Machine learning in trading: theory, models, practice and algo-trading - page 748

 

And the answer to the question of what data carries information about the future is simple. Option expectations (volatility smile), its slope, curvature, and actual value. Next: Delta and volume and open interest from the real market. Then the price itself. Price Akshin, so called.

From all of the above, only the delta and volume of 11 instruments are available to me, where I have managed to make 110 predictors using these data and built conventional indicators such as AD, Stochastic and Standard Deviation.

It seems that indicators are standard, but they are built on exceptional data carrying information about the future....

No thanks......

 
Mihail Marchukajtes:

As for the windows, take my basic TS, there and the window is always different dictated by the market itself, and its formation implies a reversal of the market. The most normal moment for analysis is the moment of anticipated reversal.

Max, I will wait for your apology for my skepticism about my TS in poems, which I should also like.

My market has long changed from upward to downward and backward, and TS still works. And if you had seen the model itself, you would have been surprised (it's very small)

so far the current growth does not differ from previous peaks in efficiency, i.e. from the observer's point of view the system has not changed

so we are waiting for at least 3-fold superiority of the largest peak

I would reduce the risks while the system is still being tested, so as not to waste money on beer


 
Maxim Dmitrievsky:

so far the current growth does not differ from the previous peaks in efficiency, i.e. from the observer's point of view the system has not changed

so we are waiting for at least 3-fold superiority of the largest peak


Waiting myself, Max.... waiting myself... need a little more time, not all signals of the basic TS work out.... a lot of states "i don't know", as an example the last 2 days not a single deal....

 
Mihail Marchukajtes:

Waiting myself, Max.... Waiting myself... need a little more time, not all signals of the basic TS work out.... a lot of states "I don't know", as an example the last 2 days not a single transaction....

If you look at my profile you'd see the flat range for the week.

 
Mihail Marchukajtes:

Waiting myself, Max.... Waiting myself... need a little more time, not all signals of the basic TS work out.... a lot of "don't know" states, as an example the last 2 days not a single transaction....

2. If your system does not give signals, then "alas"

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Uladzimir Izerski:

2. If your system does not give signals, then "alas".


If there is any doubt that the arrows are only down.

Let me explain. There is no signal to buy. Well, not yet.

 

Colleagues!

And if you filter out of these signals and the best?

I only accept suggestions in person.

 

Everyone is silent.

It's time to make a bet.

Who will be the first to make a post.

 

Okay. Let's call it off.

Why don't we say anything?

 
Uladzimir Izerski:

Okay. Let's call it off.

Why don't we say anything?

They got a batch of new ideas and decided to test them)