Building a trading system using digital low-pass filters - page 9
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PPPS. well also. The red chart, EURGBP, shows that somewhere around 7-12 o'clock non-Moscow time there is a small discrepancy between the price movement and the number of ticks. Why would that be?
You may have noticed that this is not the only "discrepancy" ....
I think (IMHO) it has to do with the fact that the European session is opening and people are trying to decide "where we'll trade today".
It means that both "bulls" and "bears" are trading and everyone is trying to move the market in their own direction.
Thus, the number of ticks exceeds the number of candlesticks movement.
After 12 o'clock usually the direction has been determined and most of the traders prefer to trade in this direction.
Yes, this explanation has some basis in fact. The main thing is that this "crowd effect" takes place on the chart.
While mo cyclically depends on the time of day and variance cyclically depends on the time of day. And that doesn't speak in favour of stationarity. If everything were stationary, we would see straight lines instead of these humped graphs.
Of course I have such series. Of course MO series in time have characteristic features and patterns. Etc. Moreover, you cannot use checks on long intervals in the market, due to non-stationarity.
Guys! stop fooling yourselves and hope that the market will give you a pleasant surprise.
Moreover, market checks cannot be used for long intervals, due to non-stationarity.
I was about to enter into a long and tedious argument with Prival, I was about to start a long text, when I was overtaken by Server Wind.
The only more or less correct application of the spectrum under discussion is calculation of parameters for some types of indicators, such as MACD. You can find a lot of interesting studies on this topic, it is a well developed direction.
As for the transition to stationarity - the task has not been solved in principle (and I have learned) and is unlikely to be solved in the near future. And, for example, such "blocks" of science as control theory generally assume that everything is stationary, and if it is not - they reduce it to the influence of noise and measurement errors.
Moreover, market checks cannot be used for long intervals due to non-stationarity.
I would even say that only non-stationarity is stationary in the market. :) The opportunities to gain profit by arbitrage (on some small time intervals) are always there, they just change in time. It's to a question about possibility to build mts which will always "earn". I've come to the opinion that it's not possible, all the time you need to be alert and "adjust" the mts to the market.
I was about to enter into a long and tedious argument with Prival, I was about to start a long text, when I was overtaken by Server Wind.
The only more or less correct application of the spectrum under discussion is calculation of parameters for some types of indicators, such as MACD. You can find a lot of interesting studies on this topic, it is a well developed direction.
As for the transition to stationarity - the task has not been solved in principle (and I've learned about it) and is unlikely to be solved in the near future. And, for example, such "blocks" of science as control theory generally assume that everything is stationary, and if it is not - they reduce it to the influence of noise and measurement errors.
By the way, I don't totally reject spectra, but, like a lot of other mathematics and statistics, they have a very narrow field of application.
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By the way, I'm not irrevocably rejecting spectra but they, like many other mathematics and statistics, have a very narrow scope.
Right, narrow, but sometimes very effective. This is what I once read (unfortunately, I lost the link) I liked very much. The strategy was based on classic MACD with the only difference that there was no optimization and the windows were adaptively selected based on spectral analysis.
...
By the way, I do not irrevocably reject spectra but, like many other mathematics and statistics, they have a very narrow scope of application.
Right, narrow, but sometimes very effective. This is what I once read (unfortunately, I lost the link) I liked very much. The strategy was based on classic MACD with the only difference that optimization was not performed and windows were adaptively selected based on spectrum analysis.
I think I've seen something similar. What can I say, spectroanalysis as an auxiliary tool, who can object. It's a good idea to see if it's easier to use dummies or something like that instead of spectra.
As for LF filters, I used to entertain myself by trying to predict the filtered signal using all known methods. In some way, of course, it works :o /
By the way, to Prival
You may know, it's based on Berg's method (or Burg's method, in general his name is Burg). Try to collect statistics with this method (it's based on autocorrelation), but use filtered signal itself. I warn you right away it will lie, but once again it depends on what to consider as a correct result. But if we pass from the forecast series (the forecast horizon is given) to some generalized characteristics of the signal, and from generalized characteristics pass to levels (no method will ever predict the price series precisely), then it may work out fine. Quite nothing. This was entertained as an elective, in my opinion - not a bad approach, quite scientific. Along the way collect statistics, maybe it will become clear when it makes sense to make a prediction, when it does not.
PS (addendum):
Or try predicting with this method MA, but obtained on signal after filtering. Also nothing. Knowing the "accurate" MA prediction - you will "accurately" recover the future BP (within accuracy)
Yes, there is a basis for this explanation. The main thing is that this "crowd effect" has a place in the chart.