Volumes, volatility and Hearst index - page 20
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Is this a joke or are you being serious?
Serguei, you ask deep questions with a subtext here from time to time. Are you kidding or you just do not know what I am talking about? :-)
If you're about to start proving to me that bars are our everything and tiki is our nothing, I will not argue. Those who are happy in bars don't need tics. It's an obvious platitude. However, in terms of common sense, ticks contain all available information about the current state of the market. And to trim this information in a way that might delete the necessary one seems somewhat illogical.
Avals is absolutely right: if someone knows exactly what he needs from the tick stream, he can easily convert the tick stream to a more convenient for him. view. But to claim that the candlesticks my broker imposes on me as a representation of market history is the best of the best representation ... can only be done out of love ... for the broker. :-)
that forecasting is too general a concept. Beginners, for example, think that you have to predict the direction of a trade for the current moment. There are a lot of things you can predict, aren't there? :)
and what do the complete...?
Who were you going to ask? :)
In my practice it is enough to measure for example the value of price increment for a fixed time or distance to an extremum for a trend. And such simple things prove to be more robust and profitable compared to more perverse variants. Detecting a trend or a flat is not the most important thing - it is only a filter and not the main one. imha
Well, maybe. It depends on the specific strategy. There are some strategies which are not complicated but are quite effective.
Well, maybe. It depends on the specific strategy. There are strategies that are not complicated but are quite effective.
Imha, there are only simple strategies. And complex strategies are simple ones that are not fully developed.
I was referring to the mathematical apparatus. :-)
And the main strategic idea is not simple, but very simple - buy cheaper, sell more expensive. :-)))
Sergei, you periodically ask deep questions with subtext. Are you kidding or you just do not know what I mean? :-)
If you're about to start proving to me that bars are our everything and tiki is our nothing, I'm not going to argue. Those who are happy in bars don't need tics. It's an obvious platitude. However, in terms of common sense, ticks contain all available information about the current state of the market. And to cut off this information in a way, which can delete the necessary one, seems to be somewhat illogical.
Avals is absolutely right: if someone knows exactly what he needs from the tick stream, he can easily convert the tick stream to a more convenient for him view. But to claim that the candlesticks my broker imposes on me as a representation of market history is the best of the best representation ... can only be done out of love ... for the broker. :-)
Yuri, periodically we all question deeply and I can safely suggest that if you understood everything - you would hardly hang out here, unless of course you set enlightening goals for yourself :o). It's clear that tics are a source (there is no other - that's out of the question, no one argues that, if you read carefully what your fellow questioners are writing about), and it's absolutely clear that they must be transformed. A candle is one of the transformations, the simplest, but who told you that I, for example, use candles? What makes you think anyone is forcing you to use them?
But if one considers the primary source as such, it has a number of significant shortcomings which force one to look for alternative approaches:
PS: I did write about ticks earlier - IMHO, I highlighted it, what more do you want? Maybe we'd better get back on topic and think about how to use Hu for forecasting purposes, since you've asked a deep question here, if ... no kidding...? :о)
Absolutely right. Especially since the developers are particularly proud of their success in filtering (smoothing)...
From the analogue of Prival's discussion with the head of the firm :
Renat 2010.05.24 14:35 #
I argue that:
- the time of simulated ticks within a minute does not matter
- theerrors are minimal - the article shows this very clearly
And you're all playing with the idealisation of ticks. Although you are communicating with a person who personally wrote inbound adaptive filters for MetaTrader, which work on hundreds of brokers. And these filters change their parameters automatically every day(no external settings) for tens and hundreds of symbols so that few can predict all the parameters for each symbol .Besides, there are manual filtering settings in the server itself, there are plenty of datafeeds written by brokers themselves, there is hot swapping of feeds - all this completely kills the very idea of building trading strategies on the analysis of micro features of tick interactions.
Our vision brings together the viewpoints of: traders, brokers, developers and technical capability. Without taking them into account, it is impossible to create a balanced information and trading platform. And this is the fifth time we have done so.... and it is quite clear that they need to be transformed. The candle is one of the transformations, the simplest,
golden words. Only some transform them at once with their own methods, while others use a preliminary conversion into candles, and then everything else. I'm glad we understand each other.
PS: I did write about tics earlier - IMHO, I highlighted it on purpose, what more do you want? Maybe we'd better get back on topic and think about how to use Hu for forecasting purposes,
That's my pleasure. I can imagine only one use of Hearst: differentiating between trend and return states to select the appropriate strategy. I.e. the answer to the sacramental question of how to separate trend from flat.
I don't believe in Hearst's predictive properties. It requires too many statistics.
And the "return or persistence" problem, imho, is not solved within the framework of information about only one currency pair.