Perhaps someone knows and is burning with a desire to share the method of calculating the perfect synthetic?
Sum ?
((C) Operation Y).
Well I know.
It's only a question of the sum, isn't it?
If someone knows such a thing, and is "burning desire" to give it away for free, he is just a fool. And if he's a fool, he doesn't have such a thing and can't have it.
So there is only the question of the amount of money for the thing.
You're in the financial world. Nothing is free here (with the exception of Metatrader-4 and its quotations).
And as the pseudo-prophet Warren Buffett widely advertised the saying of poker players:
There's been a poker proverb among bankers since 1979.
"If after 30 minutes of play you don't know who's the fool in the game, you are the fool."
"As they say in poker, 'If you've been in the game 30 minutes and don't know who the patsy is,
you're the patsy.'"
Warren E. Buffet, chairman of Berkshire Hathaway, in the company's annual report.
http://quoteinvestigator.com/2011/07/09/poker-patsy/
If you mean arbitrage, e.g. EURUSD / GBPUSD vs EURGBP, then there is no channel there, there is nothing to make money on :)
Still, I wanted to know more about the stationarity variants, as far as it is possible, let's say the synthetic has some big deviations, the main thing is that it returns to the neutral zone during a certain period, I will try to find a suitable picture
Also, yes, the correlation does change, but ... it changes according to the principle somewhere losses and somewhere gains, i.e. if you choose the right set, the growth of one will be approximately compensated by the other
The synthetic must not be market-neutral, it must have some deviations from the neutral position, and so much so that it pays off.
Still, I wanted to know more about the stationarity variants, as far as it is possible, let's say the synthetic has some big deviations, the main thing is that it returns to the neutral zone during a certain period, I will try to find a suitable picture
Also, yes, the correlation does change, but ... it changes according to the principle somewhere losses and somewhere gains, i.e. if you choose the right set, the growth of one will be roughly compensated by the other
So you want a synthetic that goes ONLY in a channel (even if it's expanding)?
the price distribution may have tails, but the main thing is that it has to be a bell-shaped and relatively narrow, i.e. it has to have an area of average values somewhere
Ideally, it should also be possible to choose the slope angle of the regression, along which it runs, but that's of secondary importance
In short, I am interested in how a portfolio is selected for Buy & Hold strategies, buy and hold, what characteristics are optimised and how to speed up the enumeration of possible portfolios
Yes, and I understand that I won't get a perfect channel, I'm not crazy :)
let the price distribution may have tails, but the main thing is that it should be a bell-shaped and relatively narrow
Ideally, I want to be able to choose the angle of slope of the regression, along which it goes, but that is of secondary importance.
In short, I am interested in how a portfolio is selected for Buy & Hold strategies, buy and hold, what characteristics are optimised and how to speed up the enumeration of possible portfolios
the series will still be non-stationary.
Try an optimisation problem - I wrote to you. Portfolio selection, maximum or minimum target function, constraints.
Yes, and I understand that I won't get a perfect channel, I'm not crazy :)
The price distribution may have tails, but the main thing is that it has to be a bell-shaped and relatively narrow, i.e. it has to have an area of average values somewhere
Ideally, you will also be able to choose the slope angle of the regression, along which it runs, but that's of secondary importance
In short, I am interested in how a portfolio is selected for strategies like Buy & Hold, buy and hold, what characteristics are optimised and how to speed up the enumeration of possible portfolios
Yes, and I realise I won't get the perfect channel, I'm not crazy :)
let the price distribution have tails, but the main thing is that it should be a bell-shaped and relatively narrow
Ideally, I want to be able to choose the angle of slope of the regression, along which it goes, but that is of secondary importance
In brief, I would like to know how a portfolio is selected for strategies like Buy & Hold, buy and hold, what characteristics are optimised and how to speed up enumeration of possible portfolios
Prehistory: at one of my friends wedding I "stole the bride" (for 20 minutes). She was pregnant. It wasn't me who got beaten up, it was the witness (who was guarding the bride). The witness as a fine had to drink a shoe of vodka in one gulp (he is a wrestling master).
The child was born quite successfully, grew up, graduated from a university in Kiev, worked in an investment company - and HE KNOWS how to manage such portfolios with very complex optimisation and all sorts of calculations. He was taken (invited) to Switzerland, where he is now doing it in banking and finance. The normal salary there starts at $100K a year - provided you know how to stack such portfolios.
Do you understand what you are asking on this forum? Half of the world quantum Wilmott forum is just solving such problems, and basically only 5-6 people there know how to COMPUTE it, once the formulaic solution is more or less made up.
Prehistory: at one of my friends' weddings, I "stole the bride" (for 20 minutes). She was pregnant. They didn't beat my face in, they wanted the witness (who was guarding the bride). The witness as a fine had to drink a shoe of vodka in one gulp (he is a wrestling master).
The child was born quite successfully, grew up, graduated from a university in Kiev, worked in an investment company - and HE KNOWS how to manage such portfolios with very complicated optimisation and all sorts of calculations. He was taken (invited) to Switzerland, where he is now doing it in banking and finance. The normal salary there starts at $100K a year - provided you know how to stack such portfolios.
Do you understand what you are asking on this forum? Half of the world quantum Wilmott forum is just solving such problems, and basically only 5-6 people there know how to COMPUTE it, once the formulaic solution is more or less made up.
There is a special skill in going into someone's thread and writing a post of very many bukoffs but very little about anything.
Not everyone has this skill.
There's a special skill in going into someone's thread and writing a post with lots of bukoff, but very little about anything.
Not everyone has this skill.
It's a "day off" in all markets today, dear Cossack. I'm waiting for an answer on archive quotes from Metakvot. I need it for my creativity.
Only an idiot would trade these days until the 10th of January, when the banks are wrapping up the old year's wiring and companies are making requests to repatriate old year's profits and the like - purely of the casual kind.
If you, Cossack, pretend not to understand my transparent hints, and composed in artistic style, it is your biological problem of withdrawal of alcohol from the body after the New Year. Shall I give you a link to Genghis Khan's song "Cossack" to clarify it?