From theory to practice - page 15
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I have the proof - but I want young people to work in that direction.
As Feynman or Young (who is in the field of calculus of variations) used to say, before solving a problem, it's a good idea to find out whether it needs to be solved at all).
In this case I would clarify whether it has a solution. Alexander, since you have decided to put into practice, let me quote a famous person who created at least two brokerage companies http://forum.raufr.ru/showthread.php?52927-Иллюзии-и-реалии-пипсовки&p=1468023&viewfull=1#post1468023on 02.09.2008 (at that time scalping was not a common word, they used to call it pips, and a pip was 0.0001):
Point the finger at the idiot who teaches people to pip! Please understand, pips - there is a squeeze of pips from the broker - this is not the right approach. This is not right at all! Imagine pipsing on a demo account.... There is no control over your demo account and there is no money. Your pipsing is a guaranteed winning strategy. In a demo account!
Pipsing you on cent account - of course, your strategy is guaranteed - but only in your eyes, because - the loss of 50 cents from each transaction - is an acceptable loss for the broker - because YOU, pipsing - will attract tens and hundreds of others, pipsers, which the broker will successfully give away for tens and hundreds of thousands of dollars! Pips = 1 cent - no attention; Pips = 10 cents - no attention; Pips = $1 - questionable; Pips = $10 - attention; Pips = $100 - ahtung; Pips = $1000 - hands off; Pips = $10000 - drain!!!!
What are you talking about anyway? What pips? A broker offering you a spread of 0 - 1 pip is able to "short" you by 8 pips from a trade. A competent dealer will even let you down 10 pips. What the hell is a pip!?? Who teaches you this crap?
People!!! Awww! Watch the news, assess the political situation, watch the inflation parameters and economic indicators of the country whose currency you are trading!!!! And you'll be happy!
Moderators and other forum members - please explain to people the things that turn them into sheep for slaughter... Shame on you! Honestly, very embarrassing!!!
Point the finger at the idiot who teaches people how to pipsqueak! Please understand, pips - there is a squeeze of pips from the broker - this is not the right approach. This is not right at all! Imagine pipsing on a demo account.... There is no control over your demo account and there is no money. Your pipsing is a guaranteed winning strategy. In a demo account!!!
The broker doesn't care at all what you do, it only executes your orders and nothing more. The exchange also does not care, and even good - you create liquidity and pay the commission.
In the case of DC (dealer), he is the counterparty to the transaction and it is his risk and money, by pipsing you take his money. Of course he is against it.))
It's a question of terminology.))
You may use pipsing at the stock market (with some limitations), at Forex it is impossible in principle. Working on ticks with DC Forex is a dead end, I agree. This problem in this formulation has no solution.
Here, Vladimir - you with your speeches arouse more doubts in me, than SanSanych. That one is simply engaging in physical and mathematical debates, while you are pushing psychology... Why? Well, if Forex screws me over, then I'm a fool. But I won't just give up!
These are not my speeches, but the founder of FC. I'm not calling you to give up, I am calling you to go to the area, where the filters of DCs and dealers' ability to corrupt a client will not affect - to a larger scale of rates fluctuations. There is a pattern there too, why don't you look for it with your methods.
I see. But, it's not like I was going that route. Profit is not the most important thing to me. The problem must be solved beautifully. SanSanych requires proof of the stationarity of the increments. It is obvious that the man understands the subject and this fact caught him - he cannot reconcile with this. And I appreciate such moments - the person THINKS and understands all beauty of the given hypothesis. I have proof - but I want young people to work in this direction.
If profit is not the main thing for you, most likely you have nothing to do here.
The main thing here is profit.
Unless you are going to convert the beauty of the idea into money.
!!!!!!!!!!!!!!! My homage. Richard Feynman! Who knows this man is definitely a colleague of mine. And the task will be solved. I am writing less now - processing the results. Working, in general. The New Year is just around the corner - I have less and less time...
Don't wait, get ready! Revolution set for 01.01.2018 ?
You could write an article on the material in this thread - Non-stationarity and Non-normality as a bugbear).
Signals and noise have never been stationary or normal, but radio engineering and signal theory were doing an excellent job of processing them back in the analogue era, and now signals are being extracted from under noise as well. Even in the past they were successfully taken out and restored on old BESMs and ECs.
Literature on these issues is abundant - on methods in radio engineering, image processing, geophysics, astrophysics, etc. I can point you to the literature - there are books on the shelf).
All very correctly: a huge and very successful branch of science and technology called radio engineering. We should also add control theory to it.
And what does this have to do with the financial rows? Where have you seen SIGNAL in the financial rows? And in general, what kind of process is a "financial series": stochastic, deterministic or a mixture of both?
Gentlemen!
Econometrics and economic-mathematical methods are a separate science, understand? And from that both letters are identical in texts and even the formulas are identical - all the same it is necessary to prove applicability of extraneous methods in economy.
And the reason is this: apart from stochastic and deterministic processes, there are UNDETERMINIC processes - these are processes where human beings are elements and they behave randomly (flow of passengers in underground) or deterministically (in army). But the problem is that such an undetermined process can switch from stochastic to deterministic or a mixture of both at any moment, as we are seeing in the financial markets.
And when we start starting from the fact of UNIDENTIFIED processes in financial markets, it will turn out that mathematics, which is huge and successful in other areas, does not work in financial markets. And this is not my invention. You can look at the works of the Institute of Management Problems and the Institute of System Analysis of the USSR Academy of Sciences in the 70-80's. It is chewed up and broken down.
And one last thing.
Mathematics until the 20th century was developing for physics, even a classification of sciences was: physics and mathematics, and there were no mathematical sciences.
In the 20th century, the development of mathematics goes to serve the needs of economics. The economic sciences (application of economic and mathematical methods) emerged.
Look at the mathematics applied by Nobili.
The sooner the various physicists, radio engineers, automaton engineers and other balalaika graduates on this forum accept all this, the better it will be for them and the less blatant rubbish on the forum.
All very right: a huge and very successful branch of science and technology called radio engineering. You have to add control theory to it as well.
What does this have to do with financial rows? Where have you seen SIGNAL in the financial rows? And in general, what kind of process is a "financial series": stochastic, deterministic or a mixture of both?
Gentlemen!
Econometrics and economic-mathematical methods are a separate science, understand? And from that both letters are identical in texts and even the formulas are identical - all the same it is necessary to prove applicability of extraneous methods in economy.
And the reason is this: apart from stochastic and deterministic processes, there are UNDETERMINIC processes - these are processes where human beings are elements and they behave randomly (flow of passengers in underground) or deterministically (in army). But the problem is that such an undetermined process can switch from stochastic to deterministic or a mixture of both at any moment, as we are seeing in the financial markets.
And when we start starting from the fact of UNIDENTIFIED processes in financial markets, it will turn out that mathematics, which is huge and successful in other areas, does not work in financial markets. And this is not my invention. You can look at the works of the Institute of Management Problems and the Institute of System Analysis of the USSR Academy of Sciences in the 70-80's. It is chewed up and broken down.
And one last thing.
Mathematics until the 20th century was developing for physics, even a classification of sciences was: physics and mathematics, and there were no mathematical sciences.
In the 20th century, the development of mathematics goes to serve the needs of economics. The economic sciences (application of economic and mathematical methods) emerged.
Look at the mathematics applied by Nobili.
The sooner the various physicists, radio engineers, automaton specialists and other balalaika graduates on this forum accept all this, the better it will be for them and the less blatant rubbish on the forum.
The obvious rubbish is "Nobili" from economics.
You just don't get it...
The outright rubbish is the "Nobili" from economics.
You just don't get it...
If you take Markowitz and his Nobili pals with their portfolios, ALL the financial institutions in the world have been using those same portfolios on their theoretical basis for 40 years.
Is that rubbish?
And Clive Granger and his cointegration? Is that also rubbish?
Shall I go on and on? Maybe you should start listing Soviet economists and mathematicians. Like Kantorovich with his linear programming?
More? Or are you able to do it yourself.
...What is the best way to organise the collection of tick data??? At the same time intervals, exponentially distributed? Is EVERY tick quote that important???
Imho, we'll have to do a comparison here... It's worth trying on minute close prices first. It's easier to collect them - less preparatory work.
And then check the results with ticks. Again, imho, ticks are not the only thing that causes confusion. Earlier, I also said, that they are usually taken on large TFs (daily, H4).
In the tester, you can collect ticks or any necessary series by any convenient algorithm, but it will need coding...