a trading strategy based on Elliott Wave Theory - page 230

New comment
 
2 Neutron
Guys, who have learned the methodology of the final renegotiated row, tell me, does it (H=3) look like this? <br / translate="no"> Or does Pastukhov still drop all co-directional motions from the final construction and leaves only points multiple of H, lying directly before the extremums of the initial series?


You can say that I did it! If it were not for excessive mathematical symbolism it would take much less time. But it can't be helped, the dissertation is mathematical and so is the language.

As far as I understand, what is shown in your figure by Pastukhov is defined as an initial auxiliary sequence (ro with tilde)i=0,...,M with tilde. From this sequence, the desired sequence [(ro*)m,(ro)m] is inductively extracted. In it, points (ро*)m are break points, and points (ро)m are change-of-direction fixation points distant from them by H.

Thus, in your picture, the points with asterisk are the 2nd, 6th, 8th and 9th points. And their corresponding points without asterisks are 3rd,7th,9th and 10th.

Regarding the second question, yes, that is how it is constructed.

Now I understand why Pastukhov's kagi strategy shows a much better result than renko.
 
to Yurixx24.01.07 00:20

...Regarding the second question, yes, that's how it works.


Thank you, I have sorted it out.


I will gladly and willingly participate in the collective development of the MTS on the Pastukhov strategy.
I consider this to be the most promising idea at the moment and am ready to postpone indefinitely my own research for the sake of this work. I was going to do it myself, despite easily foreseeable difficulties due to the lack of knowledge of known sections of mathematics.

So, in particular, while I support Sergey's idea of collective development of MTS based on Pastukhov's strategy, I think a public forum is not the best place for such a team to work.
It seems to me that any openness (and in this matter especially) must have its limits.

I hope I have been quite clear.


I've been thinking about what you said. In general terms, I tend to agree with you, but the details...


I've pretty much got the job done. :-)
With only one "but". The READPRN function should be able to understand spaces and commas in the data file (as written in the manual), but it doesn't want to. Why, I've never been able to find the answer.
Maybe because it doesn't understand date-time format ?

My minutes file is exported from MT4. The entry has the form: date, time, OHLC, volume. Everything is comma-separated. READPRN understands the date format as numeric, probably because there are dots. That's where it ends.
I saw that your tick files also have both date and time. How do you solve this situation ?


Yura, I export the minutes file from MT4 archive to *.prn format at once. The matcad program that reads this file (*.mcd) and the data file (*.prn) should be in the same directory. This is sufficient for successful operation. An example of what the exported from MT4 minutes file looks like in Windows notepad and what matcad reads is shown in the picture below.



The format of time and date is lost, but it doesn't matter.

to Olga_trader
Invite Pastukhov himself to your club, he can answer all questions.

Quite seriously.


I'm sure that the esteemed Stanislav Veniaminovich has no leisure to engage in educational activities on a voluntary basis. But if you, Olga, have a possibility to invite Maestro for talks - please, we will be grateful!
 
While studying Pastukhov's work, one question arose concerning the integral estimation of the strategy's profitability.



It seems to me that instead of 2 lambda in the formula there should be a term equal to one lambda. Really, the first term of the formula reflects the average length of one zig-zag which tends to 2H for the Wiener process. To extract the non-random component, it subtracts 2H from the obtained value and this is the average income from each transaction. Just from it we need to subtract commission of DC (it is 1H, p. 61) and thus we will obtain the average dry balance for each transaction. Further everything is simple, let's multiply this residue by the number of trades (inversions) and obtain the volume of wealth. The last term in the formula can be neglected - it takes into account the uncertainty related to the trade completion.

So, what does anyone think about the merits of the question?
 
Yeah... cool, I feel hopelessly retarded. Since I haven't read the thesis, I can assume purely from logical considerations that the calculation is based on a zigzag with reverse, which means that for each zigzag knee two commission spreads should be taken. In that case, the formula is correct.
 
So, who thinks on the merits of the question?


I also had this question when I got to this place. However, the first reading was to understand its workings on an ideological level. So I left all questions of that nature for later. I won't make anything up for now, I'll just note the following.

The equity curve that Pastukhov cited refers to futures. On the stock exchange, the spread exists by itself, and the commission exists by itself. And the commission is charged on every trade. A trade, - to open a position, then close it - is 2 trades. Perhaps that's why 2*lambda.
 
Rosh
Yeah... cool, I feel hopelessly retarded. Since I haven't read the thesis, I can assume purely from logical considerations that the calculation is based on a zigzag with reverse, which means that for each zigzag knee two commission spreads should be taken. In that case, the formula is correct. <br / translate="no">.

Rosh, don't get clever, clarify.
What does "reversed" mean, and why, if you have two knees and two spreads, then the spread is double?

Yurixx
The equity curve that Pastukhov cited applies to futures. On the stock exchange, the spread exists by itself, and the commission exists by itself. And the commission is charged on every trade. A trade, - to open a position, then close it - is 2 trades. This may be the reason for 2*lambda.


It is possible.
 
Isn't 2*lambda derived from the proof?
 
It is possible.


I looked at the commission charged by brokers when trading the Emini SP500. Shepherd took a fairly average value of $2.5 per side, i.e. per trade (and the roundtrip is two trades). However, he has neglected the spread. This may be correct, because at first, the spread at the stock exchange is a very flexible thing, and secondly, such liquid instruments as Emini SP500 and Emini NASDAQ have a spread close to 0, and for a considerable time it is equal to 0.

For Forex the situation is different. There is no commission, but there is a spread and its value cannot be ignored. However, it is quite stable, so in the first approximation we can probably replace 2*lambda with spread and see what happens.
 
Started reading the dissertation. Very interesting in general, especially about patterns. But there are a number of misunderstandings. Maybe someone with a background can explain it to me? First of all it is not clear what is a continuous function. After all we have discrete time and discrete values of functions. How we can talk about continuity/discontinuity here, frankly speaking, is not very clear to me. If I were the author, I would probably consider everything continuous. The question is, what is the point of considering the case of limits on the left ?
 
Это возможно.


I looked at the commission charged by brokers when trading the Emini SP500. Pastukhov took a fairly average value of $2.5 per side, i.e. per trade (and the roundtrip is two trades). However, he has neglected the spread. This may be correct, because at first, the spread at the stock exchange is a very flexible thing, and secondly, such liquid instruments as Emini SP500 and Emini NASDAQ have a spread close to 0, and for a considerable time it is equal to 0.

For Forex the situation is different. There is no commission, but there is a spread and its value cannot be ignored. However, it is quite stable, so in the first approximation we can probably replace 2*lambda with spread and see what happens.


I don't think it should be done right now. My understanding is that adjustments need to be made to the model for this case. Simply replacing the commission with the spread will not fit the correct model.

So, has nobody tried to derive this proof on their own?
1...223224225226227228229230231232233234235236237...309
New comment