How and where to set up a hedge fund? - page 14
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the robots that banks work with cost hundreds of thousands if not millions, and the algorithms are top secret.
Respectfully.
definitely
The question was about mathematics, I got carried away).
On a side note: suspecting that the HF-Bank nexus is inevitable
So the principle of HF is a holdtng one after all.
Judging by the author's name, something in the DSP field.
I don't know much about it. I'll take a look.
Yeah, it's DSP.
The bottom line looks good.
Judging by the author's name, something in the DSP field.
I don't know much about it, I'll have a look.
Well yes, a truncated version of PF, but calculates power and phase of only one frequency component. Slightly more efficient than FFT, same results.
I've long ago went over it this way and that, I couldn't find anything worthwhile there. And others researched too, with the same result.
I tried to handle it, but sometimes the indicator shows that I should enter, but the instrument goes in the opposite direction.
Yes, I thought again, this could be a problem. I should still try to put it on a U-turn or something. In any case it should be checked programmatically.
Once I checked CADJPY and USDCAD just for difference in pips, was not so much impressed. For example if I look at the Canadian dollar and the Yen, I can't place it deliberately, Canadian dollar is related to oil, while the Yen is not.
I wrote a trading robot for one technical expert for half a year with 150+ settings.
Was it 150 for optimization?
Yes, I thought again, this could be a problem. I should still try to put it on a U-turn or something. In any case it should be checked programmatically.
Once I checked CADJPY and USDCAD just for difference in pips, was not so much impressed. In this case I have chosen CAD and Yen purposely, Canadian dollar is dependent on oil, while Yen is not.
I will also try to analyse the differences between them. 150 was it for the optimization parameters?
I wrote it already, read it carefully.
Forum on trading, automated trading systems and strategy testing
How and where to create a hedge fund?
Renat Akhtyamov, 2017.08.20 21:35
Yeah, have been doing that.
If the correlation coefficient is high, it is likely that the correlation will decrease, i.e. the pairs will go in different directions. Only it is not clear at the very beginning - which one goes where. I.e., the strategy in such interpretation will turn trades back and forth.This auto-twisting of spread will be a good thing for the quoteer.
The solution was found at the time as follows:
- selected pairs with high correlation coefficient, but traded from the moment when correlation of these pairs worsened. I.e. pair convergence is traded, not divergence.
Estimation of predicted profit is also possible.
They take a large part of history, estimate correlation coefficient and measure difference between pairs in pips. The average figure is calculated. This figure will be the second confirmation of the signal along with the correlation coefficient.
And what is it for: "Some time ago I checked CADJPY and USDCAD"?
Yes, I thought again, this could be a problem. I should still try to put it on a U-turn or something. In any case it should be checked programmatically.
Once I checked CADJPY and USDCAD just for difference in pips, was not so much impressed. In this case I have chosen CAD and Yen purposely, Canadian dollar is dependent on oil, while Yen is not.
150 was it for the optimisation parameters?
I wrote it already, read it carefully.
Sincerely.
Well yes, a truncated version of PF, but calculates the power and phase of only one frequency component. Slightly more efficient than FFT, the results are the same.
I've long ago turned the FFT on and off, I haven't found anything worthwhile there. Yes and others have also investigated, with the same result.
I wrote it already, read it carefully.
I understand that. I described my case with CAD, I just took points (delta) of two pairs, without checking the correlation. I read somewhere that USDCAD and CADJPY are very different, got excited and decided to check it.
Well, I am going to bed now.
P.S. This thread seems to be more popular than the "machine" one)
Is there a picture of how Hertzl worked out?
I haven't run the test on those EAs yet, I'm going to try it now.
I haven't tested those EAs yet, I'll try them now.
There are only indicators there and they didn't even compile. I fixed one, but it's slowing down terribly, the minute bar on ticks counts for a few seconds. Attached, if interested, run it overnight
Judging by the #property strict they don't compile at all, made them before version 600 of MT4 ))