From theory to practice - page 564

 
Igor Makanu:

there is no sum yet, these are incremental modules in points

what do we need to sum up? make a MA for these modules?

what is the weekly window? what is the starting point at the beginning of the week and so on ...?

Nah, you have to do it the way I wrote there. The Gaussian distribution on the sum of the increments just has to be there. The problem is that you just take CLOSE from the broker and derive the value from the Erlang flow, which is not a trivial task...

Take your time, Igor - a serious task does not tolerate fuss ....

 
Alexander_K:

No, you have to do as I wrote there. The Gaussian distribution on the sum of the increments just has to be there. The problem is that you just take CLOSE from the broker, and you need to get the value from the Erlang flow, which is not a trivial task...

Take your time, Igor - a serious task does not tolerate fuss ....

Do you have a matlab? You can do it all endlessly on Esymm, I've seen Esymm, it seems to be a pretty smart program, but there's very few ready-made materials (examples) on the net

 

Here are the minutes of CLOSE increments:



Average -0,065931227863046
Standard deviation 0,108393200824913
Moda 0
Median 0
First quartile -9
Third quartile 9
Dispersion 318,447226539332
Standard deviation 17,8450897038746
Skewness 24,551418045539
Skewness -0,52600085993987
Range 700
Minimum -465
Maximum 235
Amount -1787
Amount 27104
 
Novaja:

Is it based on data from a broker?

Nah, you need at least M5 from a reliable source - stock quotes, if working with Erlang flows causes an insurmountable obstacle...

 
Novaja:


Well, all the same - very similar to Laplace.

So - I'm right, and the algorithm for preparing input data for a neural network proposed in "Machine Learning..." is correct.

All that's left to do is prepare the pockets... I'm not kidding. How can there be jokes when we are talking about a rampant withdrawal of cash from the market?

 

A trend is not a rapid change in price.

rapid, impulsive price movements in a short period of time can occur in either one direction or the other

such a movement is mainly due to the market working for itself

However, the global trend is either up or down.

a trend is a long-term tendency for the price to rise or fall.

 
Renat Akhtyamov:

a trend is not a rapid change in price

A fast change can go one way or the other.

And there is still a global trend either up or down.

Speculators do not care about global trends. Exclusively investors and long-term investors.

For speculators, if it is up, it might be going up, if it is going down, even after 5 minutes).

At the moment the movements are very short - 15 min, then silence for half a day. So, it was the trend during those 15 min.

Your trading intervals are different. Hence, different definitions.

 

here are the Close modules unloaded by M1 (108929x1 double), pre-purge them with Erlang Flow 3

here is the ACF of these values in Matlab, order ACF = 30

here is ACF = 1440.


 
Yuriy Asaulenko:

Speculators do not care about global trends. Exclusively investors and long-term traders.

And for speculators: if it goes up, it must be trending up, if it goes down, it must be trending down, even after 5 min.) And the global 4 kopecks a day does not affect anything.

At the moment the movements are very short - 15 min, then silence for half a day. It was in these 15 min that the trend started.

You should not have.

The trend is exactly the confirmation of the most reliable impulse entry with the aim of a fast and maximum profit

 
Renat Akhtyamov:

And you shouldn't.

The trend is exactly the confirmation of the most probable entrance by the momentum with the purpose of fast earnings.

And against the trend too, especially the global one). But you can't go against a local one.

Reason: