From theory to practice - page 101
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By the way, what I said above does not apply to clever people who understand that without a clear understanding of the process it is impossible to make money on forex and do not have illusions about it, but work diligently. I will continue my way with them. And people like the ever-memorable Reshetov let them continue to mess around in neural networks. And where did he manage to find networks in sunny Uzbekistan? I do not understand... :)))))
First of all, I would not be so quick to call the process physical... But even if you call it as such, I see that your understanding of the process is completely absent and you are not even at the beginning of the path. Experienced frequenters of the forum piled on you like a heap of definitions, notions and regularities that take years or even decades to comprehend. In general, I wouldn't be in a hurry to assert that you understand the process either!!!
As for those topics that are discussed here at the moment I myself go to this forum just to laugh... because I couldn't come up with any nonsense like that on purpose!!! So maybe you're doing quite a good thing. This topic has really earned the attention of even those people who have been simply reading the forum for years but have now decided to engage in controversy. And that's already worth a lot - way to go!!!!
Within a minute... within seconds and fractions there are flash crashes. Exchange servers process thousands of requests per second. But that's all lyricism.
The lyric is that time is of the essence in making a profit from exchange transactions.
I see you're a big fan of pushing your own point of view.
I take my leave.
If I do criticise, my criticism is behind me and there is no need to look for reasons to be upset. You've been taken advantage of by the aggrieved.) That's why I'm here - to cheer you up. And maybe to set you on the right path... Otherwise you are going crazy in your formulas here The main thing is not to confuse where banter and where valuable thoughts))) and not to confuse admonitions with the thoughts of "little kid", although sometimes young children think thoughts higher rank than any adult. Adults are too bogged down in formulas and conventions ... It's hard for them to get out of them. So don't go too deep or you'll be as confused as Rechet.
the thoughts of great people become clear not at once and sometimes not even in their lifetime. and not everyone is recognized as great by other "clever people". after all, they cannot see anything behind their "wit", behind the beam in their eye
Yes, well, while the most experiencedpodotr, having received approval from Trump, and hardly translating his American thoughts into Russian, is practicing his fine words here, let's continue.
I attach the links to the calculation files for AUDCAD and AUDCHF currency pairs.
There you can see the calculations of the sample volume, histograms of increments and divergences, quantile calculations etc.
The preparation for the start of TC is almost completed. I am looking forward to the New Year.
https://yadi.sk/d/9Bje2_KB3R25SA
https://yadi.sk/d/n2Oh5JNs3R25Zw
Sincerely,
Alexander_K
Some thoughts on the theory outlined in the very first post of the thread. I see some inconsistencies with probability theory in the way it is stated.
1) When we construct an empirical distribution from a sample and assume that it is an approximation of some distribution, we always make some assumptions. The simplest version is to assume that our sample is a particular realisation of a sequence of independent equally distributed quantities. In our case we are talking about price increments and if this assumption holds for them, then our process will belong to the class of processes with independent stationary increments (let's shorten it to SNAP).
2) The distribution of the increments of a PSP process belongs to the class of infinitely divisible distributions. The Student distribution belongs to this class only if its degree of freedom is unity, in which case it coincides with the Cauchy distribution.
3) The class of PNSP is included in the class of Markov processes.
4) Diffusion processes are Markovian by definition
5) The process under consideration is not described by the usual Fokker-Planck equation, since drift and diffusion here are not single-valued functions of price and time, but represent some functionals defined on the whole prehistory of prices. For this reason, the process (if of course it exists) is probably, yes, non-Markovian.
By and large, as the discussion progressed, I realised that reading tick data at exponential intervals is the only correct way to collect data. The histograms I'm posting here are proof of that. Any other method results in some kind of muddle, and pure Steward shows up that way.
exponential is this.
this topic is a good one. no one has studied the forex distribution thoroughly yet.
well, a graph has been drawn.
but no one has analyzed it.
no one has the appropriate education.
Some thoughts on the theory stated in the very first post of the thread. The way it is stated, I see some inconsistencies with probability theory.
1) When we construct an empirical distribution from a sample and assume that it is an approximation of some distribution, we always make some assumptions. The simplest version is to assume that our sample is a particular realisation of a sequence of independent equally distributed quantities. In our case we are talking about price increments and if this assumption holds for them, then our process will belong to the class of processes with independent stationary increments (let us shorten it to SNAP).
2) The distribution of the increments of a PSP process belongs to the class of infinitely divisible distributions. The Student distribution belongs to this class only if its degree of freedom is unity, in which case it coincides with the Cauchy distribution.
3) The class of PNSP is included in the class of Markov processes.
4) Diffusion processes are Markovian by definition
5) The process under consideration is not described by the usual Fokker-Planck equation, since drift and diffusion here are not single-valued functions of price and time, but represent some functionals defined on the whole prehistory of prices. For this reason, the process (if of course it exists) is probably, yes, non-Markovian.
Greetings!
Here come the real pros, finally!
1. And right away you're wrong. Our increments depend on each other, and how! I do not know why, but on the very first day of my analysis I understood that there is a dependence between two successive quotes - we obtain a vector from the current and previous price. 2 degrees of freedom. There is and cannot be anything else in the increments than a t2 Student's distribution! But, gosh, it's kind of "unclean". In fact on the increments we have a probability density function = product of the t2-distribution and some kind of exponential distribution with a rather large lambda. What this exponential component means - can't figure it out yet. Working.
2. There is no Cauchy distribution and never has been.
3. 4. 5. We have exactly a non-Markovian process. And that's what we have to build on. And the Fokker-Planck equation, of course, does not fully describe the behaviour of the probability density function. It should contain an integral term. The result is an integro-differential equation.
You need to write an Expert Advisor and test it over a long period of time.
Why do you need to study all pairs?
You may try it on other symbols.