A great book on testing and optimisation - page 11
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I don't intend to go over this "other thing" again.
Me too, especially since the NYSE session closes in five minutes, it's time for a rest.
>> Good luck in the markets for you!
Me too, especially since the NYSE session closes in 5 minutes, time for a rest.
Good luck in the markets to you!
Guaranteed 'good luck' to you too!
You want to disprove the Nobel, go and do it, not extort the system.
Why refute something again when the crisis of 2007 has already disproved all this econometric nonsense, which has proven to be unworkable on out-of-sample.
Back in 1996 the Basel Accords required banks to use the (G)ARCH econometric model, which actually led to the crisis - at the most inopportune moment the American pseudo-scientific blather for which the Nobel prizes were awarded turned out to be untenable.
Why bother to refute something again when the crisis of 2007 has already disproved all this econometric nonsense, which has proven to be unworkable on out-of-sample.
Back in 1996, the Basel Accords obliged banks to apply the econometric model (G)ARCH, which actually led to the crisis - at the most inopportune moment, American pseudoscientific purport, for which Nobel prizes were handed out, turned out to be untenable.
Yep ALL that nonsense.That's the nonsense.The crisis is a nice piece for such a model - expected profits and transaction frequency per unit time increase.
Stationary process. You can see the active phase of the crisis.
An example of a weakly stationary process, but only an idiot would not earn money on it as well, we can see the active phase.
An example of the beginning of the volatility increase. Oh, how scary - we don't work with a leverage of 1:100.
If this is a pseudo-purga, then what do you call what you do? For you it's a clinic - you brought it on yourself. If something went wrong somewhere, it doesn't mean that the whole mess doesn't work.Large investment companies have another problem - the liquidity problem.
Stationary process. You can see the active phase of the crisis.
Kalman filtered or unfiltered row traded?
Similar picture:
Kalman filtered or unfiltered row traded?
Similar picture:
You don't have to use Kalman, you can use Bollinger.
No, it's not. You have an intraday process, I have a year's view. What's your two sigma size in pips, I suspect the spread will eat it all up?
Not necessarily Kalman, you can use a regular Bollinger.
No, not similar. you have intraday process, I have 1.5-2 years. what is the size of two sigmas in pips, I suspect that the spread will eat everything?
I trade both intraday (scalping) and long term. Depending on it and the size of two sigmas from 15-20 cents to 5-10 dollars.
In scalping spread and commission take away 20-50%, but a little is left over :)))
FOXXXi писал(а) >>
Just because something went wrong somewhere doesn't mean that all this crap doesn't work.
Of course it works. Who's to say? Only it works at a loss.
Well, it all makes sense. Picture gallery + a bunch of pseudo-scientific bullshit. And no investment passwords and monitoring to back it up, you wouldn't even dream of it.
Well. I can only wish you further success in drawing pictures and making successful calls to investment funds in order to sell these very pictures.
Malevich rests.
I trade both intraday (scalping) and long term. Depending on it and the size of two sigmas from 15-20 cents to 5-10 dollars.
In scalping spread and commission take away 20-50%, but a little bit remains :)))
Well, you don't need luck, you can look out for yachts.
Well, you don't need luck, you can look at yachts.
I don't need luck, looking at other people's yachts, etc. I certainly don't need the skin of an unkilled bear.