From theory to practice - page 386
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You are making noise in the middle of nowhere,
You sing your tune of the century,
And I'll lie down on the edge of an old man's house.
On the smoky breeze of unripe grass.
:))))
Uncle Sashka, isn't that what you're trying to achieve?
Nah, my titanic efforts to convert BP, only resulted in a Laplace distribution for the returns. I read about Laplace motion... I've decided to give up for now.
I am perfecting my model based on L.A. Shelepin's theory.
What I'm missing is a person who would take a tick BP, for example for a year, and convert it to a uniform quotation reading every 1 second. Simply put, would make an S1 timeframe.
By myself, all by myself... "Nobody promised anybody anything". I understand.
Nah, my titanic efforts to convert BP, only resulted in a Laplace distribution for the returnees. I read about Laplace motion... I decided to give up for now.
Am perfecting my model based on L.A. Shelepin's theory.
What I'm missing is a person who would take a tick BP, for example for a year, and convert it to a uniform quotation reading every 1 second. Simply put, would make an S1 timeframe.
By myself, all by myself... "Nobody promised anybody anything". I understand.
Show must go on.
S1 is like sending two bytes, but it's boring, because it's a useless idea.
What will you do with the Escander's file of 3-4 million lines? No database will open it properly, well, except for MT.
Show must go on.
S1 is like sending two bytes, but it's boring, because it's a useless idea.
What will you do with 3-4 million lines file? No database will open it properly, well, except for MT.
Hmmm... Well, the idea of S1 is not new, many programmers are pushing it, but no one does anything. Strange... Doesn't anyone really see the point of it?
I only need 1 parameter from it - average pips/sec return rate.
What to do with it! All the same - an accurate calculation of process variance.
It is not easy to calculate the average rate of accretion. It has to be!
Isn't the classical method of calculating speed suitable?
Gain rate = Absolute sum of sample returnees / Absolute time in sample seconds
The size of the returnee between ticks is counted and the time in seconds between ticks is counted.
Isn't the classical method of calculating speed suitable?
Rate of increment = Absolute sum of sample returnees / Absolute time in sample seconds
The returnee size between ticks is counted and the time in seconds between ticks is counted.
Uh.... Here's a thought, Eugene.
I.e. to take the tick archive for one year, calculate the sum of all returnees modulo, and divide by time (the year in seconds minus non-tradable days).
Is it like that?
And in which program can this be done? A maximum of 1,024,000 lines can be processed in Excel...
Uh-.... Let me think about it, Eugene...
I.e. to take the tick archive for a year, calculate the sum of all returnees modulo, and divide by time (the year in seconds minus non-tradable days).
Is it like that?
Do you have a sample length? You don't count the variance for a year, etc. So you take and count the absolute increment in points , i.e. the sum of the increments (negative as positive), and divide by the sum of the seconds of the increments.
Example:
Tick 1 : Price = 1.2050 / Time = 12:00:00
Tick 2 : Price = 1.2055 / Time = 12:02:20
Tick 3 : Price = 1.2040 / Time = 12:05:00
Speed = (Abs( Price_1 - Price_2) + Abs( Price_2 - Price_3))/ Sum (Time)
From the example Speed = 20 pips/280 sec = 0.071 pips / sec
Something like this, if you are not mistaken in your calculations.
This is the average speed per sample.
Do you have a sample length? You don't count the variance for a year, etc. So you take the absolute increment in points, i.e. the sum of increments (negative as positive), and divide by the sum of seconds of increments.
Example:
Tick 1 : Price = 1.2050 / Time = 12:00:00
Tick 2 : Price = 1.2055 / Time = 12:02:20
Tick 3 : Price = 1.2040 / Time = 12:05:00
Speed = (Abs( Price_1 - Price_2) + Abs( Price_2 - Price_3))/ Sum (Time)
From the example Speed = 20 pips/280 sec = 0.071 pips/sec
That is, unless you are wrong in your calculations.Well, that's what I do. Only in my real-time, as usual, then communication failure, this and that... I need to calculate the average speed for the year. And I need to compare the speeds for different years. How do I do that?