From theory to practice - page 1010
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No practice or theory for weeks)))))))))))
The first pancake
And then the preparations continued for another battle, putting theory into practice
so...
It's about to start ;)
I decided to compare the number of real S1 second timeframes, i.e. those second bars which have at least one real tick coming in. The second bars, during which there was not a single real tick, were not considered.
Results for the previous week:
As you can see, the number of non-empty second bars varies a lot. I think the number of ticks is also different.
Conclusion: working with ticks or real S1s within moving sample volumes is highly discouraged.
However, I am absolutely sure that it is necessary to use a sliding time window = 1 hour, 4 hours, ... but not the sliding volume of tick/second samples = 10.000/20.000/... ticks etc.
Maybe this table will help someone :)))
Good luck everyone!
I've been doing some research the other day...
exponent - there's something about it...
I've been doing some research the other day...
exponential-- there's something to it...
We'll get to the exponent.
In a week I will post statistical data for the S2 timeframe. Let's look at the number of real non-empty 2-second bars in different DCs and the time intervals between them. There should be something like the simplest flow of events with a time exponent between them.
The goal is to find the simplest flow with the same amount of data in different brokerage companies. In this case it is possible to apply Ito difurrs to the market, of which Oleksiy Nikolaev speaks with no knowledge of anything else at all. Besides, I want to look not at distributions of increments but at distributions of instantaneous velocities. I smell the grail there... Just - shh... Not a word to anyone, not half a word!
We will get to the exponent.
I will post statistical data for the S2 timeframe in a week. Let's look at the number of real non-empty 2-second bars at different DCs and the time intervals between them. There should be something like the simplest flow of events with an exponent of time between them.
The goal is to find the simplest flow with the same amount of data in different brokerage companies. In this case it is possible to apply Ito difuras that Oleksiy Nikolaev speaks of, being absolutely clueless about anything else. Besides, I want to look not at distributions of increments but at distributions of instantaneous velocities. I smell the grail there... Just - shh... Not a word to anyone, not half a word!
It's about the same as judging the movement of an aeroplane by the vibrations of its fuselage.)) Let's go! For the Grail!
It's about the same as judging the movement of an aeroplane by the vibrations of its hull.) Let's go! For the Grail!
I'm not sure if this simple flow can be found right on S2, maybe - it's on higher second TFs up to M1. But, I don't need M1 anymore - there the instantaneous velocity is an increment, and I need exactly instantaneous velocities, i.e. increments/time, where time is exponentially distributed.
I hope there's something interesting there...
In the distribution of instantaneous velocities of a simple stream of market quotes I desperately long to find the key that separates random and non-random price movements in the market.
I want to deal exclusively and only with random processes like Laplace Motion, while non-random, trend movements piss me off and drive me to my grave.
To be clear.
Here's a classic stationary Laplace Motion:
This is the kind of process you can and should make money from, no matter what anyone says.
And here is the actual market picture I have already given:
On the lower chart you can clearly see a non-random movement (marked with a rectangle), when the price is in a trend, i.e. the sum of increments is in the tail of the distribution for a long time. The classical Laplace Motion does not have such area and these trends are tearing my TS like investors in Alyoshenka the son, who tried to hide from them in vain...
I'm not going to use my own practice until I find the key I coveted, stop embarrassing myself. And I do not recommend anyone who wants to go to the market without it.
We will get to the exponent.
In a week I will post statistical data for the S2 timeframe. Let's look at the number of real non-empty 2-second bars at different DCs and the time intervals between them. There should be something like the simplest flow of events with a time exponent between them.
The goal is to find the simplest flow with the same amount of data in different brokerage companies. In this case it is possible to apply Ito difuras that Oleksiy Nikolaev speaks of, being absolutely clueless about anything else. Besides, I want to look not at distributions of increments but at distributions of instantaneous velocities. I smell the grail there... Just - shh... Not a word to anyone, not half a word!
With your approach to the Grail, the Grail is as far away as the moon.
1. For example, if you do not know the difference between the market and the real one, then you cannot be sure of the correctness of the exchange rates. The minimum quantization unit in the platform is m1 - all that is below, you can forget about it (for the current worldview/opportunities).
2) Ticks in your story can appear one at a time or in a batch. Accordingly, if there was a signal in this pack, it is long gone and it doesn't bear any meaning/reasoning for the use of tick flow.
3) If the amount of ticks per minute is greater than 100 (for example), i.e. 1-5 ticks per second, then we can talk about an active market process.
Why settle on 3-sigma, when there is and can be 4-sigma and 6-sigma.
We will get to the exponent.
In a week I will post statistical data for the S2 timeframe. Let's look at the number of real non-empty 2-second bars in different DCs and the time intervals between them. There should be something like the simplest flow of events with a time exponent between them.
The goal is to find the simplest flow with the same amount of data in different brokerage companies. In this case it is possible to apply Ito difurrs to the market, of which Oleksiy Nikolaev speaks with no knowledge of anything else at all. Besides, I want to look not at distributions of increments but at distributions of instantaneous velocities. I smell the grail there... Just - shh... Not a word to anyone, not half a word!
Instead of being rude and slanderous, you should count the ACF SB)
While you've been bouncing around here, you could've learned the theoretician to a decent level by now. I can find you a good tutor. If you can't afford a tutor, I recommend MIT's free courses on youtube.