What makes an unsteady graph unsteady or why oil is oil? - page 5
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Давноменя небыло на форуме. Вижу жаль есть с кем побеседовать. Я тоже это заметил и даже расчитал (где то тут на форуме лежит) какие колебания мы можем отследить. брал минутки. результат меня просто убил. Попробовал уйти в тики, долго с ними ковырялся. Даже сборщики тиков заказывал. Сам кое что там доделывал, но однажды понял одну вещь, просто глаза открылись. Частота дискретизации не постоянна, а я по привычке считал что константа (((. Методы Фурье и вобще спектральный анализ. подразумевает что дельта t постоянна. а тут нет, и все началось рушиться как карточный домик
Я даже тезис выдвинул )) миром правит частота дискретизации )).
Well essentially there's no time for quotes as such,
The bars have them, but the forming ticks have no time and the next tick is not timed, but when there was a change.
Going further into philosophy, you could argue that there is no time in nature at all, only changes in the position of particles in the universe,
If you do not change the position of at least one tick, the time will stand.
From this point of view it's true, but how many trading decisions can be made since the last tick and how many strategies are revised in this context informational pressure on each tick can be very different.
It's like to take a picture of me walking along the road and then turning the corner,
and from these pictures, you could argue that I didn't go into a bread shop.
What's interesting is that there are people here who know a lot about radio engineering.
Что любопытно: тут собрались люди, которые хорошо разбираются в радиотехнике.
I can also use a sewing machine :o)
I can also use a sewing machine.
The right literature, can you elaborate on which one?
For example http://www.amazon.com/dp/0122796713
It's not obvious to me personally, can you elaborate?
You set the sampling rate and calculate the values at the desired points using the results of interpolation.
did. best option is cubic spline approximation + ADC noise filtering (low bit error) on the input .You set the sampling rate and calculate the values at the desired points using the results of interpolation.
In other words, we "partially discard" the time. And how to choose the optimal sampling rate?
Например, http://www.amazon.com/dp/0122796713
Задаетесь частотой дискретизации и вычисляете значения в нужных точках, используя результаты интерполяции.
Если не секрет, по каким критериям получилось лучше?
prediction time increased with accuracy=constant. Checked with a simple polynomial. of the same order, of course. The gain cubic or linear is not a big difference. The bigger gain was given by the ADC filterWell, in fact, quotes do not have time as such,
The bars have them, but the forming ticks have no time and the next tick is not timed, but when there was a change.
Going further into philosophy it is possible to assert that in the nature at all time does not exist and there are only changes of position of particles in the Universe,
It will not change until at least one part has changed its position.
Don't be philosophical.
There is time, that's a fact. And especially with ticks: "Thomson Reuters Tick History provides millisecond-timestamped tick data going back over eleven years, covering 35 million OTC and exchange-traded instruments worldwide."(http://thomsonreuters.com/products_services/financial/financial_products/quantitave_research_trading/tick_history)
prediction time increased with accuracy=constant. Checked with a simple polynomial. of the same order, of course. Cubic or linear gain is not a big difference. ADC filter gave a bigger gain
I see, thanks :)Т.е. время мы "частично откидываем" получается. А как оптимально выбирать частоту дискретизации?
Without a reliable knowledge of the market maker's work in the stock market I think it is a sysyphean task.
I assert this based on the observation that even Metacquotes doesn't know the algorithm of market makers,
or rather everyone can have a different algorithm.
I was making an EA (it works on ticks) and that's what's interesting,
In the tester, when optimized for any month and then run for the whole year, it invariably shows a stable profit,
but when tested in real time it consistently fails.
The Expert Advisor has simply chosen the algorithm of tick generation in the Strategy Tester, while the real market maker uses a different algorithm.
Although I agree with the opinion that it is possible to pick an algorithm based on the tick history, it will only be profitable in the future?
to lea, Prival
no philosophy so no philosophy.
You can get the history of ticks here http://ratedata.gaincapital.com/ but whether it will help you with your broker is questionable.