From theory to practice - page 135
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Alexander, hey.
Not yet. Sick. Slowly getting back to work rhythm... Any questions, I'll ask them.
And here, for example, is this week's AUDCAD data:
Nice, isn't it?
It would be really cool if you could explain how to interpret these charts. What are the abscissa and ordinate axes? I don't ask how the graphs are obtained.
It would be really cool if you could explain how to interpret these graphs. What are the abscissa and ordinate axes? I'm not asking about how the graphs are derived.
In that case, what is the point of publishing these encrypted graphs? :)
Perhaps this is one of the reasons for the dissatisfaction of those reading your thread.
Not without Vizard_'s permission. I've covered 90% of the way myself, but the last 10% is his doing and his doing alone.
See, people don't even know how to interpret charts :)))) you can post ready-made TS on this forum and no one will be able to use them. This is a great place to keep all the important information in the open.
See, people don't even know how to interpret charts :)))) you can post ready-made TS on this forum and no one will be able to use them. This is a great place to keep all the important information in the open.
:))))
Who needs it very much - will understand or have understood. I will now leave the forum for a while - I need to double-check everything and make corrections to my TS. Just one correction, Vizard_, you probably guessed which one. Thank you. If you need to calculate the right sample size or something else - you're welcome.
Those who are interested and with an understanding of the case will ask questions in private - I will answer.
But for public access explanations and ready TS will not be available until open permission of Vizard_.
Alas, I can not say that now the solution of this problem is entirely my merit.
No farewell.
Schrodinger's cat and Alexander_K.
Since my beloved daughter and father-in-law are shaking me by the breasts and demand immediate improvement of my TS in order to make a profit, I will write briefly.
So, here is the algorithm I came up with (see attached table for AUDCAD):
1. Receiving quotes in exponential time intervals.
Column A - price Bid
Column B - Ask price
Column C - price (Ask+Bid)/2 - I am working with it, maybe I am mistaken.
Comment: I bring the quote flow to a Markov process with pseudo-states where integral moments of a random variable can be ignored and the equation of motion is reduced to the equation of motion of a quantum particle between two walls. The walls in this case are the boundary values of dispersion of a random variable. 2.
2. Let us analyze the price increments Ask and Bid
Columns D, E, F are increments for Bid, Ask and (Ask+Bid)/2 respectively
I work with pure values of the gradients without transforming them in any way.
3. Calculate statistical parameters for column F (see Sheet 1 in the table). The most important thing is to find a sample volume for sliding window of observations
This is a very important step!!! Based on Chebyshev's inequality we find the required sample size in which the boundary values of the variance will correspond to the confidence level of the forecast.
4. Let's return to the AUDCAD tab of the table and go to the line 15625
Column M - Calculate the length of the particle run in our sliding window of observations = 15625 consecutive quotes.
Columns N and O - Boundary values of the probable deflection of the particle ("wall")
5. Move to Sheet2 of the table
I have copied there columns A, N, M, O beginning from the line 15625 from the AUDCAD tab
6. I build charts:
Top chart - actual price values (Ask+Bid)/2
Lower chart - values from columns B, C and D - we actually see the movement of particles between the walls (in the dynamic channel)
A very important point
I calculated dispersion (columns C and D) in the same way in my model. But I plotted the channel against the moving average SMA for the 15625 sample. Column B was missing.
Was about to switch to WMA, where time was to be used as weights.
The results have been quite satisfactory - out of 6 trades - 4 positive and 2 negative with total profit over 400 pips.
And at this crucial moment Warlock (Vizard_) connected and actually told me with his chart (by hand!!!): Idiot! Why are you working with some moving average? You look at how the particle itself moves (the sum of the increments over the observation time) - it moves relative to zero between the walls!!!
Now I calculate column B and see the following picture:
In the lower graph - motion of the particle in the sliding observation window = 15625 with boundary confidence levels = 99.5%
INGENIOUS SOLUTION!
You can and should make forecasts when the price goes beyond these confidence levels
Or you can simply - when a particle leaves the borders of the channel on the lower chart - open a deal. When it comes back to zero - close it, etc. But I'm not going to impose my opinion - everyone is free to make his or her own forecast algorithm.
But to be honest - I'm not sure I would have done it by my own wits - thanks again toVizard.
Now I just need to replace sliding WMA in my TS figuratively speaking with Column B, and someone should comprehend all described above, ask questions if necessary, and build my TS.
Make money on your own! I personally am not sorry and do not need to find ambiguity in my words.
My father-in-law finally got violent and obscene form makes me finally sit down and finish TS.
I bid farewell, but not goodbye. I am always here and kind of absent - well, you get the idea. Schrodinger's cat, in a word. :))))))))))))))))
https://yadi.sk/d/Q26c4qoS3RbJRn