From theory to practice - page 27
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Thanks for sharing, of course, you have interesting ideas, but to be honest, I don't really see what can be used here yet, I suspect the result will not be much better than bollinger)
Three trades in the plus is great, but you as a mathematician should understand that for more or less reliable estimate you need at least several dozens of trades? How many deals did you observe on your demo account?
And there is another detail. All the constructions - both yours and the Bollinger's ones - are coming from moving average. But you are trading not deviations from the average, but the price in its pure form. And the moving average is not a very reliable reference point, because it shifts behind the price. And if in respect to the MA, the price can go out of the channel and return to it, then it can in fact, relative to some reference level, continue going out. In practice, this means either a loss or a drawdown. Do you have an understanding of this process, can you comment on it?
In general, the fact that the price is in some distant place does not mean that it will "come back". Traders call it mean reversion, but it must be found and proved by other methods, if I am not mistaken, in terms of mathematics - conditional distributions (dependence of future price CHANGE on the previous change). Now, this dependence is indeed detectable on ticks and then on all time-scale derivatives and all price-derivative calculations, so it does not really matter which tool is used to exploit it. But this dependence is usually very weak and insufficient for stable earnings and covering costs. The more interesting it will be to see what happens.
And here I'm not going to reveal the various secrets of calculating the sample volume for currency pairs, the nonparametric standard deviation of the Student's t2-distribution for the increments (it's different for different currency pairs!), that I use to calculate the weights of WMA. Otherwise, how will I beat you in a tournament?
Input is Chebyshev's inequality for multimode distributions + nonparametric skew
Output is WMA and also nonparametric skew (more complicated here).
That model I posted was a demonstration one. Of course, I improved it.
I was born in 1970. I tried to make it for my daughter's 20th birthday.
I was born in 1970. Trying for my daughter's 20th birthday.
Like, "I came. Saw it. Won"? It's not gonna happen overnight.
Thank you for sharing, you have interesting ideas, but to be honest I don't really see what I can use yet, I suspect the result won 't be much better than bollinger)
I have a similar suspicion).
Are we going to have a competition here?
Like "Came. Seen. Won"? You can't do it offhand.
Don't listen to anyone, they're all old, mossy, mired in chicanery.)
Everything will work out.
Like "Came. Seen. Won"? You can't just jump in.
Why "off the cuff"? I graduated in theoretical physics and solved a lot of equations of motion numerically. It's all familiar, in principle...
Naturally, I'm not claiming to be a genius. Perfection has no limits, right? I'll keep a close eye on the forum - maybe someone will find something else interesting.
Don't listen to anyone, they're all old, mossy and chicanery.)
It'll work out.
It'll work out. But not right away. ;)
Why 'off the top of my head'? I graduated in theoretical physics and solved a lot of these equations of motion using numerical methods. All familiar, in principle...
Of course, I'm not claiming to be a genius. Perfection has no limits, right? I will follow the forum carefully - maybe someone will find something else interesting.
Of course.
also discussed
:)
Why 'off the top of my head'? I graduated in theoretical physics and solved a lot of these equations of motion using numerical methods. All familiar, in principle...
Naturally, I'm not claiming to be a genius. Perfection has no limits, right? I will follow the forum carefully - maybe someone will find something else interesting.
The thing is that the equations of motion have nothing to do with it - the price moves according to completely different principles)) I got euphoric years ago when I realized "I've seen your market a thousand times")))
You don't need to be a genius here, you just need to study things that actually (physically) exist, not abstract models. I.e. drawing on one's previous background is a very common misconception among physicists and mathematicians.
The point is that the equations of motion have nothing to do with it, the price moves according to completely different principles) I also fell into euphoria many years ago, when I realized that "I've already seen your market in an oscilloscope a thousand times")))
You don't need to be a genius here, you just need to study things that actually (physically) exist, not abstract models. I.e. drawing on one's previous background is a very common misconception among physicists and mathematicians.
It is the equation of motion, but not of a particular quantity, but of the probability density of that quantity, and nothing more!
In time, let's continue the theoretical debate with the results in hand. OK?