Matstat Econometrics Matan - page 13

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Maxim Dmitrievsky:
I don't talk to half-wits, I haven't matured yet. You know better than that, you are all very smart, throwing clichés about quants, seen somewhere on the forum

Just don't make a big deal out of it.

Just don't frost the bullshit. The MoD thread has already been polluted - all dumb and one d'Artagnan

 
denis.eremin:

Just don't make a big deal out of it.

Just don't frost the bullshit. The MoD thread has already been polluted - all dumb and one d'Artagnan

Well, don't mess with d'Artagnan or you'll get a sword to the quantum hat. He's a fludo, I'll give him that. He talks about Thomas, he talks about Eremes.
 
Alexander_K2:

People report success with the Sorcerer's Method with certain refinements....



I would like to know about the refinements.

 
Aleksey Nikolayev:

For example, everyone counts only the numerical value of Hearst and is very happy that it is not equal to 0.5. But in reality, you have to show that there is a high probability that Hearst falls into an interval which does not contain the number 0.5. This is usually a big problem.)

In fact, somewhere it's higher, somewhere it's lower. The hospital average is 0.5 )
 
secret:
In fact somewhere it is more, somewhere less. And the hospital average is 0.5 )

If you take the SB implementation and read Hearst on it, the situation is the same)

But more checks are needed. For example, it is possible that the mean is 0.5, but the variance is very different from that of SB.

It always needs to be counted. But no one counts) And ok we, shortsighted traders) But even Pastukhov in his (widely known in narrow circles) work about H-volatility I think did not make such calculations) And after all it is the Department of Theorists of the Faculty of Mechanics of Moscow State University!)

 
No one counts Hearst, just like everything else described here. Alexander has something that works, but it's magic. So I would only listen to him and no one else, as a true teacher and practitioner. It is a pity he does not write articles.
 
Maxim Dmitrievsky:
Alexander has something working, but it's magic.
All his magic comes down to trading on the Momentum oscillator and puffing up his cheeks)
 
Aleksey Nikolayev:

If you take SB's implementation and count Hearst on it, the situation is the same)

It won't. For example, count Hearst day and night. Or at low daily volatility and at high volatility (it does not change much in the market). During the news periods and without them. Disturbances are detected by the multicurrency analysis. This is what distinguishes the market from the SB - the "physics" of real life, not magic with formulas)
 
Maxim Dmitrievsky:
Alexander has something that works, but it's magic.

No magic! The usual counter-trend strategy. The counter-trend is unpopular for obvious reasons.

Trend traders lose a little bit on the flat, and earn a lot on the trend. On the flat, you drip yourself some valerian. On the trend, you drink champagne.

Counter-trenders make a little money on the flat, but lose a lot on the trend. On the flat, you pray quietly and keep your fingers crossed. On a trend, the ambulance takes you away with a heart attack.

Sasha bet $160. Well, that's like an admission ticket to the ride. You don't mind losing. But it's a lot of fun.

A clean counter-trend isn't good for serious business.

 
Доктор:

No magic! The usual counter-trend strategy. The counter-trend is unpopular for obvious reasons.

Trend traders lose a little bit on the flat, and earn a lot on the trend. On the flat, you drip yourself some valerian. On the trend, you drink champagne.

Counter-trenders make a little money on the flat, but lose a lot on the trend. On the flat, you pray quietly and keep your fingers crossed. On a trend, the ambulance takes you away with a heart attack.

Sasha bet $160. Well, that's like an admission ticket to the ride. You don't mind losing. But it's a lot of fun.

A clean counter-trend isn't good for serious business.

I disagree, by thinning the tick stream you can achieve more accurate signals even on a trend. But for some reason it does not optimize it on a long history
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