Probability theory question... - page 7
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Totally agree with you, except maybe that "regardless of the value of H, the market will always be trending". I'd have to look at those pictures we posted in the big thread. But those are details. I don't put any sacral meaning into it. But Pastukhov claimed that H-volatility may be used as a measure of the trend-flat condition. But according to my results it is not. In the left neighborhood of H=2 it still may be, as H-volatility behaves linearly there, but definitely not in the right one. Firstly, its behavior there is highly non-linear, and secondly, at the H=2 point H-volatility has a minimum, i.e. tangent to the chart is horizontal there. As a result, H-volatility in the nearest vicinity is almost insensitive to changes in the market condition. And this is the most important point - the moment of transition to the trend state.
No! Well, again, is it just me or is it everyone?
Yura, then the bias of the graphs for H-volatility relative to the zero correlation coefficient, is caused by the discreteness of the original BP. I think if the tick series were continuous (in the mathematical sense) there would be no problem at all.
been trying to voice this question for a long time, no one is responding..... too dumb probably.... last time I try....
Let's say:
- there is some statistical preference (2-3-4 eyes seen)
- not fully defined: there are many options, but the perspective is intuitively guessed.....
Which is easier, and more importantly, more expedient, financially and temporally:
- to study it to the end, and then already TC to sculpt?
- to make 2-3-4 versions of TC.... test them, etc.?
In general, of course, the question is much wider: Are there such statistical-time patterns in forex, which can be the basis for a trading system, or is there some symbiosis needed? )
And I'm not shouting, CL suddenly turned on :)))
There is a gap between mathematics and trading physics here.
- Identified, studied preference in its pure form, added the operational part and ... the studied statistical preference disappeared.
I.e. the stat. preference was defined on the set of objects that did not include operations, and as soon as these operations were added, another algebra was obtained.
Prival писал (а) >> У меня совпадает и АКФ и ФР, куда зайти почитать плиз. Может и я на что сгожусь
Bleen, yo-moyo, yoly-paaly. Yuuuuurix, can you hear me? I mean, that's what you're looking for... I'm not even talking about Neutron.
I will try to be very brief, but clear:
There is a set of indicators (number = N). All indicators at the same time give a signal to either buy or sell. The probability of choosing the right direction for each indicator = Dn (where index n=1...N). The order opening direction, following the signals of the indicators, is selected in the direction that most of the indicators give signals to.
Question: What is the probability of selecting the correct order opening direction?
-
I have been searching for an answer for a week. I do not have energy anymore. Maybe someone has more knowledge in this area. Thanks in advance for the answer!
voz`mi indikator bolshogo period,i opredeli ego napravlenie
There is a gap here between the maths and the trading physics.
- Identified, studied preference in its pure form, added the operational part and ... the studied statistical preference disappeared.
I.e. stat. preference was defined on set of objects that did not include operations, and as soon as operations were added we got another algebra.
est`
Bleen, yo-moyo, yoly-paaly. Yuuuuurix, can you hear me? I mean, that's what you're looking for... I'm not even talking about Neutron.
:-)))
No, that's not it. I am not an expert in matstatistics, but somehow it seems to me that by tinkering with it, by varying the parameters of generator or generating model it is possible to reproduce series of SP with similar to real ACF and FR. And in its essence it will not differ much from the optimization of the Expert Advisor in the tester. We all are fond of the theme of grails, aren't we? So it will be a similar grail, but not a trading one, but the "generator's" one. What distinguishes a true grail? It works well in history, but poorly in reality. Why? Because it is based on a model that has nothing to do with this reality. And I am interested, as I've already explained to you, not in the process of tick generation per se, but in the construction of a model that has a relation to reality, and preferably as close to it as possible.
If Prival has made such a model, which is quite possible, then praise him. And a wish to make a lot of money with it and spend it on good causes, but keep your model away from the masses. If he hasn't already, the value of such generation is purely technical. IMHO
Yura, then the bias of the graphs for H-volatility relative to the zero correlation coefficient, is caused by the discreteness of the original BP. I think that if the tick series were continuous (in the mathematical sense) there would be no problem at all.
I find that hard to believe. I have both numerical experiments and analytical results converge and say quite the opposite.
The set of indicators gives contradictory signals, partly to buy, partly to sell.
In this case it is possible to work out a preference taking into account the simple majority of "voted
for one or another trading signal, or you can attribute some weight to each expert indicator, then it will be
it will be a voting with taking into account the seniority.
But it is possible to find out the "unity" of signals within each group, i.e.
to find out the measure of consistency of opinion-signals, and then you can order them with the help of this
measure, ranking them with it.
The set of indicators gives contradictory signals, partly to buy, partly to sell.
In this case it is possible to work out a preference taking into account the simple majority of "voted
for one or another trading signal, or you can attribute some weight to each expert indicator, then it will be
it will be a voting with taking into account the seniority.
But it is possible to find out the "unity" of signals within each group, i.e.
to find out the measure of consistency of opinion-signals, and then you can order them with the help of this
the measure by ranking them with it.
... and then take into account that most people always lose.
Hi Sergey.
If you actually managed to build a tick-flow model satisfying two requirements:
1. The coincidence of the probability density function for the first difference series of the original BP and the model BP;
2. the coincidence of the correlation coefficients between samples separated by a positive integer in the first difference series and the model return series.
My respect to you!
Can you post the proper graphs confirming your ideas and tell us a little bit about your method?
I missed this question. Didn't see it. Sorry
Here's where I posted the graph and an explanation of how and what I built. "Random Flow Theory and FOREX
The only thing that kills all, not just my builds, but many. those who believe that the time between ticks is stationary.