Filter without delay - page 12
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What does stationarity have to do with it? If there is a trend, it's okay, but it doesn't matter what kind of trend it is. I saw a paper where it is proved that there are segments of BP when it is impossible to say whether it is stationary or not.
That said. You want your equity to be stationary and with positive mo. And equity is a sequence of BP slices from the entry point to the exit point. Therefore, between them, the VR must be stationary. Thus, the task is to isolate stationary sections with positive mo from non-stationary VR. Of course, there is also MM, which somewhat changes the mutual proportions of these sections.
I would generalise TA as follows: look for a pattern, check it, get it, go ahead. It's a principle like Chukchi - what I see, what I sing. There's a new breed of Chukchi - NS: they sing what they can't see. But everyone relies on the TA law "history repeats itself". I've seen quite a few examples of adaptation, but never understood what one is adapting to. It all has one thing in common - it dies over time.
In all TA there is no model rinket. On the forum it is believed that something can be done by either counting or bringing the market to a stationary one. But it is not stationary. There is a tool plus the ignorance and laziness of those gathered that prevents mastering the waylets in matlab. It's a bit much for one person, but quite manageable for a few. Some geophysicists, cardiologists have mastered it.
How are you going to adapt without considering a piece of history? You will anyway look for parameters on some window (possibly not of fixed length, but calculable). And according to these parameters change the entry/exit rules. I.e. there is no getting away from the following correspondence: change of parameters -> change of entry/exit rules.
It "predicts" the market in inverted commas in about the same way as Fourier. That is, simply by copying.
Weylet doesn't copy anything. It is fundamentally different from Fourier in terms of lifetime, and Fourier is immortal.
Вейлет ничего не копирует. Он принципиально отличается от Фурье временем жизни,а Фурье бессмертен.
OK - so I haven't convinced you. And that's fine, by the way.
That being said. You want your equity to be stationary and with positive mo. And equity is a sequence of BP slices from the entry point to the exit point. Therefore, between them, the VR must be stationary. Thus, the problem is to isolate stationary sections with positive mo from non-stationary VR. Of course, there is also MM, which slightly changes the mutual proportions of these sections.
What is the relationship between the stationarity of the equitability and the market? And if equity is not stationary.
How are you going to adapt without considering a piece of history? You will in any case have to search for parameters on some window (possibly of a non-fixed length but calculable). And according to these parameters change the entry/exit rules. I.e. there is no getting away from the following correspondence: change of parameters -> change of entry/exit rules.
With all due respect to you, I would like to assemble a team that would make judgments in terms of waylets specifically matcad (to avoid wasting effort on terminology clarification). Then the conversation would turn out to be constructive, at least approaching the level that has been achieved over several years through the efforts of a group of comrades.
OK - so I haven't convinced you. And that's fine, by the way.
Can you get the link from the matkad.
Нельзя ли получить ссылку из маткада.
Understand, by asking for links, you want to make me "work"? But I've done the work before, ..... and I've given you my resume. I'm not trying to persuade you. I'm just expressing my opinion, you are perfectly free to dismiss it.
The very first consideration with which to start building an adaptive filter: there are two parametres "smoothness (number of kinks)" of the filter Error1 and the deviation of the filter from the price Error2.
For example, if Filtr[i]=Close[i], then Error2=0, Error1=x; if Filtr[i]=1 for all i, then Error1=0, Error2=y. The truth is somewhere in the middle, and it changes with time Error1=f(Error2, time) and so we need to study the function f through other price invariants hence the initial question: why do we need filters at all, is it not easier to study other "price invariants" immediately?
Нельзя ли получить ссылку из маткада.
Also understand that we can judge in different "environments" you judge "for one" I judge "for another". For example you judge for daily timeframes and I judge for weekly timeframes. :) So we have to be very clear about the "environment" ("environment")
What is the relationship between equity stationarity and the market? And if equity is not stationary.
I would not trade such a TS :) Seriously, a system with fixed equity is an unattainable ideal. Sooner or later, the black swans will come to any system. But the equity stationarity should be strived for. Ideally, equity is a straight line at an upward angle (fixed lot). Not that stationary, but even without variance :)
With all due respect to you, I'd like to put together a team that would make judgements in terms of waylets specifically matcad (to avoid wasting effort on clarifying terminology). Then the conversation would turn out to be constructive, at least approaching the level that we have on DSP, obtained over several years through the efforts of a group of comrades.
OK :)
I won't trade that kind of TS :) In all seriousness, a system with fixed equity is an unattainable ideal. Sooner or later, black swans will come to any system. But the equity stationarity should be strived for. Ideally, equity is a straight line at an upward angle (fixed lot). Not that it is stationary, but even without variance :)
Frankly speaking, I was also interested in this question. But it turns out that there is a filter (set of filters that transforms the market into a straight, rising line. Is such a formulation of the question realistic? By doing so we deny such a property of the market as "uncertainty". Although there is futures on Bernanke, but what to do with Negroes?, earthquakes, and more likely simple market manipulation and petty DC cheating? Not a realistic ideal.