Cluster methods of market forecasting. - page 5

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Multiplied by at least five :)))

 
Yuriy Asaulenko:

I would put it another way. The deposit should be equal to the amount of the trade (CS) + the security of the trade itself + the estimated max drawdown. Well, for 5 years, that's a bit of a stretch.) For a quarter, for example, is understandable. I.e. at max drawdown we continue to trade. But max drawdown is not 80-90% of the deposit. This is not trading, but masochism, imho.

Yuri, you're calculating with a 1 in 10 leverage.

That's not for Forex, is it?

For forex it would be the same 8-10% of the deposit
 

So, I would like to get this thread back on track. Here I would like, with your help, gentlemen,to identify the strengths and weaknesses of existing cluster approaches to market forecasting and outline new, perhaps more promising, approaches.

I will explain on my fingers (for those who do not know) what the cluster approach is in relation to the market.

But first, about market dynamics.

Price can experience large and indeed unpredictable (for most people) spikes (1) in strong events (important news about: economic decrees, cataclysms, major business and political events, etc.). In this case there is a relaxation of the fluctuations caused by this with time proportional to ~1/N. The market, however, "lives its own life" (where self-organization processes take place), experiencing (2) its own (not caused by outside influence) and sometimes even the smallest jumps, which are characterized by another law of relaxation. characterised by another law of relaxationSqrt(1/N), which, we note, happens much more often than relaxation ~1/N, so, no matter how unusual it sounds to us,the market functions mainly according to its own laws .

First type of jump does not happen immediately (because many people are involved in its making), which imposes some specific characteristics on the interval of history, which is sandwiched between the moment when a strong event happens and the jump caused by it. Moreover, the part of history prior to the second type of jump should contain some specific characteristics (delayed swing of the market and its fall from the next state of unstable equilibrium).

Now clustering.

So, the initial hypothesis is that there is a small part of quotes history preceding the price jump (plus volume history that goes there) where the information about the next jump is encoded.

Further, there is a purely technical part. A space of certain parameters or states is introduced, such as: (1) a trivial geometric image in the form of a candlestick pattern, or (2) the space of different frequency modes obtained by Fourier decomposition of this plot (time series), or (3) a spectrum expansion by orthogonal velvet functions (which is much better, since the plot is short) or (4) a spectrum expansion by some other orthogonal functions, etc.

Then a huge - statistically significant set of such (preceding jumps) plots are taken and analyzed for their occupancy of this space of states. And if they are significantly concentrated in some parts of this space (and the other parts of history - not preceding the jumps - do not get there), then this will be the cluster (or set of clusters of types 1 and 2), which allows to make a prediction.


 

Candlestick patterns, which logically belong to such clusters, of course, no one has clustered in this way (statistically correct). They were identified as a result of many years of observation of the market by traders. But, nevertheless, this is the first and most widely known type of clusters by traders, which is what I wanted to discuss for now - at the first stage (without involving volumes).

And, in fact, I suggested to those forum participants who do candlestick analysis,

To find typical (most common without volumes) patterns on the following charts.

Fig. 1.

Fig. 2.

Fig. 3.

Fig. 4.

Figure 5.

 

Aleksey Ivanov:

...........

Sqrt(1/N)relaxations, which, we note, are much more frequent than ~1/N relaxations

..........

the square root of minus 1/N ?

Could you be more specific - what are we comparing it to?
 
Renat Akhtyamov:

the root of minus 1/N ?

There are no roots of minuses, but there is a sign of proportionality ~
 
Aleksey Ivanov:
there are no roots of minus here, but there is a sign of proportionality ~

sorry

 
Renat Akhtyamov:

the square root of minus 1/N ?

Can you be more specific - what are we comparing it to?
N - number of bars, time (as you like) elapsed since the spike .
 
Renat Akhtyamov:

Yuri, you're calculating with a leverage of 1 to 10

This is not for Forex, right?

That's true. For Forts ~ 1/10. But for forex the calculation is similar. Figures at 1/100 leverage, of course, will be different. It's a long time to explain that the difference is not so big, it depends not on the leverage, but on the transaction amount. Both on Forts and Forex, profit-losses are calculated from deal's sum. If you buy the same thing in both, you will get equal profit/loss.

I.e. the security of the deal and the drawdown will be exactly the same. But the depo on Forex might be smaller, because the leverage is -100. That is the only difference.

In general, I have never experienced more than 20% drawdown on Forex.

 


The discussion of patterns without volumes is Japanese patterns or Price action, the highlighted area ( hanged - shooting star - hummer ) where the market has implemented a movement pattern = up and down and up through the bottom.

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