Author's dialogue. Alexander Smirnov. - page 18
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Yes, Korey, I see, thank you; I just assumed that EMA(2) should approximate this ingenious Smirnoff's indikator a bit better. I took my time and went through all 8 steps of the scheme mentioned in the article and made sure that the sum of coefficients really is 1. Only later I understood that everything is linear and realized: "but what for? Why did I solve this trivial linear hoax?
Eh, Mr. Smirnoff, it would be better for you to publish in the West, where any piece of... in an appropriate wrapper - as long as it brings in money... Aren't you ashamed to harass people here? If so, why don't you show us a real algorithm, a smooth one, without delays, under- or overlaps, better than Djurik's? After all, Jurik, you must agree, is much better - even the one we have posted, i.e. JMA.
P.S. Korey, in principle there is no big difference - either EMA(2) at high fading, or Weighted Close. The same Close price in fact. Korey, do you mind if it is "you"? If you do not mind, I will accept it.
on that screen p.9. I meant the second Smirnov index, the long one, to which I managed to match 1:1 the integro-differential MA,
or is the long Smirnov irrelevant? (Blue and blue lines)
I've run through the material, and I don't see what this is all about. In my opinion, the most valuable thing in automata is the smoothness of the averaging curve and its realism. Chasing every spike is totally unprofitable. MA lags by a half period and that's OK, EMA lags by a third period, LWMA - by a quarter period and it smoothes very well. T3 is a marvellous indicator at all. Djuric has made beautiful envelopes with its exponents, but T3 behaves more adequately and stably in Expert Advisors. If you need the curve to fit better into the signal oscillation pattern, you can make it adaptive and there will not be any troubles with periods and delays. Here is a picture of EMA adapted by Std like AMA. But what is the use of it all? In trading, the optimality of entry and exit times has nothing to do with all that ironing and catching up. And the professor is a bit pathetic. The initial error in the approach - it tends to accumulate and grow. And a lot of knowledge and little practice only help it...
About practice. That's kind of how it was in the very first post:
Why in the past? You don't walk away from such a past, you stick to it like to a drug.
And the second, ANG3110:
I think there is a point. You just have to find it.
How much of a practitioner is he? He sat there for probably two days, a month at the most, and he considers himself a practitioner. The approach, and what he pays attention to, shows that he is a very young guy in trading - completely inexperienced. And lagging and ironing of muwings usually interests beginners... But once again, what is the use of it?
And if you add thresholding to the adaptation, it's beautiful. And no jerking.
Something makes me want to get smart too... There is a wild tangent with these constant periods and mathematics, even if it is the highest. Real time in the market is non-linear, space-time is all-time curved. There are fast fluctuations, then there are slow ones. Generally speaking, there are many harmonics from small to large. But it is absurd to try to analyse them or calculate in linear time. Take the section shown in the picture. But the space-time is now shrinking and now expanding. And the real time will be the travelled path, that is the sum of Close - sum += MathAbs(Close[i] - Close[i+1]) in first approximation, divided by the average specific length. This is still more or less constant. At night time is twice as long as day time and the amplitude of fluctuations is at least twice as short as day time. In the daytime, on the contrary, time is shorter, while the amplitude increases. Space and time are interdependent. If we will use periods and bars in linear time scale, or calculate harmonics like Fourier transform you will never get a correct picture. And you can forget about forecasting altogether with such an approach.
When there is a currency glut, as in the case of European currencies, it takes more time for the price to increase than when it is trending. The same amount of money is spent. It is just wobbling around, with small collapses towards market balancing.
... At night time is twice as long as day time, and the amplitude of the oscillations is at least half as much as during the day. In the daytime, on the other hand, time is shorter and the amplitude increases...
Something makes me want to get smart too... With these constant periods and maths, even if it is the highest, there is a wild tangent. Real time in the market is non-linear, space-time is all-time curved. There are fast fluctuations, then there are slow ones. Generally speaking, there are many harmonics from small to large. But it is absurd to try to analyse them or calculate in linear time. Take the section shown in the picture. But the space-time is now shrinking and now expanding. And the real time will be the travelled path, that is the sum of Close - sum += MathAbs(Close[i] - Close[i+1]) in first approximation, divided by the average specific length. This is still more or less constant. At night time is twice as long as day time and the amplitude of fluctuations is at least twice as short as day time. In the daytime, on the contrary, time is shorter, while the amplitude increases. Space and time are interdependent. If we will use periods and bars in linear time scale, or calculate harmonics like Fourier transform you will never get a correct picture. And you can forget about forecasting altogether with such an approach.
When there is a currency glut, as in the case of European currencies, it takes more time for the price to increase than when it is trending. The same amount of money is spent. It is just wobbling around, with small collapses towards market balancing.
Hello
Very interesting to know the opinion of the pack.
I posted an article on page 14 https://forum.mql4.com/ru/10446/page14 on Optimal Tracking Filters by John Ehlers. I am under the impression that it looks similar to this one.
The material is as old as the world, but it hasn't lost its relevance IMHO. The authors of this article claim:
OTF uses the bar maximum and minimum prices in the calculation. The part of the indicator formula, responsible for the adaptation, uses bar highs and lows in the calculation, which allows estimating the additional noise factor, that neither Kaufman's AMA nor VIDYA use in their calculations.
This has the advantage of using a single smoothing parameter. Kaufman's AMA requires the trader to make a decision regarding the choice of values for three different parameters. VIDYA requires a trader to make a decision concerning the values of two different parameters. OTF, in its turn, requires a trader to choose a single parameter - an averaging period (or a smoothing factor). This not only makes it easier to use, but also makes it quicker to understand and grasp.
ANG3110 You mentioned about T3. Could you please elaborate on its benefits (what is the fun in it) and preferably in comparison with the others.
Thank you.
Hello!
ANG3110 You mentioned T3. Could you please elaborate on its advantages( what's the catch) and preferably in comparison with the others.
Thank you.
It's very simple. We make an Expert Advisor that would buy and sell completely on a change of direction of the moving average to the opposite one. We can add a small threshold value, 1-3 points to the moving averages to stop them from bouncing, otherwise there will be a lot of false positives. We also add all sorts of indicators (MA, EMA, LWMA, JMA, Linear Regression-LR, weighted regression, parabolic regression, DCT, regression sines, cosines, logarithms, adaptive family, VIDYA, AMA, by Std, by momentum or angle LR, Highest-Lowest, Parabolic, Lag indicators, Step indicators, cluster Neural network, etc.п., and T3. And run it through the optimizer. In this experiment, T3 gives the best results. Then comes LWMA, and then EMA. The rest are noticeably worse. This experiment is not very correct, like fitting, but it will immediately show, for instance, that Jurik is a cheat, an exotic. And it will show that determining the state of the market at any given time is far more valuable than all that filtering and ironing.
T3 is essentially an EMA taken from itself six times in a row and summed up according to a certain law with balanced lag factors. That's why it has such a high smoothness.