From theory to practice. Part 2 - page 63
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Alexander, this changes the point.
The MO of a classical SB is zero (by definition). Then the sampling IR of such SB is zero (by the property of the sampling average).
I.e. for any sample of SB(position opened - position closed) the IR is equal to zero.
There is nothing to argue about, unless of course you are inclined to trust mathematics rather than wizards.
You are apparently not making money on a classic SB, but on an instrument with a Hurst of just under 0.5. That's a very different case.
Alexander, this changes the point.
The MO of a classical SB is zero (by definition). Then the sampling IR of such SB is zero (by the property of the sampling average).
I.e. for any sample of SB(position opened - position closed) the IR is equal to zero.
There is nothing to argue about, unless of course you are inclined to trust mathematics rather than wizards.
You are apparently not making money on a classic SB, but on an instrument with a Hurst of just under 0.5. That's a completely different case.
The mathematical expectation of the "classical" and "neoclassical" Random Walk is equal to its initial value - by definition. Zero is equal to the mathematical expectation of the first difference.
The variance of a stray depends on time - a non-stationary process.
What elementary concepts can't you define?
Alexander, this changes the point.
The MO of a classical SB is zero (by definition). Then the sampling IR of such SB is zero (by the property of the sampling average).
I.e. for any sample of SB(position opened - position closed) the IR is equal to zero.
There is nothing to argue about, unless of course you are inclined to trust mathematics rather than wizards.
You are apparently not making money on a classic SB, but on an instrument with a Hurst of just under 0.5. That's a different case altogether.
To be honest, I'm not interested in SB at all - I just keep the conversation going.
What else is there to talk about? The topic is created for an exchange of opinions on tactics and strategies for earnings on the real market. So? Wizard gives an algorithm for earnings - to follow the direction of price movement - no one gives a shit. Everyone, for some reason, is interested in SB.
All right, fine. So the SB is the SB. Now we are specifically talking about integrated white noise or the sum of increments of a "coin". There is an opinion that equity always behaves like SB itself - it returns to the initial deposit, i.e. it is given to understand that SB always returns to the expectation.
However, as one mathematician on SL said,"the law of arcsinus tells us that random walks are typically long lingering waves that return to zero quite rarely".
An obvious contradiction! Or am I missing something?
To be honest, I'm not interested in SB at all - I just keep talking.
What else is there to talk about? The topic is for exchanging views on tactics and strategies for making money in the real market. So? Wizard gives an algorithm for earnings - to follow the direction of price movement - no one gives a shit. Everyone, for some reason, is interested in SB.
All right, fine. So the SB is the SB. Now we are specifically talking about integrated white noise or the sum of increments of a "coin". There is an opinion that equity always behaves like SB itself - it returns to the initial deposit, i.e. it is given to understand that SB always returns to the expectation.
However, as one mathematician on SL said,"the law of arcsinus tells us that random walks are typically long lingering waves that return to zero quite rarely".
An obvious contradiction! Or am I missing something?
Has the "mathematician" even read the law of arcsinus? This is nonsense.
Has the "mathematician" even read the law of arcinus? That's ridiculous.
Well, it's a very well known mathematician on SL with a fair amount of credibility.
So what? The Wizard's algorithm for making money is to follow the direction of price - no one cares.
Well, this is advice at the level of buy cheap and sell expensive. Goes around and under the guise of revelation at important meetings, he spouts meaningless banalities, well, just a hobby - to troll at his leisure. Big deal, there are too many sick people. Are you seriously surprised by the lack of response to such "valuable" information?
Interesting. Price increment distribution has been looked at many times already, trying to find dips/shoots in the bell .
I was making histograms for the value of trends by passed price - on the basis of the zigzag. It turned out to be depressingly similar to the SB (exponential distribution)
I did not make histograms for trend times, because it is complicated (time gaps, volatility fluctuations, etc.) and the meaning of their possible application is unclear.
Well, this is advice at the level of buy cheap and sell expensive. A man walks around under the guise of revelation at important meetings and tells us meaningless platitudes, well, just a hobby - to troll at his leisure. Big deal, there are too many sick people. Are you seriously surprised by the lack of response to such "valuable" information?
I don't know. The man, under a different sauce, has for years been pushing for the masses the idea that if the previous bar was upward, one must buy and vice versa. I.e. to follow the "trend" - the direction of the movement. Doesn't he have nothing else to do? Moreover, I encountered similar tactics on the SL, but it is not taken seriously and not checked there either. I do not know what to say... It seems too simple to me myself, but who knows... I'll check it out sometime.
Well, this is a very well known mathematician on SL who has a fair amount of credibility.
It seems to be a quote from Shiryaev.
To understand the essence of what it means to say that it is impossible to make money on SB, you need to master much simpler concepts:
1) Probability (stochastic) dependence
2) Conditional distribution
3) Conditional expectation.
These same concepts are important for understanding econometrics or machine learning.