The battle: an efficient market and a TS with a positive maturity expectation. Who will win? - page 13
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Larry Williams :) replies:
1. The notion of market efficiency was introduced not by me, but by the creators of the theory of efficient markets. You can read about what it means in their writings too.
If the inflow of money to the market / (outflow of money from the market + market rate) >1 then the market has an inflow of money and the market is efficient.
If there is an inflow of money to the market / (money outflow from the market + market rate)<1 then there is an outflow of money to the market and the market is inefficient.
If the market is inefficient, all money will be withdrawn from the market in a sufficient amount and this will lead to a zero market turnover, lack of profit of the market infrastructure and their disappearance (bankruptcy) and, consequently, to the disappearance of the market.
The value calculated by the formula: 1-(money inflow to the market / (money outflow from the market + market commissions) = market efficiency shows the degree of market efficiency; if it is less than zero, the efficiency is negative (the market is not efficient); if it is greater than zero, it is positive (the market is efficient). The degree of efficiency also allows you to compare the efficiency of different markets.
2) Trend and flat - notional symbols for the magnitude of out-of-bar volatility on a given timeframe. (A trend on M5, can be a flat on D1). The trend and the flat are the market phases, the trend is the market phase with large off-bar volatility, the flat is the market phase with small off-bar volatility.
3. The MA period in the adaptive indicator should not depend on the "distance between the bounds", but on the out-of-bar volatility. Just in this example of a simple indicator, the extra-bar volatility is measured by the distance between the Bollinger Bands.
About the entry... The point is that O, C, H, L arise from the bar chart representation. Chart representations can be different: candlesticks, bars, linear, tic-tac-toe, kagi, renko.... But the graph itself is a tick chart! Therefore, to build a real adaptive indicator it must be based on a tick chart. If you build it by another tick chart - the distortions inevitable in the chart representations will not let the indicator adapt to the market accurately.
Off-bar volatility - is the volatility, created by anumber of bars. A simple indicator for its measuring is Bolinger bands. Intrabar volatility is the volatility inside the bars, and you can use the ATR indicator to measure it.
How effective is the indicator? It can be measured using many methods.
The effectiveness of a TS depends on the efficiency of each of its elements: entry rules, exit rules, equity and risk management rules.
I think to measure the effectiveness of TS, you should create the following index of efficiency: % of profitable trades, expectations, average time per trade, maximal drawdown, the amount of time (open positions) spent in minus balance.
And about trawl, entry rules, and lot management, read my previous posts. I described it in detail there.
And so it is with many issues. Let's take the notorious trend. I introduce the definition.
The trend is a function of the form y(x)=ax+b. The equation of a straight line on the plane. Gentlemen, where is the flat?
what is the mat definition of flat ?
mat definition of phase ? etc.
It's just that when we operate with notions that don't have strictly mathematical description it's not clear what to put in the structure
if{}
If we don't understand it, then how to explain it to this dumb machine - it can only add 0 to 1.
And why should we determine the phase of the market? TS should be reversible.
The trend cannot be defined by the function y(x)=ax+b, as the price chart is a so-called non-analytical function and therefore the analysis of price as a function chart is mathematical nonsense.
The adaptive TS does not need to define the phase of the market. Stop drawing: "if (TREND) " This is not necessary for adaptive TS!
The TC must be overturned.
The TS should be a reversal TS.
What's not to understand? A ducted flip-flop system.
Not trend-following, but channel-following in any market condition: flat, channel, trend.
The TS should be a reversal TS.
What's not to understand? A channel flip system.
Not trend-following, but channel-following in any market condition: flat, channel, trend.
The TC is supposed to be a coup de grâce.
What's not to understand? A channel reversal system.
Not a trend following one, but a channel reversal one, in any market conditions: flat, channel, trend.
:-) Let's win - our cause is right! The victory will be ours!
People!!!! Write an adaptive indicator, it is described on page 12 of this thread.
People!!!! Write an adaptive indicator, described on page 12 of this thread.
I just don't understand why there are 2 parameters when you can express them in one: coefficient_adaptation/proportionality_coefficient
People!!!! Write an adaptive indicator, described on page 12 of this thread.
Thank you. Let's try a graphic!
I just don't understand why there are 2 parameters when you can express them in one: coefficient_adaptation/proportionality_coefficient
For a better understanding of the operation of the indicator.