From theory to practice - page 127
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I'm writing more for myself now, sort of like a diary.
It is just obvious that above a certain level of confidence, expressed as a deviation from the current SMA moving average, there will be a "pullback" to the average. It cannot be otherwise, because the distribution of probability of price deviation from the average must "gather" in the Student distribution.
It is true, but the price will not tend to its current moving average, but to its future ("predicted") average. This is where the WMA moving average comes in. But it is not the probability of increments that should be used as a "weight", but their speed!
R.Feynman in his calculations of the amplitudes of probabilities of transitions from state A to state B, used as input data the following value:
S=(X(t)-X(t-1))/deltaT,
where
X(t) is the current value,
X(t-1) - previous value
deltaT - time between X(t) and X(t-1).
This is the value of S that should be used as the weight for WMA.
I'm writing more for myself now, sort of like a diary.
It is just obvious that above a certain level of confidence, expressed as a deviation from the current SMA moving average, there will be a "pullback" to the average. It cannot be otherwise, because the distribution of probability of price deviation from the average must "gather" in the Student distribution.
It is true, but the price will not tend to its current moving average, but to its future ("predicted") average. This is where the WMA moving average comes in. But the "weight" should not be the probability of increments, but their speed!
R.Feynman in his calculations of the amplitudes of probabilities of transitions from state A to state B, used as input data the following value:
S=(X(t)-X(t-1))/deltaT,
where
X(t) is the current value,
X(t-1) - previous value
deltaT - time between X(t) and X(t-1).
This is the value of S that should be used as the weight for WMA.
Let me correct your thoughts ))
It's just obvious that if you exceed a certain level of confidence, expressed as a deviation from the current SMAmoving average, there will be a "pullback" to the average or the average will pull up to the current price ))))
)))) because your obviousness is not obvious to anyone. Why on earth would there be a pullback, where is the confirmation of this "obvious fact"?
Let me correct your thinking ))
It's just obvious that if you exceed a certain level of confidence expressed as a deviation from the current SMAmoving average, there will be a "pullback" to the average or the average will pull up to the current price ))))
)))) because your obviousness is not obvious to anyone. Why on earth would there be a pullback, where is the confirmation of this "obvious fact"?
There will be. Just look at the distribution of price deviations from the moving average at that point - it's skewed, with a large coefficient of asymmetry (we have non-stationarity), and if you look at that distribution on average over huge samples, it tends to be a Student's distribution. That is, our currently skewed distribution will necessarily tend to be symmetric.
But not to the current, but to the future Student's distribution - to the flat state. This is where many people (including myself, I repent) think that it tends to the SMA. Not at all! Price tends towards the WMA, only with tricky weights.
Gentlemen! Is there not a Man with a capital letter on this forum, who would do the following work for free, literally from the generosity of the soul:
I need to convert astronomical ticks arrival time in some archive .csv file into decimal format, calculate valuesS=(X(t)-X(t-1))/deltaT for Ask or for Bid, build a histogram of S rates and post it here on the forum??? I really don't have time right now...
Gentlemen! Is there not a Man with a capital letter on this forum, who would do the following work for free, literally from the generosity of the soul:
I need to convert astronomical ticks arrival time in some archive .csv file into decimal format, calculate valuesS=(X(t)-X(t-1))/deltaT for Ask or for Bid, build a histogram of S rates and post it here on the forum??? I really don't have the time right now...
Throw an example of the archive, a script to write as two bytes to send.
Throw an example of an archive, a script to write is like two bytes to send.
I don't have any... This has to be found somewhere like Dukascopy etc. etc. - I just don't have the time...
I don't have any... You have to look for them somewhere like Dukascopy etc. etc. - I just don't have the time...
Sorry mate, it's customary to have your own spoon.
Sorry mate, it's customary to have your own spoon.
Throw an example of the archive, a script to write as two bytes to send.
Nikolai, here is the ruble/dollar archive from the exchange.
Format:
Date Time with msec Bid Ask Last Volume