From theory to practice - page 230
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Dear Alexander, I went to your huge branch where you first made these hypotheses. To be honest, I have no time to read such a huge thread. Please tell me, what particular conclusion you came to while discussing these hypotheses with other respected forum participants?
So, you've defined hypotheses - have you checked them statistically? If so, what optimal trading algorithms have you established?
Greetings Alexey!
Read the thread at least diagonally - you won't regret it.
In brief:
1. t2-distribution of increments is NOT confirmed. The real distribution is the product of two functions and it is stable. From it we find the sample volume and use the incremental weights to calculate the WMA.
2. Diffusion coefficient is calculated with obligatory consideration of trading intensity.
3. We counter-trade to the WMA.
It's interesting enough and good books can be found here.
And yes - interesting people met here, unforgettable communication. It brings a tear to my eye...
Greetings, Alexey!
Read the thread at least diagonally - you won't regret it.
In short:
1. t2-distribution is NOT confirmed. Real distribution is a product of two functions and it is stable. From it we find the sample size and use the incremental weights to calculate the WMA.
2. The diffusion coefficient is calculated with mandatory consideration of bidding intensity.
3. We counter-trade to the WMA.
It's interesting enough and good books can be found here.
And yes - interesting people met here, unforgettable communication. It brings a tear to my eye...
And now my eyelid suddenly fluttered.
And yet the state?
My eyelid suddenly fluttered open.
And still the state?
Already sobbing in my voice, I deliver what I promised:
Already sobbing in my voice, I deliver as promised:
Grazie gud, the issue is resolved.
Thanks.
1. The t2-distribution of the increments is NOT confirmed. The real distribution is the product of two functions and is stable. From it we find the sample size and use the incremental weights to calculate the WMA.
2. Diffusion coefficient is calculated with obligatory consideration of trading intensity.
3. A counter-trend trade to the WMA is performed.
1. If you don't mind, please write me the type of these functions.
1. If you don't mind, please write me the type of these functions.
Read our colleague Shelepin L.A., especially pp.9-10, it is all there.
Read our colleague Shelepin L.A., especially pp.9-10, it's all there.
What a beautiful state -the diffusion coefficient must be taken into account, with the obligatory consideration of trading intensity.
i.e. is there a specific relationship in this book for the probability density function of price, which you have statistically confirmed on an array of its histories, or what?
Formula (14) is the probability density function of price increments. Confirmed experimentally.