Grail, trading systems, martingale, netting, pyramiding. Let's share our experiences and move towards our goal! - page 19

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Aleksey Nikolayev #:

By the way, will we also use our eyes to determine liquidity in the forex market and its gaps?)

Of course, the eye is the best tool when looking for ideas. When will you give me a picture?
 
transcendreamer #:

By the way, if an attentive reader tries to evaluate such a popular pair as Sber and Sber-pref, he will be surprised to find that in some areas there is no cointegration, i.e. formal tests fail

That's how the whole market works, not just Sber. Market modes change. One day there is a connection, the next day there is no connection. That's why amateurs (aka "scientists") can't find anything.
My research tells me that filtering bazaar modes is often even more important than the trading system itself. A grail was asked for yesterday - it's a common volatility filter, to put it simply.
 

transcendreamer #:

If the attentive reader tries to evaluate such a popular pair as Sber and Sber-Pref, then

I read: Sber-Gref, I think the dude has already issued his family shares

 
secret #:
When will you give me a picture?

=> article discussion thread

 
secret #:
This is the way the whole market works, not just Sber. Market modes change. One day there is a link, the next day there is no link. That is why amateurs (aka "scientists") do not find anything.
My research tells me that filtering bazaar modes is often even more important than the trading system itself. A grail was asked for yesterday - it's a common volatility filter, to put it simply.

What is volatility and its filter? Please explain it with pictures.

 
Aleksey Nikolayev #:

=> article discussion thread

This is the second day I've been sitting there. There's still no picture.
 
Aleksey Nikolayev #:

What is volatility and its filter? Please explain it with pictures.

Volatility is a measure of price change. There are a thousand ways to measure volatility. The simplest one is (high-low) for a period. The filter allows the system to work only with low volatility, for example. Or only at high volatility.
Volatility tends to change slowly, so it is easier to predict it than the price.
 
secret #:
It's the second day I've been sitting there. Still no picture.

I'm waiting for you to write a post there with a precise reference to a fragment of the article that is so unclear to you that it requires clarification in the form of pictures.

 
secret #:
Volatility is a measure of price change. There are a thousand ways to measure volatility. The simplest: (high-low) over a period. The filter allows the system to work for example only at low volatility. Or only at high volatility.
Volatility tends to change slowly, so it is easier to predict than price.

The measure of volatility, not change. The measure of change is accretion. What you are talking about is called historical volatility and was invented a long time ago by the scientists you don't like. Thought you and your practical eye had found something new.

 
Aleksey Nikolayev #:

A measure not of change, but of variability. The measure of change is accretion. What you are talking about is called historical volatility and has long been invented by scientists you don't like. Thought you and your practical eye had found something new.

They came up with it, but using it in practice is beneath their dignity).
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