Application of mathematical analysis and higher mathematics - page 7

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>>Therefore I propose that we should not go on thinking, but discuss if not the nature and laws of the market, then at least ideas on the basis of which its model can be built. Or models, if there are any.

Any idea in this case is easily verifiable. And any verified one is either worthless as it is not true, or its owner writes to this forum from canard. So I don't think the owners of profitable MTS will tell us everything like that.

>> The normal approach of a scientist is to delve into a phenomenon, to understand its essence, its nature.

>> Yes. Stop thinking of the market as something above. Think about WHY the price is what it is now and not what it is now :)

>> Which ones are reasonable, which ones are not ? Or should that be known to the author, who knows the system inside and out ?

Look, we have an implementation of the P price process, let's say for 2 years. We look at it and construct a property f(P). For example, which is that when Price = Max(P, 2 years) is reached, it goes down by at least 100 pips. Is it reasonable? An Expert Advisor that uses f(P) in such a form will be profitable on history, but then it will most likely fail. So, what is the problem? The regularity is present while the Expert Advisor slows down.

Maybe it is an incorrect pattern? Why? Well, for one thing, it has no fundamental basis in fact. Therefore, we should not expect that f(P) will remain at future quotes.

So how to proceed? Very simply. There are 2 rules - 1) The strategy must have a fundamental basis. 2) Divide the data into 2 parts - P1 and P2. Forget about P2. Study, analyse, adjust to P1.

But an hour before you start using the Expert Advisor for real trading - use P2. Not a loss - great. Most likely, you will soon have to settle in a new villa. No - start from the beginning. Preferably, choose a different instrument.
 
Can't you teach in real time? Although yes... They probably need a lot of data... If it was about computation time, it would be solved. There are FPGAs out there now that can do 104 MAC operations in 1 clock on 200 megahertz. And that's along with read/write and who knows what else... And this beauty costs about 200 quid. I'm in the middle of my day job... So if you tell me what to count, I can think about how to count it...
 
There is another small BUT. If you have only 2 trades on P1 and 2 trades on P2, then rejoice early - you may have got lucky. And we're not playing in a casino! So it's better to hammer out strategies that give you < 100 trades a year, or those for which you have no data for 30 years.

As I said before, the probability of fitting grows as exp{P}, where P - number of parameters. You can kill this probability only by a large number of deals.
 
kniff, so you still think that it's the foundation that decides everything, and only the foundation? At long times, yes, of course. But people work at watches, at five-minute intervals and even at ticks ! And robots work too. Yes, it is easier with humans, they are more flexible and reasonable, they can feel that something is going wrong... What about robots? Do you think that winning is just for the time being, for absolutely everyone ?
 
In general, the point is that our main ally is statistics, i.e. we can draw conclusions based on frequently recurring events. And our enemy is outliers, which are falsely assumed to be profitable market inefficiencies. And the use of spikes can be driven very, very deep into the Expert Advisor. I.e. we take 10 Expert Advisors that fit them and give profit on histories, then we bring them together in one program and voila, we have 100 trades. The statistics look like more, but in fact nothing has changed!

If you have a signal filter that works VERY Seldom, for example 5 times per year, then its effectiveness and validity may be easily questioned, even if the total number of trades exceeds a thousand.

It means that each symbol and each "if" in advisor should have great STATISTICS on history to be valid. Of course, the total number of trades is important, but then we should go deeper.
 
А... So by "fundamental" you mean very simple, well-grounded and well-understood principles which are not reducible to mysticism? Yes, one can only agree with that, of course. Sorry, I was just a little confused with "fundamentals". By the way, this is exactly the reason why at the beginning of spring I am interested in lots and other game theory tricks, instead of deep digging in the analysis and statistics. It seemed to me that underlying Forex there is a game-theoretic base, more primary than statistics. Now of course I realized my stupidity. And now I'm into adapting and learning also because of the fundamentality of these mechanisms. Do you think it's as nonsense, which I will soon regret, as game theory ??? And statistics, yes... There's nothing to argue about... I've been thinking about a system for automatically generating statistical hypotheses... If it could be done, the whole forum would move to the Canary Islands for permanent residence (or to the taiga :))))))))))
 
Folks, there are serious sciences which are developed mostly by physicists and mathematicians, quite rarely by economists. The sciences are called "econophysics" and "evolutionary economics". You'll find a sea of ideas there. It's a group of scientists trying to understand, using rigorous methods, what the market is and why it behaves the way it does. Maybe I have missed something (maybe there are some other sciences), but here, say, at http://www.ephes.ru/articl/section.php you can find something really interesting just for you. I know for sure that similar researches are being done abroad, but I can't recall any names at the moment. If you are interested, search for "econophysics" and "evolutional economics" in the search engine. If you have an idea, we will discuss it together. It is clear that you can't do without two wizards when building a serious adaptive system.
 
Mathemat thank you very much ! I looked it up. There's some serious research to be done... And I'm only talking about two mashes because I can't do anything more than that right now. I've already had trouble with a couple of machetes... I'm just a cheeky freshman correcting professors in lectures, as much as I hate to admit it ... :((( All my past experience means almost nothing here. It's all too different from what I've dealt with before...

Oh, man... I know in my heart we're all gonna get drafted into the army for this entertainment...
 
Heh... Native group theory :))))))))))) I'll probably read the word Hamiltonian soon too :)))))))))) Only, folks, the Rationale... I'm afraid I won't laugh at it all, like Elliott waves and Fibonacci numbers. I'm lying though, I'm not laughing about it now, but for me the whole era has changed since then... I read an article where a Lagrangian was written for the market and the Lagrange equation was solved. Even the result was not too delusional. But I haven't got through more than half of the article. I got bored. Not interesting. It was too far-fetched. ...
 
In the freezing darkness, in the ice drift, in the ice
On the frozen ground, we go for warmth,
For white metal, for blue coal,
For blue coal, not for a long ruble,
For white metal, for blue coal,
For blue coal, not for a long ruble.

And no cards to muss, and nights without sleep,
Spring is coming by our bossolie,
And porridge without salt is empty and lean,
And our conscience is pure and honest,
And our porridge without salt is lean and empty,
And our conscience is pure and honest.

The rovsennik swims to the fishermen's nets,
The rookie is chased under the rocks by the water,
And letters go to unknown places,
And in the house where they're waiting, no misfortune is appropriate,
And the letters go to no one knows where,
And in the house where they wait, misfortune is misplaced.

And if I don't write to you from the road,
Don't be too sad about it, darling,
Why the devil would you want to hear from me?
The deceitful tidings of yesterday,
Why the hell would you want to hear from me?
The deceptive tidings of yesterday.

In the dank darkness of the ice drift,
On the frozen ground we go for warmth,
For white metal, for blue coal,
For blue coal, for a long ruble,
For white metal, for blue coal,
To the blue coal, to the long ruble.


Guys, this is our... Trader's... Sorry about the off-topic, I've got a cold, I'm nursing a cognac, and I'm listening to my travel tunes. But it's getting scary now... I hope I'm not the only one. A trader is always a romantic at heart. Even if he successfully masquerades as a cynic...

P.S. dear admins, maybe the forum have the appropriate section? Understand, most interesting people here is engaged in all this shit is not for the money. I judge by myself of course, but I'm ready to bet on the whole depot that I'm not the only one here like this. And people like that need songs and poetry... Without it, they just die quietly. ...
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