From theory to practice - page 1087
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Because one of them is trying to pull TAU on the market and the other is trying to pull physics on the market.
Quite worthy sciences, but nothing to do with pricing.
It's a classic mistake of all smart people to try to stretch their previous backgrounds into the market.
What I meant was that "pulling physics" is not going to get you anywhere. We have GDP growth of 4% a year, money emission is around 8% and from different centres. And not evenly:-)
Therefore projection of wave functions and statistical methods do not work. It is like using a ruler at the moment of the big bang, where space-time has not yet folded to the concept of meter.
The nearest analogy, to make supposedly physicists understand - the big bang and unclosed systems of thermodynamics
Because one of them is trying to pull TAU on the market and the other is trying to pull physics on the market.
Quite worthy sciences, but nothing to do with pricing.
It is a classic mistake of all clever people to try to pull their previous background on the market.
I can even say more - for unknown psychological reasons, this background simply prevents any attempt to abandon the already chosen theory and reconsider their views on the market:))) It's just amazing - but, it really is.
While I, overturned by the market, lie in a cesspit and Schrödinger's cat has apparently escaped to a more successful owner, it is time for a more thorough analysis of the fundamental differences between the market and stochastic process models, quantum transition models, etc.
And the most important difference is the timing of events, i.e. the arrival times of new quotes.
Here is my recent post:
Forum on Trading, Automated Trading Systems and Testing Trading Strategies
From theory to practice
Alexander_K, 2019.03.02 15:27
Decided to compare the number of real S1 second timeframes, i.e. such second bars that have at least one real coming tick. Seconds bars during which there was not a single real tick coming in were not counted.
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 moving time windows = 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!
So, it is simply obvious, that already at the stage of collecting data for analysis a fundamental difference of the market from all known processes arises.
The time of coming of quotes and their amount are different for different brokerage companies.
In addition, the process in the market is NOT self-similar, no matter what anyone says.
These two problems cannot be solved by evenly discretizing the process (working with OHLC M1, M5, ...), because such discretization is valid only and only for continuous signals or for self-similar processes (like Brownian motion).
I.e. we already make terrible mistakes at the initial stage - either by working with ticks or with OHLC M1, M5,... Both solutions are wrong!
Therefore, all other considerations and methods of the Grail construction do not make any sense beginning from this initial level.
And how to properly collect data for analysis? I don't know!!!
I'll do some experiments next week, and if there's anything interesting I'll let you know.
The obvious fact remains that the Grail lies in the method of taking quotes, thinning them out, pre-processing them.
I can even say more - for unknown psychological reasons, this background simply suppresses any attempt to abandon the theory already chosen and reconsider one's views on the market :))) It's just amazing - but, it really is.
one more time:
in the process of learning the truth, delusion exposes itself
butooo you are on your way to khee khee success)
I am inclined to believe that since mankind has not yet invented anything better than working with sliding windows (meaningful sample volumes of data), we should work with them in the market as well. But - obviously - these have to be smart, dynamic windows, combining both the time component, and tick volumes (trading intensity).
You can't just use sets of ticks. A simple time window (=24 hours, for example) with the even reading of quotes - the same.
And what is the right way to do it? How to determine and calculate the non-locality and non-linearity of the market time? This is the problem I am working on now.
I am inclined to believe that since mankind has not yet invented anything better than working with sliding windows (meaningful sample volumes of data), we should work with them in the market as well. But - obviously - these have to be smart, dynamic windows, combining both the time component, and tick volumes (trading intensity).
You can't just use sets of ticks. A simple time window (=24 hours, for example) with the even reading of quotes - the same.
And what is the right way to do it? How to determine and calculate the non-locality and non-linearity of the market time? This is the problem I am working on now.
I am inclined to believe that since mankind has not yet invented anything better than working with sliding windows (meaningful sample volumes of data), we should work with them in the market as well. But - obviously - these have to be smart, dynamic windows, combining both the time component, and tick volumes (trading intensity).
You can't just use sets of ticks. Just a time window (=24 hours, for example) with a uniform reading of quotes - the same.
And what is the right way to do it? How to determine and calculate the non-locality and non-linearity of the market time? That is the problem I am working on now.
You are a physicist, or at least you consider yourself to be one.
Do you have a good reason to believe that market time (what is it?) is non-local and non-linear?
You're supposed to be a physicist, or at least you consider yourself one.
Do you have a good reason to believe that market time (what is it, by the way?) is non-local and non-linear?
Well, Einstein proved that, and you can see for yourself. Look at the quotes in the terminal, they're all 2-4 hours old.
Well, Einstein proved that, and you can see for yourself. Look at the quotes in the terminal - they're all 2-4 hours old.
I didn't know Albert was a forex dealer. In which of his works is there any mention of "market timing" ?
I don't think you or A_K have astronomy and time zone issues in mind :-)
didn't know Albert was a forex trader. In which of his works is there a mention of "market time" ?
I don't think you or A_K have astronomy and time zone problems in mind :-)
Albert and Minkowski were working in Lorentzian space-time coordinates. I suppose one should do the same in the market - and then we will see a very different picture of the process...