Obtaining a stationary BP from a price BP - page 15
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So you won't even send us any money, colleague? We were your interlocutors! We indirectly led you to this trading model, maybe implicitly and not directly, but we pushed you with our conversations. Where is your gratitude? You do not have to post it here, we will not accept it.
We are poor but honest (and proud).
>> I can send you the stats of the demo account.
This is perhaps a valuable observation, but the feasibility of such a conversion is still not fully revealed.
FOXXXi, think about it: we have a price series which is an integrated CB with nearly zero MO and non-stationary moments. The idea of converting it to a stationary series implies some stationary functional dependence of moments on something else (e.g. time of day, etc.). The problem of "residualization" thus boils down to identifying this functional dependence and exploiting it... but what if this dependence does not exist or is itself non-stationary!
We are trying to build a sand castle, ignoring the fact that it will crumble sooner or later anyway. I suspect that we fall for pretty words and science, losing sight of the impracticality of all these actions. This is the kind of game we have, in which the result is not important, but the process itself is interesting. And what will this "permanence" give us? An opportunity not to over-optimize the Expert Advisor... It's a great challenge to reoptimize it once a month! All in all, based on my understanding of the problem, it is not worth a bite. But it is not worth much in Forex.
I guess I agree. Nothing will make nothing. BUT. (a little aside from Reshetov's subplot) Let's try to look at the problem from a slightly different perspective - let's localize the process by limiting it to a time frame.
A stationary process we have what? If we take it in a broader sense than in TV, then a synonym for "stationary" would be "stable" or "stable". That is, any parameters of the process are stable. This is clear and obvious.In a practical sense, any process is considered within a certain time frame. I am simply suggesting a micro framework rather than a macro one.
There are some sectors of the market with a pronounced local stationarity of one or a group of parameters. For example, trends. Volatility, for example, is quasi-stationary. There is no need to search for the areas of its stationarity - the entire series. (I'm simplifying - the stability of the TD depends on the tf, but practically in any case there is.)
If we set the problem this way: to determine the areas important for the trade with lock stationarity, relying on the processes closer to stationary.
In simple terms, this would turn out to be an estimate of the probability that the valuable process will be stationary for some time, based on an older quasi-stationary process. Well, for example, if we assume that the expansion of the trading range (TD - quasi-stationary process) is a necessary condition for a trend (not always, but it does not matter here - let it be), then the probability that there will be a trend is higher in this phase of the quasi-stationary process. It is also possible to estimate its extent from the phase. And so on. This is all "by way of example"!
I.e. the problem is reduced to a) search for quasistationary processes themselves on the one hand and b) determination of correlations with local ones on the other hand. The result is an estimate.
(Well, of course, you still need to understand what kind of lock process is present, but that's another topic).
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Sorry for the stream of consciousness, the rambling and the off-topic. I am a practitioner. And I have described my practical approach.
Yay
He's back
Yay. .
>> he's back.
Mm-hmm. I can even provide you with a steat of the demo we lost.
I can send you the stats of the demo account that went down.
When did you ever get a chance to test a method...
Or was it a turn of phrase - like "dead donkey's ears" rather than sharing? But either way, it's not a bust.
Uh-huh. I'm even willing to give you the stats from the leaked demo.
And when did you have time to test the method...
Or was it a turn of phrase - like "dead donkey ears" and not to share? But one way or another, it's not going to happen.
It sounds like an unrealizable dead end to me.
And Reshetov, he's kind, within limits, of course.
>> by the way, getting your arse kicked with the statement of the account in your hand, that's cool.
This is perhaps a valuable observation, but the feasibility of such a conversion is still not fully revealed.
FOXXXi, think about it: we have a price series which is an integrated CB with nearly zero MO and non-stationary moments. The idea of converting it to a stationary series implies some functional dependence of moments on something else (e.g. time of day, etc.). The problem of "remaining stationary" thus boils down to identifying this functional dependence and exploiting it... but what if this dependence does not exist or is itself non-stationary!
We are trying to build a sandcastle, ignoring the fact that it will crumble sooner or later anyway. I suspect that we fall for beautiful words and science, losing sight of the impracticality of all these actions. This is the kind of game we have, in which the result is not important, but the process itself is interesting. And what will this "stationarity" give us? We don't have to optimise our Expert Advisor every time we need it. It's a great challenge to reoptimize it once a month! Anyway, based on my understanding of the problem, it is not worth a bite. And neither is much else in Forex.
1) A clear example is the euro and the franc, we have a dependence, but it is not sufficient and stationary.
2) I feel like I'm writing to the wall. Yes, this is scientific not applicable to forex, and do not write this nonsense and inexpediency for all cases.
3) Tell me the truth, do you have this stable profitable EA, which is easy to optimize once a month?
Yes, you are interested in the process - that's good and bad at the same time. Why are you obsessed with Forex, what is it, high leverage and getting rich quick or what? The stock market is much more interesting in every way with a wide range.
This is a good point. But sometimes you can set the adaptive EA in the right direction by initial optimization and it will go further on by itself. But after that the market and the adaptor have different opinions.
That's the key word. Sometimes it's 50/50, do you agree or will it all come down to a fuzzy beautiful "adaptive" again?
I can send you the stats of the demo account I blew.
At least it's not a real one.
In this case, you will get a highly risky and uncontrollable process, i.e. totally unsteady.
I don't get it, your extrapolation of Baron Munchausen's nesting dolls didn't work out at all, did it?
Yay
He is back.
I've been giving...
2)It feels like I'm writing to a wall. and don't write this offhandedness and inappropriateness for all cases.
3) Be honest, do you have this consistently profitable advisor
Well, sorry if you wrote something wrong (said/thought).