The market is always wrong - page 10
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Getting there - just over a per cent a week?
In terms of equity, it is a little over 4% a week. But funds are growing in a non-linear and unstable way.
There will be a flat summer and the index should improve.
Swaps are being traded. In the viac contest first
Strategy description http://onix-trade.net/forum/index.php?showtopic=69&st=0
Swaps are being traded. In the viac contest first
Strategy description http://onix-trade.net/forum/index.php?showtopic=69&st=0
I look forward to hearing the views of our eternal mathematical censor Mathemata.
usdjpy and all who are seriously interested in this topic!
I look forward to hearing the views of our eternal mathematical censor Mathemata.
usdjpy and all those who are seriously interested in this topic!
I look forward to hearing the views of our eternal mathematical censor Mathemata.
I've just started studying the subject of portfolios, so I can't say anything definite yet. I will be posting interesting material, in my opinion.
I hope knowledgeable people will help us to understand this difficult task.
Swaps are being traded. In the viac contest first
Strategy description http://onix-trade.net/forum/index.php?showtopic=69&st=0
According to the author of the Expert Advisor, swaps account for about 15-20% of the total profit and are only a factor increasing the stability, but not the basis of earnings. The most important thing in his strategy is the principle of currency portfolio re-calculation the author is not going to reveal.
usdjpy and all who are seriously interested in this topic!
I look forward to hearing the views of our eternal mathematical censor Mathemata.
I've had a look at that file. I'm not entirely sure, but it seems to be a brief retelling of traditional portfolio theory, with which I'm only familiar at the "diagonal" level. The main problem with it is below (quote from the article):
The classical approach uses volatility, more strictly the standard deviation of the expected portfolio return, as a measure of risk. Assuming a normal distribution of portfolio returns, 68.3% of actual returns should fall within the interval [ R0 - µ , R0 +µ ].
In reality the hypothesis of normal distribution is refuted by the market, and very severely: deviations exceeding 3 sigmas according to the normal hypothesis occur only once in 370 (0. 27%), and in practice - once in 60 (1.65%). It gets worse: deviations over four sigmas by the normal hypothesis are extremely rare (1:16000), whereas in reality it is 1:140. And there are deviations of more than six sigmas - according to the normal hypothesis unbelievable... This is the return data for EURUSD.Now there seems to be a modification of the classical portfolio theory that takes into account non-normality of distribution, but I'm not familiar with it. Following Rosh I recommend to read the Peters' work "Fractal analysis of financial markets". The book is available on Spider.
Mathemat, thanks for the comment, I will think about it.
I have Peters' book, but where can I get Rosh's article or what is it called? I'd love to read it.
By the way, my books on trading topics, neural networks, etc. have accumulated about 2 Giga. I could put them out there for everyone to use. Just do not know where? It would be good to organize such a library on the forum.
Well that's a question for the moderators.