FR H-Volatility - page 16

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Can we have a bit of clarification here? I'm missing the point. What should and what shouldn't be expected from them?
You shouldn't expect these models to answer the question 'how to make money'. They're all built on the assumption that you can't make money )

In other words, do you think that creating a profitable trading system is possible in principle (without randomness, fitting, etc. )?
No, we do not. We trade :-D We also use a lot of mathematics but we don't make idol worship with shamanic chants like "Shiryaev! Shiryaev!!!"

It has been suggested here that the profitability shown by the current Championship leaders should be forgotten. What do you think of the limits of the possible?
It's not worth forgetting - but a bit of DISCUSSION wouldn't hurt.

a) Tippy conditions
b) Suspiciously gigantic returns from people off the street, when the top hedge funds are sitting at a "measly" 60% p.a.
c) Championship founders' interest in there being PROOFITs (what do you think will happen to the popularity of forex if all the contestants sell out?)
 
USDRUB, for example - that's a free field for a speculator (advertising rights ;)) And
it's better to go straight to the options, right Amir? Seriously - USDRUB is developing very fast now, both futures and options - and there it is a BASE, where they don't get cheated or requote.) So all the charms of the ORDER-DRIVEN market.

But not on forex, on forex I think at the level of gossip on the forums - impossible

I think it's possible - but not in brokerage. Why another intermediary, when there are futures for all currency pairs (note, with the BEST spread conditions). I've even heard of someone giving MT4s on currency futures.
 
kamal:
Prival:

I have a request, help me dummy explain if this curve has efficiency, inefficiency, arbitrability ?

A particular curve cannot have any of the parameters you listed, it is a property of that curve's distribution, which is, generally speaking, a speculative construct and a detail in the model. The efficiency/inefficiency curve distribution does not have a number, but a property that is either present or not.
Could you please state which property of this curve distribution corresponds to arbitrability or non-arbitrability ?
 

Hang on a second.

I'm not interested in references to authoritative opinion. In this case I am asking about your scientific and mathematical arguments. The question is: Do you have clear, unambiguous evidence that returns of an order of magnitude greater than generally accepted cannot be achieved?

 
The question is: Do you have clear, unambiguous evidence that returns of an order of magnitude greater than generally accepted cannot be achieved?
No, there is not.

Nor is there clear evidence that we don't live in the Matrix, or that gravity won't change sign tomorrow - anything is possible.

But at some point we're done looking for grails on DC's FX, and you can carry on )) If you're interested in the reasoning we used - I could talk for a long time, some of it has already been posted (about hedge funds and 60%) by the way.

//no offence
 
kniff:
In other words, do you believe that creating a profitable trading system is possible in principle (without chance, fitting, etc. )?
No, we do not. We do it ourselves :-D We also use a lot of mathematics, but we don't do idolatry by shamanic chants like "Shiryaev! Shiryaev!!!"

Please explain what makes you "not assume". 60% is already a fact. Is there, in your opinion, any mathematical indication of the marginal value of this figure? Say 80%, 92%... 150%. .
 

kniff

Thank you for starting a constructive conversation.

The point is that I approach the analysis of this curve from the point of view of a specialist in the field of radiolocation (military me). And I imagine this curve as a trajectory of enemy's movement (missile, plane). And it is important for me to know where it flies to dodge or on the contrary to cover the defender with my chest. And in methods of analysis of such curves there were no such notions as arbitration, efficiency.

You said it yourself "...it's a property of the distribution of this curve, which is, generally speaking, a speculative construct", but then you twist it again, sorry. "...but the results of your various actions over the curve (strategies) are a property of the curve, not strategies. Do you agree?" I disagree with this one, the curve does not have this property, it's my property, I'm a dummy not breathing properly, and the curve doesn't give a damn about it at all.

The discussion of the last few pages of this thread has been all about that. I hope my point of view and posts help me to understand what properties of stream can be studied and what properties it doesn't have and therefore they cannot be studied.

My views on the analysis of the curve, I put in another branch of the "Theory of random flows and FOREX", by the way one of the first models that I want to investigate is just written in the form of a system of stochastic differential equations.

P / S / A Just do not such phrases do not "You would not have disgraced at least)) argue with a person who has an average score of 5.0 in the Faculty of Mechanics, and just doing financial mathematics :-D Lol just))) I'm sorry." You don't know who sits on the other side of the monitor, much less their level of knowledge. I've been doing random flow theory for over 10 years now. Better give me a link to the literature where it is proved that Stratonovich integral looks into the future. I would be happy to discover something new.

 
You don't know who sits on the other side of the monitor, much less the level of his knowledge.
You're right. I am glad that you are able to doubt - it is a sign of intelligence. I am not always right either. And neither is Amir. And quite often. What's valuable is the ability to say the phrases:

Better give me a link to the literature proving that the Stratonovich integral looks into the future. I would love to discover something new.
By the way, on Stratonovich's module, just as I recall your position is quite constructive - in fact your claims about juggling terms coincide with mine.
 
SK. писал (а):

Hang on a second.

I'm not interested in references to authoritative opinion. In this case I am asking about your scientific and mathematical arguments. The question is: Do you have clear, unambiguous evidence that returns of an order of magnitude greater than generally accepted cannot be achieved?

No, of course not. I have no mathematical arguments here and I doubt that they are possible at all.
I cannot set any limit values for mathematical reasons either (especially since such values may only appear in the model of a large investor with market impact).
Any other questions?
 
Please explain what makes you "not assume". 60% is already a fact. Is there, in your opinion, any mathematical indication of the limit value of this figure? Say 80%, 92%... 150%. .
No, there aren't - I've written it down. It still very much depends on the amount of money being invested, on how you calculate the return.

For example, when you trade FX in a bank on the line - then any return is infinite. For the funds invested directly - zero. (in-line - is when you can make transactions WITHOUT any collateral in the form of margin, GO, etc.).

My belief is easiest to understand - there can be no GRAIL. And you can make money (But it's hard).
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