The future of automated trading: round two - page 12
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fun thread ! write again...
I decided to write more about the future...
Here's the future, I can't stop laughing at them...
1. First, we announce that we will keep the rouble in a corridor... great, we keep drawing it (the corridor), thinking whether it will or will not break through. But we were so confident that it would not pass and we even announced the figure, .....
2. They pumped the banks with liquidity, fantastic (they solved all the problems), and sharply increased the interest rate and kept it incredibly high. People aren't taking loans, it's expensive...but there are those who took loans and gladly, they are called carry traders. Idiots, and idiots are being taught, we take dollars at almost 0%, and roubles at 10%. It took two years for the morons of the economy to understand that they are being undressed. Kudrin said the other day. The Carry Trade will not pass. Well great, and a great solution ) close the exchangers... http://news. mail.ru/economics/4515125/
3. Yes autotrading has and will have a future, but so will the trader, as long as there are such people on earth. Nearly all of Russia's sovereign wealth fund will be gone, and only then will you start thinking ...
4. dig this.http://kroufr.ru/content/view/6441/1/ cary trade will not pass ))) definitely not. Politicians decide ... Let them decide, and we will think ... A computer is a piece of metal, it cannot think. It cannot even do sums (0+0=0, 0+1=1, 1+0=1, 1+1=0 - this is what it "can do") everything else was invented by man
So I thought I'd write more about the future.
Here's the future, I can't stop laughing at them.
1. First, to announce that we will keep the rouble in a corridor...great, we keep drawing it (the corridor), thinking whether it will or will not break through. But we were so confident that it would not pass, and we even announced the number, .....
2. They pumped the banks with liquidity, fantastic (they solved all the problems), and sharply increased the interest rate and kept it incredibly high. People aren't taking loans, it's expensive...but there are those who took loans and gladly, they are called carry traders. Idiots, and idiots are taught, we take dollars at almost 0% and put them into rubles at 10%. It took two years for the morons of the economy to understand that they are being undressed. Kudrin said the other day. The Carry Trade will not pass. Well great, and a great solution ) close the exchangers... http://news.mail.ru/economics/4515125/
3. Yes autotrading has and will have a future, but so will the trader, as long as there are such people on earth. Nearly all of Russia's sovereign wealth fund will be gone, and only then will you start thinking ...
4. dig this.http://kroufr.ru/content/view/6441/1/ cary trade will not pass ))) definitely not. Politicians decide ... Let them decide, and we will think ... The computer is a piece of metal, it cannot think. It cannot even do sums (0+0=0, 0+1=1, 1+0=1, 1+1=0 - this is what it "can do") everything else was invented by man
So I thought I'd write more about the future.
Here's the future, I can't stop laughing at them.
1. First, to announce that we will keep the rouble in a corridor...great, we keep drawing it (the corridor), thinking whether it will or will not break through. But we were so confident that it would not pass and we even announced the figure, .....
2. They pumped the banks with liquidity, fantastic (they solved all the problems), and sharply increased the interest rate and kept it incredibly high. People aren't taking loans, it's expensive...but there are those who took loans and gladly, they are called carry traders. Idiots, and idiots are being taught, we take dollars at almost 0%, and roubles at 10%. It took two years for the morons of the economy to understand that they are being undressed. Kudrin said the other day. The Carry Trade will not pass. Well great, and a great solution ) close the exchangers... http://news.mail.ru/economics/4515125/
3. Yes autotrading has and will have a future, but so will the trader, as long as there are such people on earth. To lose almost all of Russia's sovereign wealth fund, and only then begin to think ...
The mere presence of tick charts will not help traders to be profitable. It is tick noise, it is 99.9% random. You can try to predict this 0.01% non-random component, but the commission will still be higher. To be able to work at least somehow at tick level you need a market, you need the flow of orders, you need to analyse their volume. Big men do not predict the direction of the next tick, they manipulate the tick's flow. The so-called algo-snapping, flash orders, or trivial stop hunting are a special case of manipulation on a local scale. Small traders can never afford such manipulations. These algorithms are not complex as such, they are based on elementary combinatorics at the level of adding and subtracting orders. The complexity is in their implementation. In order to calculate these models we need a complete and deep imitation of the stock market at every tick (and if during the tick the bids in the stock vary ten times, the simulator should display it)! Even if the simulator were to give an undistorted (as it actually was) tick stream, that would not be enough either. The simulator needs not only to display the historical price stack perfectly, but also to change it accordingly, depending on the robot's actions. Consequently, the tick sequence itself (price manipulation) should change depending on the actions of the algorithm. It is clear that such simulators, by definition, cost millions of dollars and require deployment on large-scale computing clusters.
Suppose the pipser has a proven working model that can be used in the real world without testing on a suitable emulator. What the market depth for operations in the Forex market can show? At best it would show the local situation of the liquidity provider. But not all brokers are working through ECN, many ECNs are not able to move their clients' net positions to interbank due to low volumes. What would the market rate show in that case? Ok, suppose a Pips trader works through a large liquidity provider that unites a large group of banks. Also assume that the pipsitter has several million dollars to shift the provider's internal rate by one or even two pips at certain times. Also assume that the commission is small, for example 0.1-0.3 points. After this operation the rate can shift indeed, but maybe not. Why? Because nobody really knows how the Provider will behave, its backprocessing is unknown, because the market that it provides is local by definition and it has the possibility to reach a higher level, which we do not know. So a change in the cup in this case may not be predictable at all. If we move up one more level and look at the Forex world through the eyes of a large ECN, it will not get better. Because there is also algo-snapping, flash orders and other nonsense, and there is no guarantee that your algorithms will not be hunted to the highest level.
Such manipulation will never be available to the small trader. The algorithms themselves are not complicated, they are based on elementary combinatorics at the level of adding and subtracting orders. The difficulty is in their implementation.
The simple trader cannot compete in pipsing with the giants of the Forex industry now and, I think, will not be able to do so in the future. The way for a trader is to use large TFs. On them small price movements are not significant. That is, we are knocked out of intraday and forced to switch to short-term (2-5 day position) or medium-term trading (1 week position). The experience of traders such as Larry Williams and others, shows that such short-term trading can be profitable, even super profitable. For those who do not know about Larry Williams, I report that this is the only trader (at least I have not heard of others), who in one year from $10000 earned more than $1000000 in a real account.
For those who do not know about Larry Williams, he is the only trader (at least I have not heard about any others) who has earned more than $1000000 in one year from $10000 in a real account.
Have you seen this "real" account?
NFA fines Larry Williams for not reporting to potential clients that, while his personal account in a promotional 1987 contest was very profitable ( a gain of +$902,599), his managed accounts for clients lost substantial funds ( - $6,122,281). This constituted deceptive and unbalanced promotional material and disclosure statements. Details in William Gallacher's book Winner Take All.
Footnote -- In July 1988, the Larry Williams Financial Strategy Fund was launched, followed in March 1989 by the World Cup Championship Fund, managed by Larry Williams, Jake Bernstein and two others. The 1988 fund lost more than 50% of its clients' equity in barely one year, as reported in the October 1989 issue of Futures magazine. The 1989 fund also lost more than half of its original equity by May 1990.
The mere presence of tick charts will not help traders to be profitable. It is tick noise, it is 99.9% random. You can try to predict this 0.01% non-random component, but the commission will still be higher. To be able to work at least somehow at tick level you need a market, you need the flow of orders, you need to analyse their volume. Big men do not predict the direction of the next tick, they manipulate the tick's flow. The so-called algo-snapping, flash orders, or trivial stop hunting are a special case of manipulation on a local scale. Small traders can never afford such manipulations. These algorithms are not complex as such, they are based on elementary combinatorics at the level of adding and subtracting orders. The complexity is in their implementation. In order to calculate these models we need a complete and deep imitation of the stock market at every tick (and if during the tick the bids in the stock vary ten times, the simulator should display it)! Even if the simulator were to give an undistorted (as it really was) tick stream, that would not be enough either. The simulator needs not only to display the historical price stack perfectly, but also to change it accordingly, depending on the robot's actions. Consequently, the tick sequence itself (price manipulation) should change depending on the actions of the algorithm. It is clear that such simulators, by definition, cost millions of dollars and require deployment on large-scale computing clusters.
Suppose the trader has a verified working model, which can be used in real conditions, without testing in the corresponding emulator. What could the market depth chart show to work in the Forex market? At best it would show the local situation of the liquidity provider. But not all brokers are working through ECN, many ECNs are not able to move their clients' net positions to interbank due to low volumes. What would the market rate show in that case? Ok, suppose a Pips trader works through a large liquidity provider that unites a large group of banks. Also assume that the pipsitter has several million dollars to shift the provider's internal rate by one or even two pips at certain times. Also assume that the commission is small, for example 0.1-0.3 points. After this operation the rate can shift indeed, but maybe not. Why? Because nobody really knows how the Provider will behave, its backprocessing is unknown, because the market that it provides is local by definition and it has the possibility to reach a higher level, which we do not know. So a change in the cup in this case may not be predictable at all. If we move up one more level and look at the Forex world through the eyes of a large ECN, it will not get better. Because there is also algo-snapping, flash orders and other nonsense, and there is no guarantee that your algorithms will not be hunted to the highest level.
Now that's more interesting. Vasiliy it is better than to attack the championship participants or embarrass mathematicians. Let me try to respond to this post of yours. It's very good, but there are other views on tics. I will try to tell you about them. Too bad I can't do it in two words. It'll be long, but I'll try to put it in a coherent way with examples. My view.
1. Let's say you brought your dear and beloved person to the doctor. He had a cardiogram. And the doctor makes a diagnosis based on this cardiogram. And now just imagine that this cardiogram is presented in the form of candles (bars) and doctor makes a diagnosis by bars, God forbid he will also treat. I will personally bury the doctor in his office ... I will tell him that it was so, and cover him with asphalt, so he will not escape.
The question is why do we analyse the market differently?
2. The ticks themselves are not a panacea. I warn you right away, if you are hoping that by simply switching to ticks you will immediately start making profit . No it won't and don't get your hopes up, it's more complicated than that. An order of magnitude more complicated, but that doesn't mean at all that you're not on the right track.
3. Yes the best option is not just ticks, but the story of the cup (it's like a dream already). But it will be. Someone is bound to already have that story, think and analyse it (the tumblr story). Yes, if you're operating with large volumes, you need to simulate how, by which order to enter the market, how you will lose this glass if thoughtlessly 100 lots, in a thin market...
4. Now about the forecast. It's a mistake to think that 99% is noise. Can you prove that if you rake all these ticks in 1 candle, the noise has decreased? There's one caveat though, if you rake correctly (say in the form of Renko bars), then yes the noise will decrease. But if you do it the way it has been done for 100 years, then no noise has not gone anywhere. It is still there. There is a concept of signal to noise ratio http://ru.wikipedia.org/wiki/Отношение_сигнал/шум. But it comes from mathematics. You have to give the formulas to to show that the way MT is doing it now, the noise is only increasing...
5. Let us get back to the forecast. You can predict anything. What matters is the accuracy of that prediction. Again, the EURUSD exchange rate "forecast" will be 1.5. Please note that I put the word forecast in quotes. Since it is not a forecast, the first thing that is not specified is when this event will occur. Tomorrow or by the end of the year... and the second thing I didn't specify is the accuracy of the forecast. Without specifying the accuracy, the prediction makes no sense. Let's say I can say then.EURUSD will be 1.5 tomorrow. And no one will be able to accuse me of lying. I did not indicate the accuracy (plus or minus a foot) +- 500 000 points. That I was wrong, that tomorrow the exchange rate will not lie in the range of 1.0 to 2.0 ? yes it may fly beyond these limits, but this is an unlikely event, it is an event of the category. Monica Lewinsky gets on a plane and blows up the white house...
6. There is the nature of things, physics and you can't fool it. The further the forecast horizon, the worse its accuracy... no one wants bad accuracy. But if you build an algorithm that predicts a rate with high accuracy of +- 1 point, 5 min ahead. You will have a huge advantage over other market participants.
7. Based on all the nonsense I wrote above. I dare say that if someone uses candlesticks (hourly, for example) for , he will not be able to make accurate forecasts, the same monics may prevent this forecast from coming true, and most importantly the discreteness and quality of data will not let him do it. But if you use ticks you have a chance, you may try to get a forecast...
So it's like this...