From theory to practice - page 405
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Yes there is, there is.
a year or two ago.
I can't remember.
Brexit times.
Not the whole thing, of course, but it's definitely an idea, there's even a screenshot of it danglingYeah, no one doubts that.) I do.
Yes, no one doubts it.) I believe.
It's just that the "channeled" (shall we say ;)))) ) idea, it's a lot cooler actually than it's commonly trotting around here.
Pair trading, for example, is also a kind of channel.
Support/resistance levels too.
etc.
One and the same strategy essentially, the implementations are different
Just a "channeled" (shall we say ;)))) ) idea, it's a lot cooler actually than the trotting around
Pair trading, for example, is also a kind of channel
Support/resistance levels too
etc.
Same strategy in essence, different implementations
There are so many channels in modern TA that one can't decide which one to use. There are many sophisticated forms in the form of sticks, arcs and other tricks, but in trading it turns out to be an ordinary rake. They are beaten firmly and mercilessly).
Alexander_K2:
Поток событий "без памяти" мне нужен. Как модель хаотического столкновения молекул (читай - хаотических действий участников рынка). А вот память содержимого этих событий, выражающаяся в наличии "тяжелых" хвостов, остается и мы ею безудержно пользуемся. Ну, как если тяжелая частица испытывает хаотические столкновения, но упрямо движется вперед, пока не изменит направление.
Nikolay Demko 2018.06.10 15:40 #3979 RU
Seriously?Do you think traders randomly make decisions?And fuck me up the whole depo... I'm going to roll the dice for a second... ))))You're hilarious.
And all day I remembered this dialogue with Nikolai.
You'd think it was just a joke and nothing more. But no way. That's the difference between kids with ACF and coins and those who really think outside the box.
Ahem... Where was I going with that?
А! So these phrases of Nikolai's have led me to think that perhaps modelling the time intervals between the arrival of quotes by an exponential distribution (or rather, a discrete geometric distribution) is probably not quite right.
I want this point to be understood by all.
That is, I proceed from the assumption of price movement as a heavy particle experiencing chaotic collisions with light ones. This collision process is Markovian, with no memory. I.e. the real stream of incoming quotes simply must go through a pure exponent. And everything outside this exponent - pseudo-quotes from brokers' filters, packet losses, etc. By the way, I still hold this opinion because human inertia in decision making is strong, alas...
However, the data I am currently processing says otherwise - and the process of quote arrival is also non-marking!!!
The process of transaction events, i.e. traders' influences on the market also has a memory and is, in a sense, non-random!
I am just completing my research, but it looks very much like the real time intervals between quotes are described by a discrete logarithmic distribution. Time spiral! A memory of events and the times between them! Beautiful.
I've talked about this before, but, somehow spat and ran past it.
Now, empty pockets have forced me to revisit this important point.
This week I'll finish my research and, if everything is confirmed, the model will be redesigned for logarithmic quote arrival times.
Good luck everyone!
That won't help.
https://www.mql5.com/ru/forum/42287
"I take a strategy, e.g. crossing 2 MAs. I test it, it turns out to be negative.
Uh-oh, it's been two years.
I might add that the speed + acceleration model works cleaner and faster than MACD.
...
However, the data I am currently processing says otherwise - and the process of quote arrival is also non-markovian!!!
The process of trade events, i.e. traders' influences on the market also has a memory and is, in a sense, non-random!
I am just completing my research, but it looks very much like the real time intervals between quotes are described by a discrete logarithmic distribution. Time spiral! A memory of events and the times between them! Beautiful.
There are reports that the real time intervals between quotes are not at all related to the process of makingtrades:http://www.alexsilver.ru/Forex/school/theory/chart-type/:
"It should be noted that in Forex, tick data does not indicate trades, but price requests. That is, for every tick there is one quotation issued, which does not necessarily result in a trade."
End of quote
Memory for quote request events and the times between them - is that what you are interested in? The beauty of the time spiral between price requests?
I feel obliged to point out that the author of this statement is a forex guru known for it back in 2006, when I first learned what it was and was perplexed as to how it could be sold without being bought.
Thanks for the link, Vladimir. It's quite interesting.
While I'm still in touch, I'll allow myself one more post.
Many people, reading this thread, are wondering - why does this uncle need all this? Why the need for exponential, logarithmic time scales? Just take the ticks as they are and work with them as with BP, where the time between ticks is the so-called "Forex time".
You guys! You are completely clueless! You're just desperately stupid and that's all.
Let me remind you that we are looking at the price movement as a kind of a Wiener process with drift. Like a Brownian motion. In fact it is lapace motion, but it doesn't change the essence of the matter and this model is quite suitable at first approximation.
So, for such model, astronomical time is the most important parameter. And the law of "root of T" for dispersion is derived by Einstein for this time, and not for some "Forex time".
Perrin in his experiments used time discreteness =30 sec. to observe the process.
In Mendeleev University of Chemical Technology (former MHTI) where my daughter studies, experiments are carried out at time discreteness =10 sec.
In short - we MUST consider time in calculations, otherwise we won't see good luck.
But, here's the problem - Wiener model is good to describe chaotic particle collisions at T between collisions -->0.
In Forex, there is no such thing at all. At night time, time intervals increase, at day time intervals decrease. In the time window = 4 hours, the process of coming of quotations is not Poisson's.
And vice versa - when considering ticks "as it is", there is a problem of ratio of a considered sample volume to the astronomical time. I.e. 5000 ticks can come in either 4 hours or 10 hours. And this process is also non-Poissonian. In this case, the law of "root of T" loses its force.
This is the contradiction between the Wiener's model and the real price movement, we need to minimize as much as possible.
And this can be done by introducing different time scales of quotes reading, the mean value of which correlates with some discrete astronomical time.
The tick sample volume (wave packet) in this case is replaced with some averaged model packet with the most similar statistics.
That's it, we're out of words. I need charts, figures but I have no time for that - I have to celebrate.
See you soon!
All this is somewhere very close to the truth and many people write about it in different words, e.g. fractal time and fractional Brownian motion are also good definitions
but their Batya Mandelbrot for some reason stopped short of "predicting price is a path to collapse, but you can estimate the probability of future volatility"
And then there's this.
Let's go back a bit. The classic "random walk" model involves three fundamental assumptions. The first is the so-called martingale condition: the best predictor of tomorrow's price is today's price. The second is the "declaration of independence": tomorrow's price is independent of recent prices. The third is a "normality statement": in aggregate, all price fluctuations, from small to large, have a "soft" Gaussian distribution. In my view, two of the three statements are superfluous. The first one, while not proven by the evidence, is at least not too contradictory. And it certainly helps to explain intuitively why we are so often wrong in our predictions about market performance. But the other two statements are simply false. The evidence shows unambiguously that the magnitude of price swings depends on swings in the past and that the Gaussian curve is nonsense. Mathematically speaking, markets can exhibit dependence without correlation. The explanation for the paradox lies in the difference between the size and direction of price movements. Let us assume that the direction is not correlated with the past, i.e. yesterday's fall in prices does not mean a higher probability of a fall today as well. This does not rule out the possibility of dependence of absolute changes: yesterday's 10% drop may well increase the probability of a 10% move in prices today, but it is impossible to say in advance in which direction the move will be up or down (price rise or fall). If so, the correlation fades despite the strong correlation. Following large price changes, even larger changes can be expected, although they can be either positive or negative. Similarly, small changes are likely to be followed by even smaller ones. Moments of volatility are lumped into clusters.
How do we benefit from this knowledge? A lot when it comes to managing risks, how to avoid them and even how to win on them. Regulatory regulations require banks to assess their marketable assets on a daily basis and set aside a certain amount as a hedge against losses. A more accurate way of estimating potential losses will save the bank money and protect the entire financial system. A money manager or investor who does not want to risk large losses would be able, at the first sign of a financial storm, to simply lower his sails and forego risky transactions. And options traders are even trying to capitalise on the risk. They develop strategies and financial products - spread equilibrium trades, swaptions, barrier options - to make the most of it, if they can correctly predict future volatility. In essence, these traders trade volatility; they even use the unit of measure "vol" (from volatility) to quote. Since 1993, the Chicago Board Options Exchange has quoted a product called the VIX ("volatility index"), which is based on the predicted volatility of the S&P 500 index thirty days from now. With huge sums of money at stake, industry analysts have long developed a number of methods for predicting volatility, but these specialists themselves admit (though not always aloud) that standard models do not work.
Of course, any prediction has limited accuracy. Predicting market volatility is like predicting the weather. You can measure the intensity and path of a hurricane and calculate the likelihood that it will make landfall, but, as residents of the US East Coast know all too well, you cannot predict exactly where a hurricane will hit land and what kind of destruction you can expect from it. Nevertheless, these kinds of 'meteorological' ideas have already begun to be translated into finances. The first step is to agree on a way of assessing the intensity and direction of market crises. An analogy with the famous Richter scale immediately springs to mind. It is a logarithmic scale by which the energy released in an earthquake is estimated. For example, a catastrophic earthquake of magnitude 7 is accompanied by ten times the energy of a devastating earthquake of magnitude 6. Which financial market indicator is similar to energy? Some call volatility (volatility). For example, two academics at the University of Paris have proposed an index of market turmoil, according to which there have been ten financial "earthquakes" since 1995. For example, the Russian market crisis of 1998 was given a score of 8.89 on this scale, while the largest, caused by the terrorist attack on the World Trade Centre in New York in September 2001, was given a score of 13.42.
The next step is prediction, but here the work has just begun. Researchers from Zurich, who use their own scale for currency market crises, have found that their index can predict storms, but so far only short-term predictions have been successful. During the week of October 5-9, 1998, the dollar/yen exchange rate changed by an unprecedented 15%. A few hours before the peak of the crisis, the researchers found, their index soared from a value of less than 3 to a point over 10. "We received an early warning of a highly volatile situation," the report said.
As standard market doctrine states, the market will not be fooled. This is considered proven. However, we can dodge the hardest blows.
All this is somewhere very close to the truth and many people write about it in different words, e.g. fractal time and fractional Brownian motion are also good definitions
but their Batya Mandelbrot for some reason stopped short of saying that "predicting price is a path to collapse, but you can estimate the probability of future volatility"
Maxim, it's all because there's no single answer to the question "why did price go up/down?" in all of this.
Happy Holidays!