From theory to practice - page 411
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green - real flow
blue - simple exponential
red - logarithmic.
I took another look at this histogram and converted my TS to logarithmic time intervals. For the first time! And straight to the real.
And to hell with it.
Live, will it be a take or a stop. By some calculations the reversal should have been on the vertical line. That there are two standard deviations (from something) . So far between 2 and 3 sko .
By the way the previous reversal was only a minute late .
By 8:22 pm MSC should turn around
There was a reversal, but it didn't make it to the tee.
This phenomenon has long been investigated by Mandelbrot. Yes, volatility clustering as a memory process is certainly a good thing. But it is too general a concept to try to destroy it through distributions.
We need to understand what lies inside this process. For example, a self-similar fractal structure with a generator of 3 lines. The generator changes - the "trend" changes, but the memory is always present.
Ok, suppose we replaced real time with market time
but we will still have clustering of the market time itself with a floating period, i.e. non-periodic cycles. How to kill them, through what transformation? they will still remain non-markovian
If that were the case, the price would often be repeated unchanged in consecutive ticks.
But it isn't - you can look at the ticks yourself, each tick is a change in price.
So your "guru" is writing nonsense.
And "price enquiries" were relevant 20 years ago, in negotiated transactions via Reuters Dealing. Now electronic trading systems, in which the price is visible without requests, occupy a larger share of the market.
He is talking about the ticks of interbank real forex where there is no concept of "closing a trade".
And you are talking about the performance of the DCs in imitating it by generating prices in particular.
In favour of the fairness of AlexSilver's statement are the following facts.
1. I remember Al..... declaring in the client agreement its right not to send ticks to clients if rates have not changed. Why, if "every tick is a price change" ?
see. Attachment. "ECN.MT4 Trading Operations Regulations Version: July 2012
2.3 The Client acknowledges that: a) the Company has the right not to provide the Client with quotes that have not changed since the last Market Snapshot".
2. check how many ticks different DCs actually send in one and the same week https://www.mql5.com/ru/forum/221552/page18#comment_6167098 for each instrument. And then make a conclusion, which of the 35 DCs has "every tick is a price change". And which one does not. Note that there are DCs with quotations of 4 digits, though most give 5. Fair enough, every tick is a price change in that DC, but not in real forex.
Alexander stubbornly ignores the difference between the DC ticks and Forex ticks, moreover, he attributes the latter to the moments of transactions. But why do we need it?
This phenomenon has long been investigated by Mandelbrot. Yes, volatility clustering as a memory process is certainly a good thing. But it is too general a concept to try to destroy it through distributions.
We need to understand what lies inside this process. For example, a self-similar fractal structure with a generator of 3 lines. The generator changes - the "trend" changes, but the memory is always present.
OK, suppose we replaced real time with market time
but we will still have a clustering of the market time itself with a floating period, i.e. non-periodic cycles. How do we kill them, through what transformation? they will still remain non-markovian
Max, well, where were you before?
OK, let all processes - both the timing of events and the change in price itself be non-markovian.
And there's nothing you can do about it.
I agree. I burst into tears and after taking off my cap, I bow my head to the market. He's strong, though.
I will now sit in the logarithmic time scale.
Although physics and mathematics are not developed for such time scales, I will hope for a miracle and the Russian "off-chance".
Gentlemen!!!
Don't mention it! I'm off to the logarithmic future...
Max, well, where were you before?
OK, let all the processes - both the timing of events and the change in price itself - be non-Markovian.
And there's nothing you can do about it.
I agree. I burst into tears and after taking off my cap, I bow my head to the market. He's strong, though.
I will now sit in the logarithmic time scale.
Although physics and mathematics are not developed for such time scales, I will hope for a miracle and the Russian "off-chance".
Gentlemen!!!
Don't mention it! I'm off to the logarithmic future...
good luck )) maybe it makes sense to calculate acceptable stop losses for your strategy and everything will work like clockwork, but you need backtests
Good luck )) maybe it makes sense to calculate acceptable stop losses for your strategy and everything will work like clockwork, but backtests are needed
Thank you.
I'll post the price BPs in a logarithmic time scale in a week. It would be interesting to corral them in NS. Shall we give it a try?
Thank you.
I'll post the price BPs in logarithmic time scale in a week. It would be interesting to corral them in NS. Shall we try it?
if you can bind the file in custom symbol mt5, there is a format (ticks)
you can leave only bids, it is also imported in this format
if it is possible to bind the file to the custom mt5 symbol, this is the format (ticks)
you can leave just the bits, it'll import in that format too.
It's good. If anything - we will connect the eager volunteers.
Okay. (Sighs) If anything, we'll get volunteers to come along.
Yeah, I'll show you the results of the "memory" trade experiment later.
but it's not too soon, there's a lot of conditions to come up with... just for fun, and maybe something interesting.