Looking for patterns - page 64

 
Grigori.S.B:

That's right, Doc. Only we have not one mysterious process, but a superposition of an unknown number of unknown processes, which in the end complicates the problem considerably.

+100500 million.
 
Aleksey Nikolayev:

Quite right. And if we remove these fluctuations by dividing the prices by the corresponding function of time, the series becomes suspiciously similar to SB - the correlation between the increments disappears and their distribution becomes close to normal.

Forgive me for being a favourite horse here too - but how do you determine that the distribution is "close to normal"?
 
secret:
It's not just "not as accurate".

I am talking about the period of oscillation. Or rather the half-period: the interval of time between two opposite extremes.

Regarding the extremes, yes, not always. But that's not even the point of the idea.

 
Aleksei Stepanenko:

I am talking about the period of oscillation. Or rather the half-period: the interval of time between two opposite extrema.

Regarding extrema, yes, not always. But that's not even the point of the idea.

The time interval between extrema will never coincide for various reasons. I would take it differently, not the interval between extrema, but the time interval of each extremum.

 
secret:

Weighing by time.

Actually, it depends on the algorithm. It's the momentum that jumps a lot. The moving average, for example, doesn't jump as much.

Do you believe that? Averaging present values with past values, would that do any good?

 
Aleksei Stepanenko:

Do you believe that? By averaging present values with past values, would that do any good?

Momentum, Medium, etc. - are just tools, you don't have to believe or disbelieve in them, you just have to use them for their intended purpose. For example, hammering nails with a screwdriver is not a good idea.

By the way, where is your boundary between "present" values and "past" values?

 
Martingeil:

I would take it differently, not the interval between extrema, but the time interval of each extremum.

I guess so. The idea was as follows. There is a "reasonably accurate" metronome in the form of daily volatility, which measures the periods. In the vicinity of the metronome beats, look for extrema, whatever they are, big or small.

 
secret:

By the way, where is your boundary between "present" values and "past" values?

So I'm curious to know if you believe in the usefulness of these tools? Well, that these tools will help you make money over the long term. And the frontier is at an extremum.

 
Aleksei Stepanenko:

Alexander, hello! Everyone's at the factory, so there's no one to look into it at the moment. I can tell you off the top of my head, not a pattern yet, but the thought of it. If I throw several ATR samples with different averaging periods, each of them shows traces of daily activity.

In some periods the waves add up, somewhere they confuse each other. But the essence is the same - the natural rhythm of the market is diurnal. Therefore, strategies based on this rhythm should be more adequate to the market than the others. After all, it is almost a sine wave.

So what? it's like volatility would be constant, but you would use more leverage during the day and less at night. as the day approaches, you would increase leverage, as the night approaches, you would decrease it. how would you make money on that?

 
Aleksei Stepanenko:

So I'm curious to know if you believe in the usefulness of these tools? Well, that these tools will help you make money over the long term.

It's not a matter of faith, it's a matter of knowledge. I don't believe in the hammer, I just use it to hammer nails, not for anything else.

The moving average is not a tool to make money, it is a tool to find the average. If you need to find a price average, the SMA is fine. But no trade signals follow from that yet.

And the frontier is at an extremum.
So take a window to the previous extremum, floating rather than fixed.
Reason: