Put in a good word about the occasional wanderer... - page 16
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And the oscillating rambling return conditions are fascinating...
There is no objection to oscillatory wandering, there is a lack of understanding of what is going on. It is not the current price that returns to the average, but the average follows the current price. The difference between the current price and the average will be the oscillator, which will oscillate around its base (a period with a large average). Just look at any chart to see that crossing the oscillator with its base does not always mean it will exit at a better price. In other words, we can sell at its peak and close the deal at its intersection with zero, but the result of the deal will be negative. Buying the oscillator chart itself is not possible either, because unlike us, the oscillator throws the past periods out of its calculation at the prices that were in the past, and we cannot do that.
Do you know what "oscillatory random walk" means? The oscillator has nothing to do with it.
I don't know then, I'll look forward to telling you what kind of miracle it is.
is a random walk that is formed non-randomly)) Two bounds are set (a<0,b>0). As long as SB is between a and b - increments have expectation=0. When SB goes over the upper bound, the increment has a negative expectation, and when it goes under the lower bound, it has a positive expectation.
The proof is simple - the equity of any system in the SB will also be SB since the equity is the increment in the areas where the trade was held and they are, by definition, SB. In other words, any slices of random walk are random walks.
I didn't find it all straightforward here. Because with selective trading and stop loss exceeding a TP, we have a non-homomomorphic system.
Roughly speaking, the results obtained by Alexey in his study of price increment reversion also show that F(x*y) != F(x)*F(y).
This is the case with PnL.
I didn't find it all straightforward here. As with selective trading and exceeding the stop loss with a TP, we have a non-homomogeneous system.
Never mind - draw a SB and mark all trades on it from entry point to exit point. These are the SB chunks that form the equity. The values of stops and takes as well as any other conditions are not important. The same as the MM selection, as SB multiplied by any number is also SB. (MM on SB affects only the duration of the draw)
It does not matter - draw SB and mark all trades on it from entry point to exit point. These are the SB chunks that form the equity. The values of stops and takes as well as any other conditions are not important. The same as the MM selection, as SB multiplied by any number is also SB. (MM on SB affects only the duration of the draw)
I have drawn (and am even testing for ;) SBs more than once. And different SBs (gains are even, normal, etc...).
Therefore strict proof is required.
And I haven't seen it yet.
I have drawn (and am even testing for ;) SBs more than once. And different SBs (gains are even, normal, etc...).
Therefore a rigorous proof is required.
I haven't seen it yet.
Proof that equity is the sum of the increments of a traded instrument from entry to exit? :)
Bought at point A at 100, sold at point B at 120. Equity is the change in price from point A to B. We define it as a SB (a part of any SB is also a SB). Therefore, the equity and the balance will also be SB.
is a random walk that is formed non-randomly)) Two bounds are set (a<0,b>0). As long as SB is in the interval between a and b - the increments have expectation=0. When SB moves beyond the upper boundary, the increment has a negative expectation, while it has a positive expectation at the lower boundary.
Roughly the same as a simple SB with positive IR. For example, if a currency is rising, it could conventionally be considered to have a positive IR. The cost of borrowing an expensive currency would be higher, and the swap charge would compensate for its positive IO. No, there is no fish here either.
Roughly the same as a simple SB with positive IR. For example, if a currency is rising, it could be considered to have positive IR. The cost of borrowing an expensive currency would be higher, and the swap charge would compensate for its positive IR. No, there is no fish here either.
Not really, but of course there is no fish - it's an abstraction :) Otherwise, buy when the price is below a and sell when it is above b and you will have positive MO