a trading strategy based on Elliott Wave Theory - page 280
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The price chart is the same as in my previous picture. Below in red is the indicator, so to speak. Quickly made from two wavelet curves from the first picture by simply subtracting and scaling them. It actually hangs around zero, but here it's elevated just for illustration purposes. Whether it is useful is not clear yet. I'll have to check it out.
Besides there are a lot of combinations of wavelet transform results and we should search for the best ones. The algorithm for calculating such curves is quite simple and not expensive. I think it can be easily implemented in MQL.
I am not going to do that myself in the foreseeable future (for my own reasons). If anybody's interested, I can help with advice on wavelets and algorithms.
By the way... Having searched the vastness of the Internet, I have not found any indicator based on wavelets. This is strange to me. Maybe I don't understand anything?
Thank you, that was an interesting start.
However, when you write and in your head everything is better packaged.
Don't worry about the size of your posts. It is in the tradition of this thread to write long, logically connected, scientifically sound and well illustrated posts. :-)))
You shouldn't have any doubts about your level either. The audience here, though small, is very diverse. What one has gone through for a long time, the other hears for the first time. So...
Let you continue without any doubts.
Thanks!
Is it including the spread or not?
I thank you in advance.
И..?
Looking at the picture, we can talk about a particular method of interpolation of a non-equidistant numeric series (obtained from the EUR/USD time series by various methods) using linear or quadratic polynomials. But we need EXTRAPOLATION. How will this transition be accomplished?
Moreover, I want to stress the fact that we as traders will have to work all the time on the RIGHT side of a numeric series, and because of casualness there will inevitably be a phase delay of our calculations, which in one way or another will depreciate the obtained result. Thus, the question may be put as follows: Does the wavelet transform method for casual circuits give less phase delay in comparison with an ideal (in this sense) LF filter.
Note that TS implemented using IFNF does not give any statistical advantage over DC in today's market.
to Andre69
10% per month is with spreads and history of 2 months, i.e. the sample is not reliable. For the purpose of getting statistics and will open a real account.
Perhaps you just don't understand the problems of the algorithm working in real time and plotting historical data? Just close any part of the chart on the right (for example from 1230) and you will see that the lines drawn curve before the price went there.
I'm already rejoicing. :о)))) By the way, can't you tell us a little more about the find?
What if it's the Grail? :) Or, what is more probable, the thing is quite trivial and useless in practice. In both cases it is too early to trumpet it to the whole world :)
Morlet wavelet is pretty good! It's a good wavelet, from a mathematical point of view too. Don't worry about it. It's not good for DWT because it's not compact and has no scaling function. But it works fine for CWT without any limitations. I don't quite understand what you were doing with it. If you were just convolving a wavelet function with your data, then you were doing a fixed Gaussian windowed Fourier transform on your data. If that's what you need, then you're fine.
Don't take it as an instruction, just clarifying.
Best of luck and good luck with the trend!
I guess you just can't imagine the problems of the algorithm working in real time and plotting historical data? Just close any part on the right-hand side of the chart (e.g. from 1230) and you will see that the lines drawn curve before the price went there.
Do you know an indicator that bends reliably in the correct direction before the future price movement? Then it is the Grail!
To all.
To quote the author http://monetarism.ru/article.pl?sid=05/03/13/0625201&mode=flat, I note that the folio is indeed excellent! I have 2 volumes of this work in DjVu format, 4 meters each, if the public is interested I can put it up.
The actual quote is:
The random walk hypothesis and the efficient market concept
Financial Asset Pricing Model, CAPM - Capital Asset Pricing Model
Arbitrage Pricing Theory, APT
Martingales, submartingales and supermartingales
Decomposition of Oak into martingale and predictable components
Nonlinear Stochastic Conditional Gaussian Models: ARCH, GARCH, EGARCH, TGARCH, HARCH, etc.
Stochastic volatility models
Fractal Brownian motion: a summary of classical results
Stochastic integrals on Brownian motion
Processes and Ito's formula
Diffusion Models for the Evolution of Interest Rates, Share Prices, and Bonds
Ito's formula for semimartingales
Statistical Analysis of Financial Data
Arbitrage theory in stochastic financial models
Martingale criterion for the absence of arbitrage opportunities
The First Fundamental Theorem
Girsanov Theorem
Black and Scholes formula
The book is concluded by the reference list of almost half a thousand names, and the book itself is rather densely packed with references to additional materials.
A djvu version of the book can be found on the Internet, but it turns out that it's quite hard to read such a foundation on a computer - all sorts of icqs, emails, charts and the market are distracting. It takes a lot of concentration to understand the formulas and proofs. I had to buy a 2 volume book by Shiryaev in Bolero for 80 dollars, and secluded with books away from the computer.
Kind advice: don't even think about getting into financial markets without understanding Shiryaev's seminal monograph!
From the reviews:
The text of the monograph is very thorough and does not require reference to primary sources (which in reality we have little access to). The reader can take any model from the encyclopaedic part of the book and try to apply it to real data of this or that segment of the Russian (or foreign) financial market. One can guarantee that the results will be very interesting and completely non-trivial.
Over a thousand pages is, of course, a scientific feat. And very many pages are ready-made problem statements on the topic - what will come out if this or that mathematical idea or model is compared with reality. Undoubtedly, this book is destined for a long life - and as a theoretical foundation for a collective creative process that will create and improve Russian (and world) financial market and as a source for setting new mathematical problems, ... well, I can't list everything.
I have a great desire to implement some of my own ideas with wavelets. I cannot say that I have already read enough theory, but I have read a few things and have some ideas. As for the practice, I have not got anything yet. Unfortunately, everything that I've read contains practically nothing in terms of concrete calculations and algorithms. Beautiful pictures and final results are not what I need. And what I need I wrote in my post (last post on page 139).
By the way, extrapolation possibilities with wavelets is a very hot topic and will be of interest to everyone.