Machine learning in trading: theory, models, practice and algo-trading - page 3217

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Maxim Dmitrievsky #:

Advanced resampling in the face of GMM other generative models do the job well.

We need the following function to test it.

int RandomPrice( MqlTick &Ticks[] ); // На входе оригинальные тики, на выходе - сгенерированные (в том же массиве). Возвращает количество элементов.
 
Maxim Dmitrievsky #:

I got synthetic feature values from the original ones, trained the model on them, and it worked on the original data.

Running on OOS?

 
fxsaber #:

Worked for OOS?

Yes.

 
fxsaber #:

We need the following function to test it.

How much does your ticks archive weigh?

I need their increments, then convert them back to ticks.

If you can upload it somewhere, you can try. I'll upload the converted ones to a file. MO can take a long time to learn.

On the plus side, you can generate sequences of any length, even longer than the original one.

There is no ready code for MQL, only through python.

 
Maxim Dmitrievsky #:

how much does your tick archive weigh?

I need their increments, then convert them back to ticks.

If you can upload it somewhere, I can try. MO can take a long time to learn.

The result of this script

#property script_show_inputs

input datetime inFrom = D'2023.03.01';
input string inFileName = "Ticks.bin";

void OnStart()
{
  MqlTick Ticks[];
  
  if (CopyTicksRange(_Symbol, Ticks, COPY_TICKS_INFO, inFrom * 1000) > 0)
    FileSave(inFileName, Ticks);
}

sent to PM (~400 MB).

 
fxsaber #:

The result of this script

sent to PM (~400 MB).

I will run it later tonight, I don't know how much it will count :)
 
fxsaber #:

And the idea itself is a bit naive.

How dashing you are with the world trend - GARCH, in trading, once and with a checker....

 
СанСаныч Фоменко #:

How dashing you are with the world trend - GARCH, in trading, once and with a checker ...

Theory for theory's sake. It has nothing to do with trading.

 
fxsaber #:

Theory for theory's sake. It has nothing to do with trading.

Once again: GARCH is the theory on which the world trading is based, trillions of dollars, in all professional offices.

 
СанСаныч Фоменко #:

Once again, GARCH is the theory upon which world trading is based, trillions of dollars worth, in all professional offices.

Where does the information come from? And why do you believe it? Please, let's go without authority. Subject your perceptions to at least minimal questioning.

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