LET'S SAY THAT ... - page 4
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Собираюсь в этой теме допускать недопустимое. Конечно, не в смысле нарушения правил форума, а в смысле понимания цены. :)))
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Для начала, хочу продолжить зачатую ранее тему случайности цены...
Пусть существует ХХХ-й элемент таблицы Менделеева. Медведий. В честь одноимённого руководителя. Драгметалл, аналог золота, платины и серебра. Именно им мы и будем торговать.
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Мы точно знаем, что ежеминутное приращение цены на данный металл - это случайная величина. Случайность, сомнению не подвергается.
И тут возникают вопросы:
- Как им торговать?
- Что в этом случае будет, а что не будет работать?
Каковы будут ваши предожения?
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Генератор цен на Медведий - в прикреплённом файле.
If the price increment is a random variable, then it is normally distributed (or at least described by a finite family of normal distributions). Am I right? So if we gather some statistics, we can say that the price is in a certain range. Obviously, each range will have a certain probability of being in that range. Simply speaking, we will have to wait for the price to move out of some calculated channel and open positions inside the channel, as the probability of price movement inside the channel is much higher than out of it. So it goes like this. You could trade in this way on any of the existing instruments. Only I am convinced that the incremental price of an actual commodity (any commodity, including currency) is not a random variable and can never be described by a family of normal distributions. That would be too crude an assumption which would make making money in exchanges and forex - elementary.
...... Am I reading this right? .......
Let the distribution be normal, although I'm not sure Excel provides that, but that's not what we're talking about now.
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So far my attempts to apply probability theory have not been very successful, because the spread eats everything up.
I personally do not see any other way but probability.
The question is how to "strengthen" probability theory, if I may say so, by defeating the spread.
Если цена случайна - лучшей стратегией торговли будет отсутствие сделок. Иначе при достаточно долгой торговле произойдет слив из-за расходов типа спреда.
In my opinion, this is an incorrect statement if we are talking about a process (i.e. in our case, a price). It is important to know the properties of that random process.
If you mean the randomness of the incremental process, then I agree. At least it is not clear to me how you can use the properties of the increment if it is random.
На мой взгляд это неверное утверждение если речь идет о процессе ( т.е. в нашем случае-о цене). Важно знать свойства этого случайного процесса.
Если же вы имеете ввиду случайность приращения процесса, то я соглашусь. По крайней мере мне не понятно, как можно использовать свойства приращения, если оно случайно.
Just above I wrote about how the properties of random variables can be used.
Распределение пусть будет нормальным, хотя я не уверен, что Excel это обеспечивает, но речь сейчас не о нём.
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Пока мои попытки применить теорию вероятности больших успехов не дали, т.к. спред всё съедает.
Другого пути, кроме вероятности, я лично не вижу.
Вопрос в том, как теорию вероятности, если можно так сказать "усилить", победив спред.
The problem is not the spread or the randomness. The problem is non-stationarity. Otherwise, the algorithm proposed by rumata1984 would be quite workable.
При случайном блуждании тоже бывают тренды, так-то! :)
A trader walks into a casino, sits at the roulette table. Sees three reds in a row and says to himself, "hey, we're trending here!
Чуть выше я написал, как можно использовать свойства случайных величин.
Right. I meant the same thing. For price.
It was very fashionable at one time to analyse the price increment and show that it is stationary. How to use it is not clear to me.
Чуть выше я написал, как можно использовать свойства случайных величин.
If the increments are random, then the price is a random walk, it has a normal distribution and it is not guaranteed to make money on it.
However, we must stipulate the nature of the increment; to say just "random" is not to say anything. Everything in life is random. The bus has a schedule, but the time of its arrival is random. Random increments can be correlated with phases of the moon, for example, that does not make them non-random.
To get random walk increments must be iid independent and equally distributed.
And what most humiliates the Guru involved in these unpretentious experiments is his total irresponsibility for his experiments.
Richie!
After 15 days, will you no longer be interested in these questions? Or will you outgrow them?
Do you want to start something else?
What for?
--- answer the progress question, please!
But here's what's striking. The "old timers" invariably get ticked off - why? They themselves have been through all this in their time, so to speak. There is nothing new and there is nothing to see. They have proved it to each other time and again.
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I myself am in a glass house - started in my time about an alternative approach and... However, this does not prevent me from using it all as a methodology for TC development. I am a selfish practitioner - alas. OK, this topic of mine is EXACTLY not part of this "eternal" one.
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Yes! What was going to ask! ))) What does the author want to find out and what does trading have to do with it? I mean, what does he want to get out of the discussion in practical terms?