Market patterns - page 9
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In my opinion (personal opinion), this is one of several key, I would even say "fundamental" misconceptions in the approach to understanding the market. And in general, the issues you voiced at the beginning of the top, the desire to formalize and systematize, are close to me and understandable. I think in the near future to post a topic like "My approach to TS creation" (something like that). (something like that), maybe it will be interesting for you, maybe you will even see the answers to some of your questions ..., as they say, welcome:). Literally in the near future, just a little lightening in the communal psychosis called "Applicant 2013", OK?
That would be great.
Is it SB?
Recent history, for example, 2008-2009.
Hard to tell from the look of it, but very similar. The whole thing is crooked. As it has been explained to me the WAC is almost 95% SB, with shifts from fundamentals smoothed out. But they are also random but with a long period and not accumulated. It is therefore a semi-Markovian process, if I've understood some of the obfuscation and understanding of 'Markovianness' as integration, where each successive state is repulsed by the previous one.
The purpose of our discussion here is first to decide on a logical way of allocating this 5% and then the part of this 5% that can be traded, because the majority is either an echo of the past battles or contains a catch.
Anyway, I get it! It's a great illusion!
Yesterday I had a discussion with a professor of mathematics, who was defending his thesis on a very non-trivial infinite dimensional functional analysis, although I have technical degree, but I did not understand what his thesis was about even when trying to explain it "on fingers", or rather on fingers it is inexplicable, just like it is impossible to imagine that in >3d dimensions for example you cannot tie a knot. Very tough dude.
Well, he proved to me on different examples that the surcharge on the effective component, which sort of sometimes appears in all sorts of algorithms searching for non-random connections, exists only in hindsight, but in reality is entirely eaten up by insiders, that is those who have more (qualitative) information compared with the crowd. That leaves only the SB. Most of the obvious and non-obvious correlations are already taken into account in the spreads and commissions, at the inter-bank level, and the brokers, those of them who output to the inter-bank, exaggerate this accounting by 2-5 times. And there is a majority who don't know this and a minority who do.
So my next impulse of interest to get rich quick has crashed on the granite of science.
On average, of course, speculation is unprofitable, as is participation in any zero-sum game (we even have a negative one due to overheads).
That said, some are consistently earning and others are consistently losing. And the inside may not be in the secret data, but in the correct interpretation of publicly available data.
Avals:
And the insider may not be the secret data, but the correct interpretation of publicly available data.
Fine! Developing such an assumption is the essence of this thread.
SB or non-SB is the question!!!
How do you extract non-SSB from a mixture of SB and non-SSB?
How do you even identify it to begin with?
Great! Developing such an assumption is the essence of this thread.
SB or non-SB is the question!!!
How do you extract non-SB from a mixture of SB and non-SB?
The first thing to do is to find out how to spot it in the first place.
Like being plunged into the controversy in the fourth forum, about 4 years ago.
Arguments amongst the quants were to the point of whitewashing, lots of time wasted, and still there.
Those who thought that the SB was a handicap remained on their own, as well as the opponents.
There are so many fools in the world, because while the clever think, the fools multiply :)
Great! Developing such an assumption is the essence of this thread.
SB or non-SB is the question!!!
How to extract non-SSB from a mixture of SB and non-SSB?
to start with, how to spot it in the first place.
So back at the very beginning an option was suggested:
Forum on trading, automated trading systems and testing trading strategies
Market Laws
hrenfx, 2013.07.04 22:14
Once every few months I go there and quickly RUN through it to look for patterns I don't know much about yet. Filter very quickly (the right items):
...
It's like being plunged into an argument in the fourth forum, about four years ago.
There was a lot of debate amongst the quants, a lot of time was spent, and still it's still there.
Who believed that the handicap SB and remained at their own, as well as the opponents.
There are a lot of fools in the world, because while the smart ones think, the fools multiply :)
And we will not argue. It is seldom necessary to argue. Whoever wants can express his ideas and assumptions, preferably with examples, or without, the main thing that something that will catch your fancy.
For example, take the simplest strategy, MACD say. And ask yourself the question. Will it work on SB? What is it about the row in which it works and what are the reasons for "it". Then a second, third "it", and then out of these will begin to draw a map of the terrain of "THIS".
That's what it's supposed to be to me...
This is how it was suggested at the very beginning:
Once every few months, I go in there and quickly INSTRUCTively browse for patterns that I don't know much about yet. Filter very quickly (the right items):
The variant is good, no doubt. It gives a concrete indication of where to look and what to look for. You now need to figure out exactly what you need to see in it.
The point is how to get these fish places by placing orders without being too late, especially if you have somebody's equity strained by price or you marked them withZZ.
As for the work, I'm just all in the research))) I put a lot of effort. Just want to this time I do not want to sit and, as a gamer, turn the knobs of parameters and watch the tests, and understand what happens when it happens.
I haven't managed to get close to anything interesting by trying too many different ways, and it's tiring when you don't know what's going on.
pantural:
I am a designer by profession (2D, 3D, animation, etc.).
For a designer, you are too good at time series analysis :) Where do they train such designers, if it's not a secret?
I think you'll be fine, after putting enough effort into it.
On the subject - I would advise to understand the market structure and price formation mechanism. To begin with, you can even use the simplest model - one buyer, one seller. Imagine yourself a farmer, take a sack of potatoes you've grown and try to sell them to a neighbour. Perhaps this mini-research will give you some pointers.
For a designer, you are too good at time series analysis :) Where do they train such designers, if it's not a secret?
I think you will do well once you put enough effort into it.
On the subject - I would advise to understand the market structure and price formation mechanism. To begin with, you can even use the simplest model - one buyer, one seller. Imagine yourself a farmer, take a sack of potatoes you've grown and try to sell them to a neighbour. Perhaps this mini-research will give you some direction.
Thanks, I learned everything about Forex and time series on the Internet and through communication with smart people, but I did not study it officially, as well as the graphics, I'm self-taught and I'm proud of it.
It is not the first time I go to Forex, the first time was 4 years ago, but I cannot dedicate all my time available. That is why I am still a beginner and I have not found any stable way to earn 2-5koe per month as I did on 3ds and video design. I understand that it is crumbs, but unfortunately I even do not know how to withdraw them in Forex. So I plan to enter into a conspiracy with local gurus, if possible)). To either understand that this is a scam for clever people, or all the same cleverness at least somewhere, in its pure form without the steep connections and criminal, can bring a decent reward. So in spurts I attack this beast. Well, even 4 years ago were at least outwardly, the conditions are much stiffer than now, in general, one scam practiced, as I decided then.
Every hard worker dreams to realize his creative potential and ingenuity to the maximum, and it is obvious that this is only possible in scalable businesses, where one clever idea can make it to the top, as opposed to though stable but eternal slavery, when you only realize others' ideas and everything depends on personal biological limitations. This is sometimes depressing when you realize that if things keep going on like this, you won't even be able to save up for a normal yacht, not to mention your own island. Sort of a joke, but only in part.
Dream on...
I'm just curious. It's intellectually very entertaining.
Sorry about the off-topic.
About the simplest market model, that's what I've been through. At least I think so. The only thing that's left is to think how to model it on the computer and see what kind of series are obtained under what conditions.
For example, there is a product, money, 100 buyers, 100 sellers, a set of factors that influence the price and factors that depend on psychology, such as assumptions, reactions to price trends and so on. But so far I have no idea how to approach such a task, so as not to get bogged down in coding and debugging forever, forgetting where it all started)))
Great! Developing such an assumption is the essence of this thread.
SB or non-SB is the question!!!
How to extract non-SSB from a mixture of SB and non-SSB?
to start with, how to get it in the first place.
(create a profitable TS)) Any trading system is an allocation of part of one series (price) to another (equity). Equity must have positive mo, i.e. not be a SB with mo=0.
And any "extraction from a mix of SBs - not SBs" is essentially a trading system, or may be brought to it. We all do it and so your question could be reworded: "How to build a profitable and robust TS".