The future of automated trading: round two - page 25
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Still, the transition "awareness = efficiency/martingale" remains unexplained. The only thing that has any analogy is a Brownian environment, but this environment must be sufficiently homogeneous. What we do not see in the market.
In general, my opinion, this wonderful connection "awareness = efficiency / martingale" is only a beautiful fairy tale, for peeps. And it's more of a model, as it should be, rather than as it actually is. And in reality we see market players with different degrees of influence on the market, and different levels of awareness. And moreover, with different objectives. There are the interests of the national banks and they are playing their game (the latest apparent games towards global currency devaluation is a great example). There are the interests of the major exporters/importers. There are the interests of large financial institutions. And so on. So, in fact, there are participants in the market for whom it is not at all necessary to win this game. How one can say that the market is homogeneous - I don't understand.
That's what I mean - what kind of logical transition, what kind of mathematics, which leads us from awareness of all agents to the condition of impossibility (and here tastes differ, how to call this impossibility - SB, or martingale, or maybe something else) to earn?
It's so simple, it's not even interesting. What is a profitable deal? It's when you know something that others don't and have the opportunity to sell or buy before others do. And when these others "get it" and start selling/buying and the price moves in the direction you predicted, you will be in profit. That is, you have made an arbitrage in time due to the fact that you knew something important before the others.
If everyone has the same information, such arbitrage is impossible, because everyone will want to buy at the same time, but no one will sell at the old price, because the potential sellers also know everything. The price will change by leaps and bounds from the old consensus level to the new level, which will be predetermined by the new information. Consequently, all price changes will be dictated by external information which is random in nature, as a result the price movement becomes a random wandering. The next result: TA becomes impossible because it is impossible to make money on a random walk.
Looking at quantitative hedge funds, I see three plum years in a row. This is more or less a credible fact. The simplest and most far-fetched assumption I can think of that follows from this is that they are trading martingale. What conclusion do you think I should draw? That hedge funds are a threat to individuals? Manual trading? My private strategy?
Personally, I don't see in the link above three losing years in a row. I see one losing year, and not everyone here either. And this is very much "more or less" and not a fact, as hedge funds are not obliged to provide their reporting to anyone and are usually not interested in wide publicity. Any summary reporting by hedge funds is a sham.
Personally, I don't see in the link given three plum years in a row. I see one flopping year, and not everyone here either. And this is very much "more or less" and not a fact, as hedge funds are not obliged to report to anyone and usually are not interested in wide publicity. Any summary reporting by hedge funds is a sham.
HFRX Quantitative Directional Index - this index has been in losses since 2008.
That's right - the only one in the whole industry. And we still don't know how this index is formed, maybe there are only a gimp and a half, like "the best trader in our forum". There are no complete statistics on hedge funds.
Anyway, I see that there is no way that we can reliably judge that foundations threaten private individuals.
It's so simple, it's not even interesting. What is a profitable deal? It's when you know something that others don't and have the opportunity to sell or buy before others do. And when these others "get it" and start selling/buying and the price moves in the direction you predicted, you will be in profit. That is, you have made an arbitrage in time due to the fact that you knew something important before the others.
If everyone has the same information, such arbitrage is impossible, because everyone will want to buy at the same time, but no one will sell at the old price, because the potential sellers also know everything. The price will change by leaps and bounds from the old consensus level to the new level, which will be predetermined by the new information. Consequently, all price changes will be dictated by external information which is random in nature, as a result the price movement becomes a random wandering. The next result: TA becomes impossible because there is no profit to be made from a random walk.
"Price will change in leaps and bounds from the old consensus level, to a new level which will be predetermined by the new information." - in my opinion, this assumption implicitly hides the fact that all market participants have the same view of how the new information affects price.
"all price changes will be dictated by external information" - and this assumes that everyone trades only news and has no other trading preferences.
The bottom line is that this explanation destroys the individual rationality of all market participants, the individuality of strategies and opportunities, and any irrational factor in trading decision-making. That is, in fact, we say market and participants, but in reality we reduce everything to one single participant, who sits and quotes the incoming news himself, but cannot trade, because there is no second participant who is in any way different from the first. I hope I have been able to explain why the highlighted assumptions cannot claim to be a market hypothesis, but only a self quoting process or something like that.
Generally speaking, for the hypothesis in question, price leapfrogging and consensus are not needed, not even the alleged rationality of the participants, it is important that everyone is in equal information conditions. Identity with each other is not necessary. Every gopher is an agronomist, i.e. every participant can have their own, perhaps even irrational, decision-making algorithm, their own possibilities and other contingencies.
I see that in order to get the desired result, the original source of this theory makes two assumptions about "fair play" in an efficient market: (1) the market equilibrium condition can be expressed in terms of expected income, (2) information is fully internalised by the market in forming the equilibrium expected income and thus the current prices. The mathematics then leads us very quickly to expected income = 0.
I have a feeling that these assumptions are nothing but a piano in the bush - information is assimilated, prices are compared, equilibrium is reached, and let's see what the equilibrium is expressed in - yes, in expected income! How unexpected.
Well, let's ask the author of the comment.
Dear komposter, do you analyse ticks in your EA, or is it just a sweeping work of the EA?
I don't use ticks, they are difficult to use in MT (technically).
But I work on the 0th bar and use the latest indicators and prices. The results are better in comparison with bar analysis.
As for the issue in general, my opinion is that the user should be able to use ticks, but MQ is not obliged to provide it.
ps: Prival, MQ will only hear you if you give them a business plan for the implementation of ticks in MT. Doesn't seem worth it to me.
Access to tick history could probably be made payable . One year of EURUSD ticks = XXX quid per terminal. If anyone needs it, buy it and download it. Maybe it would be possible to protect them from copying and distribution.
My next question is whose ticks we should give. Suppose a user of brokerage company "Antoshka" wants ticks. It is obvious that he wants tics from dts "Antoshka" and it is obvious that these tics must have how should I say it ,
some kind of legal status. Maybe it will eventually, but not in the next year or two or three ...
I don't use ticks, they are difficult to use in MT (technically).
But I do work on bar 0, and I use the latest indicators and prices. The results are better compared to bar analysis.
My opinion about the issue in general - the user should have an opportunity to use ticks, but MQ should not provide it.
ps: Prival, MQ will hear you only if you give them a business plan for the introduction of ticks in MT. In my opinion, it's not worth it.
Hi all.
Interesting idea, about the business plan. I suppose that even a strong list of arguments "for" + at least approximate (but realistic) calculations will be enough.
Ready to participate in the formation of such a list. For Prival's position I fully share.