From theory to practice - page 1500
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It looks like a little bit. Now take the cumulative sum over some period of time, calculate the standard deviation using the formula =sqrt(D*t), multiply by some quantile of the Gaussian distribution. You will get to a stationary channel relative to 0. When crossing the upper limit - SELL, when crossing the lower one - BUY. Exit from the trade - when returning to 0. That's all.
Yes ... I'm still trading with other quantiles)) It's all fun)) Here's the eu picture. That one was on gold.
Lousy pound is literally destroying my TS... It's a shame...
Well, the breakxit, it is logical to expect a deviation from the usual behavior, it may even reach 1.10, it is better not to trade at such a time or with a very small volume
I missed it again. Let me see what it is.
I drew thousands of nice incremental sums with no quantile intervals. The problem is the same, price does not always go up when going over the lower boundary.
I think you didn't have a series like Koldun's. Unfortunately, we still cannot find the transformation for stationarity, and it is nonsense to work with the ordinary series of increments on the minutes, no matter on what.
But, Felix (sorry, my friend!) seems to have something similar...
More thoughts on the key.
All currencies are rigidly connected to each other and a change e.g. SYM1.SYM2 will immediately appear on all currency pairs where these currencies are present. (At least I did not find arbitrage situations where the actual value of the price was strongly dissimilar to that calculated for other currency pairs).
We take and analyse the kurtosis of all currency pairs that have SYM1.SYM2 currencies and adjust the variance formula based on the total (or maximum) kurtosis.
Well, the breakxit, it is logical to expect some deviations from the usual behavior, it may even reach 1.10, it is better not to trade at such time or with a very small volume.
What people are here! Join us in this thread, my friend! Already a blind man can see that Bablacocos is completely exhausted. And there's still a chance here. There is.
Lana. That's just me - if you're willing.
The main idea of Koldun (actually, like me at the beginning of this thread) is to convert the original series of increments to a stationary form. When the probability distribution is symmetric and has a constant variance.
In this case, indeed, the process has no drift and the profit is easily extracted using the cumulative sum of the increments.
But, how to do such a conversion! Do I know?!!! I have no idea.
https://www.hindawi.com/journals/tswj/2015/909231/
https://www.hindawi.com/journals/tswj/2015/909231/
Thank you, Max! The pictures are similar to the ones Koldun showed. I'll be sure to read them.
Thank you, Max! The pictures are similar to the ones Koldun showed. I'll be sure to read them.
I think, already posted, but no one read it :) I do not asylil. Google told me that there is only this method and it is effective. There is also a non-parametric method of bruteforce, but I could not find the information.
I think I've posted this before, but nobody's read it :) I haven't got the hang of it. Google told me that there is only this method and it is effective. There is also a non-parametric method of bruteforce, but I could not find information.
I had no time. And now I'm on holiday, I'll try to do it.