FOREX and ECONOMETRY. Theory, practice, forecasts and implications

[Renat Akhtyamov]

In this thread I propose to discuss the theory and practice of econometrics as applied to FOREX, share experience, create indicators and experts, make forecasts using econometric indicators. Evaluate the results of such work.

I would also like the moderators to allow posting screenshots of indicators and Expert Advisors, even if they are paid, or conditions under which it is possible.

As far as I know econometrics allows to remove noise and trending on a price chart, create forecasts and much more.

Who already knows and knows what on the subject?

[Renat Akhtyamov]

I will start with the following material. It seems to me that part 2 is most applicable to forex.

[[Deleted]]

I would suggest inviting Yusuf Hoxha ...

[Renat Akhtyamov]

Movlat Baghiyev:
I would suggest inviting Yusuf Hoxha...

I think he would be interested in this topic. I really hope he will participate.

[[Deleted]]

Here's when back in 2011 they wrote https://www.mql5.com/ru/articles/1345

[Renat Akhtyamov]

Movlat Baghiyev:
That's when back in 2011 we wrote https://www.mql5.com/ru/articles/1345.

The outcome of this article, judging by the balance, is not good after all.

It may be necessary to introduce a ranking of the trading systems built over time.

Time will tell.

[Yousufkhodja Sultonov]

Movlat Baghiyev:
I would recommend inviting Yusuf Hoxha.

Thanks for the invitation, I will definitely participate. There are some sketches in this regard.

[СанСаныч Фоменко]

What does the word econometrics mean?

What does it have to do with indicators, advisers?

Here is an understanding of the word with a list of tools for solving econometrics problems. Please note the list of packages that are available in R on this subject.

But that is not all.

The fact is that "econometrics" strongly overlaps with machine learning, time series and a few other sections that are widely used in trading.

Here is a rubric for R packages. For example, are Bayesian methods related to econometrics? or optimisation?

[Renat Akhtyamov]

СанСаныч Фоменко:

What does the word econometrics mean?

What does it have to do with indicators, advisers?

Here is an understanding of the word with a list of tools for solving econometric problems. Please note the list of packages that are available in R on this subject.

But that is not all.

The fact is that "econometrics" strongly overlaps with machine learning, time series and a few other sections that are widely used in trading.

Here is a rubric for R packages. For example, are Bayesian methods related to econometrics? or optimization?

I posted the material above in Russian. There is an answer to your question, at the very beginning part 2 . There is also a definition of econometrics from 2 points of view.

Indeed, a quote is nothing other than:

f(t) = y(0)+y(1)+...+y(n)

First EXEL, then code for MT. This is how I imagine the process of creating a trading system.

[Дмитрий]

Renat Akhtyamov:

For, indeed, a quotation is nothing other than:

f(t) = y(0)+y(1)+...+y(n)

What is y here?

How is this formula deciphered?

[Renat Akhtyamov]

Дмитрий:

What is y here?

How is this formula deciphered?

Above is part 2, read it.

This formula is from there, just my interpretation, if I understand it correctly.

So a quote is a function of time.

In our case, it's a count of time or simply bars.

We know that every unit of time corresponds to a variable value of quote that has deviated by some value along the y-axis .