From theory to practice - page 1700
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Our whole life is an illusion, what can we do now. But sometimes you can get specific ))
Well... illusions stand on our own, their source is subjective=>illusory certainty of being right, the reason for which is powerless to objectively comprehend the facts=>constructing "facts" based on theory, in practice naturally yielding no meaningful result whatsoever.
Only someone who understands nothing about it fails.
A trend and a flat are two stationary series with different probability characteristics. Combining them within a single price series yields a non-stationary process in which the MO and variance are time dependent.
Continue. Let me remind you that the question is how to define the concept of a trend in terms of the properties of probability distributions. Since you've already chosen these terms.
- show me how in terms of MO and variance varying with time you can define what a trend is. Show it. Give that definition. So that it is clear that it gives the same classification as known. For example, like Charles Dow: In an uptrend, subsequent peaks in the graph must be higher than previous ones, in a downtrend, subsequent declines in the graph must be lower than previous ones.
Express the same in terms of MO and variance changing with time.
You are absolutely correct in your reasoning, Vladimir. And the strongest statement I have highlighted (see above).
But, that's the way it used to be. I really only worked with price and its increments and did not take time into account. This is a grave mistake. Now I use in my TS specific time of market events, tick volumes, time intervals between quotes. I pay huge attention to the sequence of events.
As a result, here are my last 10 trades:
Don't be lazy - look at the accuracy of entry and exit.
Don't be lazy - take a look. Return trades, as usual, to the last average. It worked out well, not a single entry turned out to be the start of a long trend against the trade.
You may see that the first two trades were opened in the ejection of the AUD, then three on the JPY ejection, next two again on the JPY ejection, then two on the CHF ejection and the last one on the AUD ejection. The closes are also on spikes.
You may want to display 8 pairs of ejections instead of 28. It would be more accurate and simpler.
Regarding the time intervals between quotes. This is not the only property of price sequences. And in a sequence, time does not play the usual role, what matters is the sign of the time difference. What is before and what is after. As in topology. The directions of steps and their lengths (size in pips) are key. This data is enough to draw a curve of rate changes, if we forget about the even flow of astronomical time and go to our own time (in Forex it is also called operational time, we can consider it as just numbers of ticks or candlesticks).
Regarding the time intervals between quotes. This is not the only property of price sequences. And in a sequence, time does not play the usual role, what matters is the sign of the time difference. What is before and what is after. As in topology. The key is the directions of steps and their lengths (size in pips). This data is sufficient to draw a curve of rate changes, if we forget about the even flow of astronomical time and go to our own time (in Forex it is also called operational, you can think of it as just numbers of ticks or candlesticks).
Vladimir, if you do not have the Grail and wish to participate in its creation, I officially ask you to participate in the work on the divergence indicator.
First of all I am interested in Hearst and autocorrelation coefficients.
It is necessary to choose an agreed upon period (for example, a week) of investigation of a certain currency pair. Both trend and flat movement should be observed during this period. We should consider the values of the specified ratios when the price leaves a dispersion channel (conditional "corridors of Katya Savkina":)) both on OPEN M1 and on ticks.
Then I will provide my series with detailed explanations of where it comes from and why I work with it. I need to check the Hearst and autocorrelation coefficients using it too. Make a summary table of all experiments, compare the results of studies, draw conclusions.
In return, I want a full description of my own algorithm with detailed explanations.
If you are interested, please contact me in person.
Alesha, there is no probability theory in its canonical form.
There are studies of a random process in the market by various methods in order to reduce it to known models - Ornstein-Uhlenbeck process, Variance Gamma Process (both are reversible to the mean) or simply to a formula or to a sine wave.
That is, those who yearn to see something they know in the monitor. And if that requires a move to Hilbert space, we'll do that too.
I have a huge request to you (I'm repeating it for the billionth time already) - help me to investigate indicators of discontinuity in practice, for example the Hurst parameter. First, on OPEN M1, then on ticks, and then I will download my transformed series. The problem of the discontinuity indicator (deviation from the known model) still remains, even though I am far advanced in this direction.
You'll write an article, you'll get money, you'll give people hope. А?
Google something like "ornstein uhlenbeck process change detection". There's enough articles on the subject already.
Go on, then. Let me remind you that the question is how to define a trend in terms of properties of probability distributions. Since you've already chosen these terms.
- show me how in terms of MO and variance varying with time you can define what a trend is. Show it. Give that definition. So that it is clear that it gives the same classification as known. For example like in Charles Dow: in case of an uptrend, the next peak on the chart must be higher than the previous ones; in case of a downtrend, the next declines on the chart must be lower than the previous ones.
Express the same in terms of MO and variance changing with time.
What should I continue to do for you, oh Vladimir?
Shall I give you the first-year university textbook?
Or reveal the hidden secret of information under the codename "Google trend in mathematical statistics"?
P.S. Approximate the time series with a linear function, take the slope of the straight line, introduce the trend-flat evaluation criteria and the golden key is in your pocket.
P.S.S. Putting mathematical statistics on the ramblings of a 19th century journalist with no mathematical background - I'll pass.
If you knew, hillbilly, who you were talking to in that tone of voice, you'd have yourself banned forever (if you had a conscience, of course).
It's people like you that make me disgusted to be on this forum.
If you knew, hillbilly, who you were talking to in that tone of voice, you'd have yourself banned forever (if you had a conscience, of course).
People like you make me disgusted to appear on this forum.
And what should I do, "physicist", if I am communicating with a person who just today learned that the concept of trend is included in the apparatus of matstat and is taught in the first year of university?
And what am I to do, "physicist", if I am communicating with a person who just today learned that the concept of trend is part of the apparatus of matstat and is taught in the first year of uni?
The question was specific - how to determine the trend with the help of MO and dispersion? The answer was no. That is why we are looking for the so-called trend indicator.
Vladimir never asks questions for nothing. He is the only person here who always tries to help. What's more, I know his level of training and education. You shouldn't talk to him like that. You can talk to me :)
The question was a specific one - how do you determine the trend with MO and variance? The answer is that you can't. That is why we are looking for the so called "breakdown indicator".
Vladimir never asks questions for nothing. He is the only person here who always tries to help. What's more, I know his level of training and education. You shouldn't talk to him like that. You can talk to me.)
What are you gonna do with him...
1. You have a flat - a section with conditionally constant MO. A trend starts - the series increases or decreases, having moved above or below the upper or lower limit of the horizontal channel. Does the IR change or remains constant? Calculate the IR in a sliding window, select the optimal size for the indicator sensitivity change. Compare the values of the MO at different points in time to determine the strength and direction of the trend.
2. you, "physicist", I wrote to you two years ago - there is no indicator of a breakdown. And there can't be. And if there were - all your research would be unnecessary, because you could generate profits with the simplest TA models.
3. I forgot to ask you.