To follow up - page 30
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This was not the topic. I didn't intend to speak for "context" here in the first place. It just came up on its own. Or rather, someone - I don't remember who, but not me! - brought it up.
Right, I wasn't. I had to go back to the first page to remember. However, it was the subject of context that interested me. That's why I only joined in on page 4 and in connection with it. And also in connection with this statement of Nikolai:
I have formulated for myself something like a theorem: For any (liquid) market for any zigzag, the average slippage will be approximately 1/2. It can hardly be proved, but a single fact would suffice to disprove it. So my interest, and rightly so, is rather academic :) .
So initially for me personally it was an "academic" conversation about context.
Hm ... I think I know what got Nikolai so much. Apparently this is the statement in my very first post:
As for the "zig-zag with proper context definition built in" trade, you just don't need it. If you, Nicholas, have a way of correctly defining context, then that's good enough for trading. But you can, of course, build a zigzag on it as well. One has to admire something. :-)
Like I devalued his find. So he tried to find out what I was wrong about. And in the end he decided to finish me off with the most irrefutable argument - his successful practice. And in fact, if zigzag has for example adaptive parameter and this parameter defines context (i.e. can be used for FP), then it turns out that "a zigzag with inbuilt correct definition of context" is necessary (because it defines FP parameter), and "the way of correct definition of context for trade is quite enough". :-)
Thanks Peter for bringing me back to my "roots".
In fact, volatility was suggested by me long before this thread appeared.
In fact volatility was proposed "before our time, in the 18th century" (C) "The Prisoner of the Caucasus".
However, as far as I know, it had not yet been used as an FP parameter. And even if it had been used, it's still not that simple. The fact is that volatility can be represented in many different forms. The classic one is the variance returnee. But it is by no means the only option. I don't think all forms are equal.
Спасибо Петр, что вернул меня к "истокам".
))) What origins are there! Everything has been said here in the subject. Especially as it is interesting to me myself - it lets me look at some things differently.
In fact, volatility was proposed "before our time, in the 18th century" (C) "Prisoner of the Caucasus".
"Everything has already been stolen before us." (C) "Operation Y". // "It's good, isn't it?" (from the same place).
However, as far as I know, it has not yet been used as an FP parameter. And even if it had been used, it's still not that simple. The fact is that volatility can be represented in many different forms. The classic one is the variance returnee. But it is by no means the only option. I don't think all forms are equal.
I'd even say it's a useless option. I think it's been proven/shown in a forum of yallam times.... written/sung/sung.
By golly, I'd hate to go back to returns by tf and their distributions, spectra, etc. here.
Breaking it down into contexts by volatility - I've already written here how. The method, of course, is not crucial. Just using normalized volatility (it doesn't matter which one - there is not much difference between them on short periods) seems to me more suitable for my task - generation of non-tf series.
and once again I'll shut up..... clowning is not my speciality, but somehow it's very specific.... don't you think? .... any, the chicest trading tactic, needs to be justified - whatever words and thoughts you use to cover it up.....
you've been pouring it all out.... you didn't put the codes up..... so i didn't put my code up either :))) .....
Для меня, конечно, сюрприз, что я - один из двух сталкеров, которые хвастаются друг перед другом своими находками.
Personally, I have only one perception difficulty - I cannot understand your motive. Do you want to measure pips with me? Or do you want to show off to the public here?
To follow up (as it should be in this thread :-)
We also, imho, did not discuss clustering, since discussing clustering is discussing the parameters that give that clustering
.Neither I nor you have talked about specific parameters
.Dare I remind you that I was the one who raised the issue of parameterisation. Later raised it a second time. And, moreover, suggested, in addition to liquidity (the branch author's parameter), also volatility.
The point is that in the context of contexts volatility is a Peter parameter for me. In the sense that before the opening of the thread it was clear that he was using it precisely for this purpose. I can't consider liquidity as a parameter due to the lack of a formula for its calculation. Nevertheless, I lied. I myself suggested one more parameter: the number of degrees of freedom. My memory fails me, however.
Hm .
..I think I know what got Nikolay so deeply into his
head. Apparently this statement in my very first post:Like I devalued his find
.Still looking for a motive? Generally "zigzag with embedded correct context definition" was a purely scholastic construction, it seems you appreciated this "find" higher than I did :) . After that we "reconciled" with you twice :).
The last outburst of discussion was caused by your ... uh... epiphany. I mean when you suddenly recognized your approach in my pictures. In my opinion such a statement (being unproven) made it seriously difficult for third parties to understand my post. If you had simply written that, say, here is an example of work with phase diagrams, there would be no need to interfere. But you with this "recognition" in one fell swoop tied my pictures to perfect input-outputs. You simply left me no choice but to get involved in explanations.
P.S. By the way, I looked again at my diagram (page 26). There are no clusters as you described them (by points).
Это не системно....
littering ..... my bad....... just don't disappear, plzmaybe we should close on the extremes? ....
а может по экстремумам стоит закрыться?.... интресненьким таким
It looks a lot like balance and equity lines. What is it really?
The last outburst of discussion, on the other hand, was caused by your ... er... epiphany. I mean when you suddenly recognised your approach in my pictures. In my opinion such an assertion (being unproven) made it seriously difficult for third parties to understand my post. If you had simply written that, say, here is an example of work with phase diagrams, there would be no need to interfere. But you with this "recognition" in one fell swoop tied my pictures to perfect input-outputs. You simply left me no choice but to get involved in the explanations.
I see. The terms "my approach" and "your approach" were introduced by you. I'm sorry I used them after you. Thereby putting you under strain, quite unwittingly.
That's what I always meant: your diagrams are an excellent example of working with phase space. But they have nothing to do with perfect input-outputs. I hope third parties will understand that we are generally unanimous with respect to FP and the methodology of its use. The difference between us concerns only the algorithm that is used for FP clustering. I consider the best (but not the only !) way to "perfect" entries-exits, while you consider the trades of a particular trading strategy.
Reread my posts, it's all there in almost every one of them. In context. :-)