From theory to practice - page 61
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Well, the author already has several hours of trades, with fluctuations of tens of points. And he is too inexperienced to deal with ticks, I think every 5-digit tick will be useless in 10 pages)
Exactly like that! That was real help!
I don't think so.
I was depressed by the issue of taking tics. And now you will see how such problems are solved!
No, Yuri - I need the OPEN/CLOSE or 4-digit quotes archive (which is preferable, because in my eyes Vladimir has become a kind of guide for the blind in the desert :))) just my broker!
I will get to the bottom of this and nothing will stop me. After all, you've already understood that Forex will be literally disassembled into parts? Haven't you? :))))
Stop with the name-calling already.
You don't need an archive with 4 digits. Take any one and round it up to 0.0001 increments if you want 4 digits. Or to 0.0002 , or 0.001. If to 0.001, you'll almost always have enough minutes. If it is smaller, you need ticks.
About the number of currency pairs. When you wrote about the concept of degrees of freedom in the mechanical sense, I thought that you understood that out of 28 pairs only seven are independent, the others are only parts of dividing them by each other. It tells you to take one pair. You've only gone to the very edge yet, there will be plenty more problems, there will be no pointless principles to deal with.
И... calm down. Distract yourself. It's very helpful when you don't know what to grab onto.Somewhere in the beginning of the thread, Alexander wrote that the market is self-similar. That is, it has the same properties at different timeframes.
To find it out, I took several MAs with significantly different periods, plotted them on TF 1m, and calculated distributions with respect to them. It can be done quickly enough in the same R.
If the market is self-similar, then distributions should overlap when scaling up. It turned out that they don't, distributions differ significantly, i.e. the market is not self-similar.
Hence, it follows that strategies operating on different time scales cannot be moved to another one by scaling, and probably in some cases they cannot be moved at all.
Non-similarity also confirms that strategies operating on different time scales are very different in technique. Say, scalping, intraday, short and medium term strategies, and long term strategies are all very different trading techniques.
Perhaps it's all trivial, but I hadn't thought about it before.
According to the thread, Alexander's strategy is "rare trades that last for hours", although we don't know this for sure, as we only had a demo in front of us.
My activity is in a different time scale of trading, and with no self-similarity to the market, it is a very different technique. In short, not my sector of the market).
In other words: it's ridiculous to give advice to Rolls Royce traders when you yourself are trading sauerkraut. The reverse is also true, by the way.
Stop handing out labels already.
You don't need an archive with 4 digits. Take any one and round it up to 0.0001 if you want 4 digits. Or to 0.0002 , or 0.001. If to 0.001, you'll almost always have enough minutes. If it is smaller, you need ticks.
About the number of currency pairs. When you wrote about the concept of degrees of freedom in the mechanical sense, I thought that you understood that out of 28 pairs only seven are independent, the others are only parts of dividing them by each other. It tells you to take one pair. You have only gone to the very edge yet, there will be plenty more problems, there will be no pointless principles to deal with.
И... calm down. Distract yourself. It's very helpful when you don't know what to grab onto.I don't think all ticks need to be analysed either. But, the whole point of working in the market is not to analyse current CB moments, but to compare current calculated moments with historical averaged moments, i.e. we cannot do without analysing history and storing some tabular values of CB moments for a particular currency pair. I will stick to this opinion, and nobody will convince me otherwise.
I haven't seen any indicator that works with historical data, because it is an integral component of the equation of motion! How so?
From your description, it follows that you need an indicator in conjunction with the Expert Advisor (or the built-in function in the indicator that defines the effective entry criteria), where the Expert Advisor optimizes the indicator parameters (the entry rules are defined for the indicator, for example, two MA crossing) on a certain history and all the optimization procedures should be performed automatically with a specified period.
"I haven't yet seen any indicator that works with historical data, because it's an integral component in the equation of motion! How so?"
What do you think are the input parameters of the indicator? In the input parameters of the indicator, optimal parameters are defined on a certain history with a specified time frame. In this case, the optimization is conducted in manual mode, and you're talking about automatic optimization of the indicator parameters.
For the amateurs and masters of statistics I suggest to carry out the following analysis (but here, rather it should take into account the winter time and summer time, or maybe not).
The point: to determine the statistics of where and for how long the price moves from the current time by a certain step.
Suppose we take a step of 10 old pips. The current server time is 12:00 on Wednesday. We need to determine where the price moved 10 pips from Open 12:00 on Wednesday. Up or down.
After gathering statistics we will see where the price moved and for how much time.
The analysis can also be performed in the opposite direction starting from the current minute, since today, of course, for the same days of the week.
I think I explained clearly.
If anyone wants to do it, please share the results.
This kind of study was posted on kbpauk about 10 years ago. As far as I remember, during "their" session the bias is to one side, during "someone else's" session it is to the other. But this skew is weak, not even the costs, as far as I remember.
Nikolay, I had a quick look at OPEN/CLOSE minute bar allocations, the link to whichYuriy Asaulenko provided me.
Yes, it seems that we must work with these prices, or rather choose one of them. Here you have delta T = 60 sec. and the distribution that is close to the Laplace distribution.
Though, I will still look at it - there is no need to hurry. The moment is very important.