To follow up - page 43
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У меня подходы к теме несколько отличаются от обеих противоборствующих
Are there any details allowed to be published?
Come on, Metadriver, spill the beans. Have your approaches been tried in combat?
(1) probably won't be floating around anytime soon... (2) synthesis of ideas requires formalisation...
(1) The speed of the current is different at different distances from the native shore... :)
The theme when immersed really tears the roof off, that's its nature.
Full penetration into the theme = enlightenment.
Which, in fact, is what I wish for everyone. Including myself.
2) Quite a substantial attempt at formalization. No formulas on a silver platter, though. :)
А существуют дозволенные к публикации подробности?
I'll think about it. I won't give it all away, but I'll throw some wood on the stove.
Mathemat 12.01.2010 21:26
1) Come on, Metadriver, spill the beans.
2) Have your approaches been tried in battle?
1) See above. ;)
2) Not on the accounts. I have not got any signals yet. But most importantly adequately earned a head on this subject in the summer.
I tried to formalize it for three years and there was nothing but emptiness in my head. I think I've come to my senses.
So... "Saw it, Shura, saw it... She's golden...!" // At least that's what the gospel of MetaDrivera says ;-)
2) Весьма содержательная попытка формализации. Впрочем без формул на блюдечке. :)
it's not suitable for everyone, the market is not...
(1) это не каждому человеку подойдет, (2) рынку и подавно..
1) That's fine - someone has to leak, right? ;)
2) Did HE tell you that?
;-)
he's on a first-name basis with me and I'm keeping up...
он со мной на ты и я не отстаю..
What are you doing here, then? Watch out, the subject is dangerous to your thinking. // You might go from "you" to "me", then who are you going to play with?!
If you've decided it's not suitable for you, don't you think it's better to fuck off... ?
:)
I timidly allow myself to continue with the subject of volatility.
You are absolutely right that the calculation of volatility is closely tied (as Alexey said) to the trader's "horizon". But if we're going to measure ClimateControl, maybe we should look at its measurement specifically from the perspective of the universal context.
Here avatara's semi-hinting provocations were most likely an attempt to isolate in the behaviour of the CD a physical analogy of inertia, or some fluidity of development - using, first, the venerable ATR.
I do not rule out that such a characteristic may not be volatility at all.
And the remark about the trend of the average, when the RMS "lies", together with the Ideal characters of the "lazy observer" and "yapping dog" types, lead me to the idea that
maybe we should forget the classical indicators for a moment and ponder - what properties, in principle, characterise the CD in terms of its movement?
Another brainstorming session on "protective SL & TP" is not for nothing.
For example, maybe we should consider such an indicator - the deviation of the distribution of the residuals from the short swing from the normal distribution...
Something in the spirit of hinting at a change in QC.
That's a great idea. Given that no one here is particularly keen on classical indicators, it remains to be pondered further down the line. Maybe, as the initiator, you can give your thoughts.
Regarding the deviation of residuals, I personally would like to see the actual distribution of these residuals to begin with. Have you done such a thing ? Is it really close to normal? It would also be nice to understand the meaning of this deviation. Otherwise what would be the meaning of such an indicator ?