Random Flow Theory and FOREX - page 20
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Ok! Everything works.
But, gosh, figuring it out... So, we have an input signal, noise and a model that adequately describes the process. We put a model in the filter and thus can effectively influence the input data laden with noise. Right?
This is just a little bit wrong. We cannot influence the input data, but we can determine when the input data begins to diverge from the model embedded in the filter. As long as the divergence is not high (has not exceeded the threshold), we filter, i.e. smooth and predict the "behavior" of the flow using this model. As soon as the threshold is exceeded switch to another model.
Yes, prediction is done using OLS (least squares method) according to nested model
Prival, not much left! - to cram the market model into this filter:-)
Build a chart of bars whose breakdown is based on ticks, not time !!! Mathemat 's great idea expressed in another thread.
I just want to reflect it here as well, with explanations. The source stream is a tick stream. Any transformation of it into bars is a non-linear transformation but we are forced to work with them because we can only reliably reconstruct its history on minutes.
The proposed construction reduces the non-stationary flow that we are trying to analyze to a flow whose intensity equals const. On the first page it was said about IP - momentum function of the first order is one of its most important characteristics. It will be another price series with different characteristics, but the result can indeed be interesting. For example, it is very interesting how ATR will behave on this series, and other standard indicators as well. What will be the AKF and spectrum of this series.
If someone has an archive of ticks. Let at least a week share. Please give this archive to komposter. He is a wizard, he can handle it. Or post it here with explanations for currency and time interval. Graphs to build and will certainly post.
P.P.S. Maybe the market lives in a different time dimension and 1 second is 1 tick.
For the record.
A dealing centre may use several sources of quotes. Each source has its own tick history, including the time of a new tick receipt. Different dealing centres use different sources. One dealing centre can connect, disconnect and shuffle its sources. At any moment the picture can change simply by the broker's decision.
For these reasons, one has to be very careful when analysing ticks, volumes and similar indicators.
As I see it, at this depth there are no or very few meaningful indicators that characterise the market.
Only noise.
If we analyze ticks and volume, then it must be a relatively short period of time of the last history (for example an hour or less). And even in this case it is difficult to identify the true cause of the event: whether there was activity in the market, or whether the broker has included an additional source of quotes.
For these reasons you have to be very careful when analysing ticks, volumes and similar indicators.
My understanding is that at this depth there are no or very few meaningful indicators that characterize the market.
Only noise.
I cannot agree with this point of view. You suggest that connecting/disconnecting any of the broker's quote providers could cause the signal to disappear ? But this cannot happen in principle. For example, quotes of some supplier=signal+noise. Connect quotes of another supplier. If they contain the same signal but noise with different characteristics, the output will still be signal+noise. Only the noise parameters will probably change slightly. If you have no signal at all (which is impossible), only noise, you will still get signal+noise. If you have a different signal, you won't get it either, because you will all get the same picture. Absence of signal (i.e. only noise) may happen only if signal from one provider completely compensates signal from the other (i.e. they are directed in opposite directions and have the same strength). How do you imagine this to happen?
IMHO, the only real problem here is noise. Its parameters can change over time for many reasons, and it doesn't really matter which ones. But if there is a signal model in the filter, it should not affect the filter output, the noise should be filtered out. The only question I have is the signal-to-noise ratio. How much does it affect the filter output ?
I cannot agree with this point of view. According to you it turns out that plugging/unplugging any of the broker's quote providers could cause the signal to disappear ? But this cannot happen in principle. For example, some provider's quotes=signal+noise. Connect another provider's quotes. If they contain the same signal but noise with different characteristics, the output will still be signal+noise. Only the noise parameters will probably change slightly. If you have no signal at all (which is impossible), only noise, you will still get signal+noise. If you have a different signal, you won't get it either, because you will all get the same picture. Absence of signal (i.e. only noise) may happen only if signal from one provider completely compensates signal from the other (i.e. they are directed in opposite directions and have the same strength). How do you imagine this to happen?
IMHO, the only real problem here is noise. Its parameters can change over time for many reasons, and it doesn't really matter which ones. But if there is a signal model in the filter, then in theory it should not affect the filter output, the noise should be filtered out. The only question I have is the signal to noise ratio. How much does it affect the filter output ?
The difference in quotes from different sources may be big enough to exceed the noise. But this difference is only for a while. Then they (quotes) come to roughly the same level (then only noise).
I cannot agree with this point of view. So you think that connecting/disconnecting one of the broker's quotes providers may cause the signal to disappear ? But this cannot happen in principle. For example, the quotes of some supplier=signal+noise. Connect the quotes of another vendor. If they contain the same signal but noise with different characteristics, the output will still be signal+noise. Only the noise parameters will probably change slightly. If they contain no signal at all (which is impossible), only noise, the output will still be signal+noise. If they contain a different signal - that can't be either, there's only one screen for all of them. Absence of signal (i.e. only noise) may happen only if signal from one provider completely compensates signal from the other (i.e. they are directed in opposite directions and have the same strength). How do you imagine this to happen?
IMHO, the only real problem here is noise. Its parameters can change over time for many reasons, and it doesn't really matter which ones. But if you have a signal model in the filter, it should not affect the filter output, the noise should be filtered out. The only question I have is the signal to noise ratio. How much does it affect the filter output ?
It is very simple.
One source gives an average of 5 quotes per minute. The other, for example, gives 6 quotes (which do not coincide with the first one). If the broker connects two sources simultaneously, then the user receives 11 similar quotes + increased volume. Looking at 11 quotations and the increased volume the user cannot determine the reason - whether the dealer has connected an additional quotation source from the outside (and sent it to the user) or the market has become active as a result of some news publication.
As for the noise, these are frequent and small price fluctuations, which contain no useful information. Only by filtering out the noise is it possible to get a useful signal. Ticks are certainly in the realm of noise.
PS I've been thinking a bit more... remembering the old days :). Strictly speaking, of course ANY information from the market contains a useful signal to some extent. But it makes sense to use ticks only when an already built system is characterized by a PF=25. And there is no sense to do it earlier.
As for noise, these are frequent and small price variations that contain no useful information. Only by filtering out the noise can a useful signal be obtained. Ticks are definitely in the noise domain.
PS I've been thinking a bit more... I remembered the old days:). Strictly speaking, of course ANY information from the market contains a useful signal in one way or another. But it makes sense to use ticks only when an already built system is characterized by a PF=25. And there is no sense to do it before that.
This is especially evident by results of the work of the Better Expert Advisor that can be used in any timeframe, because it does not work on bars, but uses the incoming stream of quotes, i.e. ticks. His Expert Advisor has a PF of about 3. And if you remove reinvestments it will be a bit higher than 2. Nevertheless, it is practically unreachable for its persecutors and the common opinion (justified or not - doesn't matter) is: "There he is, the GRAAL!!!".
I understand why the developers are so persistent in their attempts to discredit working with ticks - in MT you can work with them, but it's inconvenient. But I don't understand why people totally uninterested consider it their duty to put a fat cross on ticks. In public. Even in the presence of those who earn good money on ticks.
And concerning the volumes - it's even simpler than that. No normal broker will allow himself such an arbitrary flow of quotes. No broker will allow clients to miss an elementary amount of data flows from their suppliers. Everyone has their own filters to regulate the intensity, fuzziness and other characteristics of the data stream being passed on to clients. And, believe me, no one changes these settings out of the blue. Well, except in some championships, in some exceptional cases, for perfectly justified and declared reasons . :-))
I suggest you look at this idea from a different perspective (building bars by number of ticks, not by time). Let's leave signal and noise aside.
Let's take a simple MA and two conversions from a stream of ticks.
Date
Time
Volume
15.08.2007
7:01
2
15.08.2007
7:02
1
15.08.2007
7:03
2
15.08.2007
7:04
18
15.08.2007
7:05
29
15.08.2007
7:06
10
15.08.2007
7:07
1
Total of 63 ticks
Let's assume the breakdown by 3 ticks in a bar, we get 21 bars instead of 7.
I think the MA will work better (faster processing of all changes), and of course all indicators based on MA will have less lag. Usually during the strong movements the Volume increases.
But I think this is not the main thing. The main thing is to change one of the most important properties of the flow - the intensity (number of ticks/unit of time), in the first case it (intensity) is non-stationary. In the second case the intensity is stationary in both narrow and wide sense.
I don't remember who told it to me, but one thing for sure, he was a very smart expert. It is easier to work with steady-state flows :-).
Earlier I suggested subtracting the trend (y=a*x+b) from the flow (sample under analysis) - I'm already talking about the price flow. By this linear transformation we achieve another stationarity (mat.ozh.=0). We begin to analyze the residuals after these transformations. Gaps (discontinuities of functions) are left out of the analysis. But they can also be dealt with - my analysis shows that the direction of the gap can be predicted, but more on that later.
The only thing I think we need to do is to help programmers developing MQL5. I mean to think out and offer them an algorithm for storing these bars + having two such archives of quotes, we will try to adequately reproduce the flow of ticks in the tester.
P.S. I am a common person and I can always make a mistake. But only he who does nothing is not mistaken. I would be glad to hear your objections, or support. If this information is needed by many traders, I think MetaQuotes Software Corp.