Market model: constant throughput - page 19
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3. What is a flat?
A periodic sequence of oscillating price movements in a sideways channel with a possible slight incline...
Personally for me a trend is two fractals filtered out of market noise and exactly for a particular pair. That is - a compression of information. Why? Because it allows to earn. And the most interesting thing is that it is not the change of the price or volumes as such that is important, but the speed of their change. And contrary to the common belief that the lower TFs contain more market noise, now it seems farfetched to me. The minute charts have tougher laws than the daily charts which requires additional filtering. After all the High and Low of a daily candle will form two differently directed fractals on M1. Therefore, we can make guesses about the target of EURUSD or take maximum profit from intraday price movement from 8:00 to 22:00 while spreads are not inflated. Of course, there are pairs for which formation of differently directed fractals on the M1 may lie in the area of the spread range. For example, the Singaporean dollar. In this case the amount of losing trades will sharply increase and we will need additional filtration. But that is not the point. It is, as always, about philosophy. The market is a process. All processes in the Universe are oscillatory in nature. All oscillations can be decomposed into harmonics. And if the market has set a goal, the price will often reach that goal in the most confusing way. The important thing is not the level the price reached, because on all TFs this level will be sooner or later marked. What is important is how the price reaches its target. That is not a quantitative, but a qualitative estimation of the movement.
I can sell my place in line for Alexei's attention. We'll agree on the price. Please write in person.
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What's up? It's good business. And do not look like that! )))
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Alexei! Don't you think you're getting farther and farther away from the main purpose of the trade? Okay. The trend is good. It's good when you can take advantage of it. But don't you think it reminds you of the definition of a trend when you look at the 12-bar MA, the 60-bar, the 200-bar? When they're all down, that's when they're trending. But usually by that time the trend is over! ))) After all, you're not trading this abstract notion - a trend, but a purely concrete pair. And according to you it turns out that the movement of the pair is nothing, and the trend (and what to do with it, if it's already gone?) is nothing.
I may be wrong, but it seems to me that with this approach we will obtain one more analytical tool of a very high quality, working on the left side of the chart. And then you can show the kids: Look, kids, look, there was a trend here. And why, children, do you know? Because it found confirmation on all the related pairs!
In theory, any movement is based on the fact that it is symmetrical relative to a certain centre of mass - so the concept of a trend can be divided into components, and depending on what TF is held that one is the base one for analysis, and the trend TF is the TF that is twice as old as the base one ... Actually, based on this TF, conclusions can be drawn that this TF carries the trend direction for all movements of the base TF to its turning points turning.
a periodic sequence of oscillating price movements in a sideways channel with a possible slight slope...
3. What is a flat?
There are no such things as flatts. They were invented to justify their inability to assess the market situation and make a decision. )))
There is no such thing as a flat. They were invented to justify their inability to assess the market situation and make a decision. )))
No way:)))
I, for example, think that the price trajectory is almost always "flat". Of course, there are rare moments of pure, slow, long-term flat movement, but it's rather an exception to the rule.
Yeah, well, I don't understand it all myself. Well, that's good: it gives me a chance to have a good time. I've been wanting to do that for a long time...
And why do you think it takes so long to identify this trend (impulse)? I have no smoothing, I've given up on it, I consider it unnecessary.
In one of your posts you said something like: "...stacks all pairs with the yen..." or something similar, to determine the movement of the yen as a whole, what do you suggest? Maybe I didn't understand those words of yours.
It's not time for maths yet, let's deal with this storm first. I don't just add, I also multiply, take factorials and even logarithm.
And what are the ideal currency indices/clusters anyway?
For example, should the equality Cluster_EUR/ Cluster_USD == EUR/USD be maintained?
The simplest modification of CC is weights equal to the hypothetical return of a financial instrument (GDF).
OK. If you're talking specifically about pulses, then... I'll have to see for myself. So far I don't see where such identification could be useful. Or rather, more interesting from a trading perspective than just momentum on a pair. Like has more persistence? Well... we'll have to see.
I'm telling you - I could be wrong!
By the way, being wrong is my main occupation. As it turned out in my middle fortieth . .. )))
1. a) Yes, I may have overreacted. But let's reason, Slava.
Why not accept a weak form of market efficiency? I certainly have no formal proof and can't. And investors tend to accept even an average form of efficiency, i.e. an even more categorical one (hence accepting a weak one as well). However, most locals tend to reject even weak efficiency :)
b) Different forms of efficiency are the same martingales, just on different streams of available information. OK, let it not be a martingale, but almost a martingale. The degree of difference is very small. We are not talking about arbitrage strategies, which are based on multicurrency, which I see as a way out of the martingale trap.
c) But most importantly, I wanted to make another point (this is also a hypothesis): it is probably possible to build a system of "perfect" martingales, corresponding to a weak form of efficiency for each of the pairs individually, but which still allows profits to be extracted from the information of the whole system. The key feature of this martingale system is a rigid functional relationship between individual martingales (well, like EURUSD/GBPUSD = EURGBP).
2. Damn, I keep getting confused between trend and momentum. I've already written down roughly what I understand a trend to be. I don't know what a trend is on stocks, indices or futures, but on forex the classic definition of a trend (through a series of rising lows for a rising one, etc.) doesn't appeal to me at all. This definition does not correspond to the essence of the process, because the process looks too much like a random walk, in which predictable trends (or rather trends, from which profits can be systematically and permanently extracted) do not exist in principle.
Thank you, Alexei. Let's see what happens next :)
Mathemat:
Нет, не обязано. Честно говоря, не понимаю левой части. Никаких искусственных индексов валют вычислять не предполагается.
Explain yourself. Of the specifics you said only about CC.
It is again a linear combination of the signs of the pairs' movements. Do you think it is a statistically valid function?
Half the idea in SS is nonsense. I'll explain.
In cluster indicators, all currencies are equal. Clusters therefore depend very much on the number of currencies analysed, which is obviously not the right thing to do.
The only distinguishing feature of price BPs is turnover (rough estimate - GDF) . Therefore in SS a simple modification in the calculation of clusters seems to be multiplication by GDF.
(c) But, most importantly, I wanted to make another point (this is also a hypothesis): it is probably possible to build an "ideal" martingale system corresponding to a weak form of efficiency for each pair individually, but which still allows one to profit from the information about the whole system. The key feature of this martingale system is a rigid functional relationship between individual martingales (like EURUSD/GBPUSD = EURGBP).
The rigid functional relationship between currencies is a perennial misconception, like loci, for example. For some reason currencies are seen as something separate, even though there is nothing special about them. It has already been said that all information is contained in "majors". Then what rigid functional connections can we talk about?
For example, there is Apple/USD and IBM/USD. No one is preventing anyone from trading synthetic Apple/IBM == Apple/USD / IBM/USD. There is no difference to the currencies.
The basic and obvious postulate: all information is contained in "majors". This postulate is true for all markets.
If we talk about the effectiveness of markets, then it follows from some researches that FOREX is the most effective market. Efficiency is the amount of information in "majors". There are highly correlated "majors" in the fund. We know that the amount of information in two highly correlated "majors" is almost the same as the amount of information in one of these "majors".
So the correlation between FOREX "majors" is very low. Therefore, the relationship between the amount of information in the set of "majors" and the number of "majors" in the set is almost linear. This is evidence of the high efficiency of this market, compared to the others.