Discussing the article: "Developing a Replay System — Market simulation (Part 14): Birth of the SIMULATOR (IV)"
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Check out the new article: Developing a Replay System — Market simulation (Part 14): Birth of the SIMULATOR (IV).
In this article we will continue the simulator development stage. this time we will see how to effectively create a RANDOM WALK type movement. This type of movement is very intriguing because it forms the basis of everything that happens in the capital market. In addition, we will begin to understand some concepts that are fundamental to those conducting market analysis.
Based on the explanation we started in the previous article, you can see that now we are prioritizing movement randomization. Unlike what can be seen in other articles, which use a method very similar to that found in the strategy tester to create the simulation, we used a zigzag movement very similar to what is shown in the image below:
While this is a great idea for use in a strategy tester, this approach is not entirely adequate for a replay/simulation system. A different approach is required, a little more creative, but at the same time more complex. This is how the system I just explained was born. There we begin to quite simply "randomize" movements within a 1-minute bar. But this approach is not entirely adequate if our intention is to have a style of movement very similar to the movement of an object suspended in a liquid. To help you understand how this is done, it is important to know how to transform a series of data into something visible on a graph. The easiest way to do this is to use EXCEL for the conversion. Again, it's important that you know how to do this.
Author: Daniel Jose