Market prediction based on macroeconomic indicators - page 36

 
Комбинатор:
It's better to keep silent and look like a fool than to talk and dispel all doubts (c)).
You're right on the mark ;)))
 
Дмитрий:
the collapse of the Chinese stock market.
A trifle, but a shame.
 
Vladimir:
My model automatically changes depending on the accuracy of past predictions. At each quarterly step, either the coefficients are adjusted or new macroeconomics are selected for future predictions. But what has already been predicted will not change. That to me is a good quality, which distinguishes my model from simply announcing what the market is doing now, like your pictures.

I have added "predictions" to my pictures. The calculation is done one step ahead. You can see that you get a pretty good agreement. The error of the averaged movement is quite small, and that is what indicates the direction of further development. The fast component flickers a bit more, but this is not surprising.


 
Олег avtomat:

I have added 'predictions' to my pictures. The calculation is done one step ahead. You can see that there is a pretty good agreement. The error of the averaging motion is quite small, and that is what indicates the direction of further development. The fast component flickers a bit more, but this is not surprising.


Question: - how is it possible to predict macroeconomics "one step ahead" (yes, there are lagging indicators, i.e. they are somehow taken into account)?
 
Veniamin Skrepkov:
Question: - how is it possible to predict macroeconomics "one step ahead" (yes, there are lagging indicators i.e. are they somehow taken into account)?
We are talking about the sampling step. In this case (in the graph I cited) this sampling step is 1 month. And one must of course understand that one is not "predicting the macroeconomy", but extrapolating one step forward the values of the indicators constructed from actual data reflecting the state of the macroeconomy in the past. And there's nothing surprising about that. It is a fairly common trick. And the unit which carries out this kind of extrapolation is usually called a "predictor".
 
Veniamin Skrepkov:
Question: - how is it possible to predict macroeconomics "one step ahead" (yes, there are lagging indicators i.e. they are somehow taken into account)?
What the automaton does has nothing to do with macroeconomics. It has nothing to do with
 

Gentlemen traders, how do you feel about the fact that by the time the statistics are released they are usually already priced in? Not all of them, but most of them.

A recent example. Long before the Fed rate hike, the price has already gained most of its potential. (Whether they will be able to raise it any time soon. I siiiically doubt it:)

 
Владимир:

Gentlemen traders, how do you feel about the fact that by the time the statistics are released they are usually already priced in? Not all of them, but most of them.

A recent example. Long before the Fed rate hike, the price has already gained most of its potential. (Whether they will be able to raise it any time soon. I siiiically doubt it:)

Every indicator has a forecast in a week or two. If the data release coincides completely with the forecast - of course everything has been factored into the price in advance.
 
Дмитрий:
For every indicator there is a forecast in a week or two. If the data release fully coincides with the forecast - of course everything is taken into account in the price in advance.

Exactly. By the time the data is released, the price will have already been factored in. After the data is released, the price will be adjusted. Still, the most important price drivers are upcoming events and rumours.

How it can be taken into account in autotrading, this question has been bugging me for a long time.

 
Владимир:

Exactly. By the time the data is released, the price will have already been factored in. After the data is released, the price will be adjusted. Still, the most important price drivers are upcoming events and rumours.

How this can be taken into account in autotrading, I have been asking this question for a long time.

Very simple - do not open at the time of important news release