From theory to practice. Part 2 - page 90
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The trading system is built on the fact that the set of sums of increments must form a normal distribution. It does not in the market. The conclusion is that the increments in the market are dependent on each other. That's all.
No, you are trading a strong negative dependence of increments, and CPT only works when increments are independent (weakly dependent).
No, you are trading a strong negative dependence of the increments, and TPT only works when the increments are independent (weakly dependent).
In fact, TPT is used to derive a statistics formula ("magic" oscillator) which is used precisely to detect moments of TPT violation and trade at those moments.
No, you are trading a strong negative dependence of increments, and DPT only works when increments are independent (weakly dependent).
А! It's about returning to the mean... Why should the price return to it...
It's all about the properties of the process itself, which is actually Laplace motion and which, along with OU, tends to do so. This of course does not mean that it will always return to it. But practice shows that returning to the mean goes 2/3 of the time in the market. With very careful data processing, variance channel calculations, well, and the moving average itself, this gives a slight advantage.
Of course, I'm missing something else in the TS... Some kind of key... I've been looking for it for 4 years now... Without success.
In fact, TPT is used to derive a statistics formula ("magic" oscillator), which is used precisely to detect moments of violation of TPT conditions and trade at those moments.
And I don't use the Wizard oscillator. On it there is no return to the starting point in the market. Obviously, I have to use trend movements there.
And due to inertia, I can no longer give up the idea I originally chose. Like most traders, though :)))
Following the Hippocratic Oath, I have to fight to the end ))).
And I don't use the Warlock oscillator. There is no return to the starting point in the market on it. Obviously you have to use trend movements there.
It reveals trends on the last segment of history. Then it is the trader's task to decide whether to trade in that trend or against it. The problem is that it happens both ways.)
The discussion in this thread has brought back an old story that happened to me back in the days of the Tsar-Gorokh. There was a friend of mine who, having "finished forging and two plans to get rich" during the day, would plunge into sweet dreams of getting rich in the evening. He planned to get rich by playing Sportlotto. The system was iron-and-concrete, just like the shop where he worked: all balls were the same and fell out at random. So the chance of each ball falling out is the same. So the balls should fall out more or less evenly. So if a number hasn't fallen out for a while, it should fall out soon. So these are the numbers that haven't fallen out for a long time and should be bet on. My timid remarks that the balls have no memory and don't know when they've fallen out before, so the probability of their occurrence doesn't depend on the pre-history, were subjected to ridicule. A secret notebook with tables, calculations and graphs was extracted and, with figures in hand, I was shown how wrong I was. I remember not objecting too much. One should not be deprived of the Dream.
You still don't get it.
Oleg, I understand your feelings. You've spent a lot of time working on a TS capable of making money on SB, and that possibility is disproved by the one short line I cited earlier. And it is a rigorous mathematical proof.
Do you want a more detailed explanation? Be my guest.
Consider SB, for example, for certainty in the form of a symmetrical coin flip. We start with zero, the result (eagle/rice) adds/subtracts one. And these 'quotes' way will be publicly available. And you, Oleg, let's say you open/close positions on your oscillator (if you remove the zero frequency in the price conversion, as you have, you get an oscillator). And Alexander opens/closes a position on the crossing of his channel by the price.
The public quotes under consideration are the general population (GS) with MO=0. When you open and then close a position, you sort of cut a segment from the MS. This is a sample. And the financial result of such a trade is equal to the sampled MO. And the sampled MO is equal to the MO of HS, in our case 0. Note that it does not matter how the sample is formed. And there is no way to form a sample so that the sampled IR is not equal to zero.
All of the above, however, does not negate the possibility of making money on a particular sample or even on a sequence of samples. Moreover, the balance in SB trading does not have to hover around zero. According to the law of arcsinus this situation is the most unlikely. This state of affairs greatly confuses novice researchers, who prove their case by means of a model experiment.
And in your opinion, this is a "rigorous mathematical proof"?
It's pathetic...
Your whole"rigorous mathematical proof" boils down to verbiage.
It's no use, there's no cure for these patients
Well, I can't do without thispatient...
and a dozen more like Tabaka...No, why does he turn me on with his unapologetic attitude?!!!!
The trading system is built precisely on the fact that the set of sums of increments simply must form a normal distribution. And it doesn't in the market. The conclusion is that the increments in the market are dependent on each other. That is all.