From theory to practice - page 1106

 
Maxim Dmitrievsky:

Alexander, what about entropy, abandoned?

How was it supposed to be applied?

Forum on trading, automated trading systems and trading strategies testing

From Theory to Practice

Alexander_K, 2019.02.08 14:06

https://habr.com/ru/post/305794/

It's all there. When the entropy of the process is -->0, then we are sitting in a trend.

Obviously, when the entropy of the process is-->0, then there is deterministic movement and one can make money on the trend.


It's not that I've abandoned everything - but, I won't enter the market again without an insight, a brilliant idea.

Only a Bass or an Automaton can do that - for decades (!!!! I feel horror and awe at the same time) to look for patterns in the market.

 
Martin Cheguevara:
Can you do as I tell you or not? It's not hard... No means no.


So why delete messages with a formula? It's definitely upside down...

 
Evgeniy Chumakov:

So why delete posts with a formula? It's definitely upside down...

I must have drunkenly posted it.

For some reason I thought he was drunk yesterday and copied the post in case there was a storm in the thread.

;)

 
Alexander_K:

Obviously, when the entropy of the process is -->0, there is deterministic movement and one can make money on the trend.


It's not that I've abandoned everything - but, I won't enter the market again without an insight, a brilliant idea.

Only a Bass or an Automaton can do that - for decades (!!!! I feel horror and awe at the same time) looking for patterns in the market.

I do not agree, as "memory" may also be present in a flat, as far as we know from the articles

interesting thoughts on ACF. AEF, if you like.

 
Maxim Dmitrievsky:

I disagree, as "memory" can also be present in the flat, as far as we know from the articles

Interesting thoughts on ACF, AEF, if you like.

To be honest, I can't see how ACF can be applied to the market.

I've been working with the autocorrelation coefficient between increments:

Looking at price behaviour for different N for positive and negative values of this coefficient.

Bottom line - nothing, no direct correlations. Works worse Than asymmetry and kurtosis.

 
Alexander_K:

Frankly, I have no idea how the ACF can be applied to the market.

I have been working with the autocorrelation coefficient between increments:

Looking at price behaviour for different N for positive and negative values of this coefficient.

Bottom line - nothing, no direct correlations. Works worse Than asymmetry and kurtosis.

On pure VR the ACF does not work properly, that's why I wanted to see how the AEF would behave with the same data, I'll finish the experiment soon

 

So I used that formula to calculate X for those sections before the lines crossed, and this is what I got.


 
Alexander_K:

It's not that I've abandoned everything - but, going out into the market again without an insight, a brilliant idea, I won't.

Only a Bass or an Automaton can do that - for decades (!!!! I am horrified and in awe at the same time) to look for patterns in the market.

And in physics, do you also sit around for years waiting for a brilliant idea?

Or do you go to work every day and quietly research?

 
Alexander_K:

Obviously, whenthe entropy of the process is -->0, then there is deterministic movement and you can make money on the trend.

And what is the entropy of a triangular signal equal to, as you understand it?

 
Evgeniy Chumakov:


So why delete messages with a formula? It's definitely upside down...

You probably don't need it.
Just didn't waste your time or mine.
Reason: