Creating a trading robot - page 6
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I have a few questions about the variables on the fly:
1. As I understand it, the value of Q0 is taken from the past? In any case, how is it calculated?
2. Do the three different indicator values s1, s2, s3 depend on the distribution parameters n; m (usually alpha, beta)?
3. can you give an idea of the values of the variables for each of the three indicators, in general?
...Can you give an example of.
1. As soon as you introduce 3 actual rate values into algorithm, you get first, estimated value of Q0, which with further introductions will be refined as a result of forecasting using above formula which contains Gamma distribution, so we may consider that some of it is really taken from the past and refined in the future. And one of the indicators - the fourth one, let's call it quantitative, will be guided by its value and will give permission for entry if it will be possible to at least double spread, agree, why do we need a useless entry. You correctly noted that history is indispensable here, moreover, I've identified all three functions, perfectly distribute the same Q0 for all three periods - past, present and future, adding them we always get an analytically accurate value of Q0, which expands our understanding of what is happening in the philosophy of events origin, simply put, the algorithm immediately shows how much changed in the past, to date, if you consider daily timeframes, and how much can still change in the future, before it reaches a stable position.
2. The linearized trend equation, (I was able to analytically linearize the above equation containing the Gamma distribution perfectly), allows us to qualitatively formulate s1, s2 and s3, which give our verdict on our possible market presence as +1 and -1, guided respectively: s1- on the slope tangent of this straight line equation, s2- on the fact and moment of its possible crossing of the abscissa line, indicating a change of trend and s3- the ratio of the shares of this straight line in the positive (BAU) and negative (SELL) areas, evaluating the trend in question as a whole, taking into account the historical and future destabilisation process, therefore all 3 indicators are qualitative and undoubtedly, as you correctly noted, depend on the parameters of the Gamma distribution, yes, they are usually alpha and beta, but I chose another designation in order to give them a physical essence, for example, I have n- number of "cells" in multicell model of "black box" and tau (from now on this will be one of parameters) is nothing else but time constant of the considered transient process.
3. The values of these indicators can be only +1 or -1, so, for example, if the result of their addition the algorithm gives the result +3- we can enter the market with BAU, minus-3 with SELL, in other cases - AUT- out of the market.
By the way, the analysis of historical factual data has shown a scary thing - the market does not always give us the opportunity to get closer to it, even in cases when we think that the true moment of entry has come, the market will immediately punish such an optimist! The saying is true here - not all that glitters is gold. The market lives by its own, independent from us, terrible laws and only sometimes, and a very small fraction of the total share allows us to master there and take back everything in its hands. And man, greedy by nature and confident in his abilities, does not want to believe in this objective reality, partly through no fault of his own, because market processes are in a differential domain and our minds are not adapted to perceive them adequately, so we bet on an "emotionless" robot devoid of these shortcomings.
1. As soon as you input 3 actual price values into the algorithm, you get the first, estimated Q0 value, which will be specified with further inputs as a result of forecasting according to the above formula which contains Gamma distribution, so we can assume that we really take a part of it from the past and specify it in the future. And one of the indicators - the fourth one, let's call it quantitative, will be guided by its value and will give permission for entry if it will be possible to at least double spread, agree, why do we need a useless entry. You correctly noted, that you can't do without history, moreover, I've found all three functions distributing perfectly the same Q0 for all three periods - past, present and future, adding them together we always get an analytically accurate value of Q0, which extends our understanding of what is happening in the philosophy of events origin, simply speaking, the algorithm immediately shows how much the price has changed in the past, to date, if you consider daily timeframes, and how much can still change in the future, before it reaches a stable range
2. The linearised trend equation, (I managed to linearise analytically flawlessly the above equation containing the Gamma distribution), allows a qualitative formulation of s1, s2 and s3, which give their verdict on our possible market presence as +1 and -1, orienting respectively s1- on the slope tangent of this straight line equation, s2- on the fact and moment of its possible crossing of the abscissa line, indicating a change of trend and s3- the ratio of the shares of this straight line in the positive (BAU) and negative (SELL) areas, evaluating the trend in question as a whole, taking into account the historical and future destabilisation process, therefore all 3 indicators are qualitative and undoubtedly, as you correctly noted, depend on the parameters of the Gamma distribution, yes, they are usually alpha and beta, but I chose another designation in order to give them a physical essence, for example, I have n- number of "cells" in multicell model of "black box" and tau (from now on this will be one of parameters) is nothing else but time constant of the considered transient process.
3. The values of these indicators can be only +1 or -1, so, for example, if the result of their addition the algorithm gives the result +3- we can enter the market with BAU, minus-3 with SELL, in other cases - AUT- out of the market.
By the way, the analysis of historical factual data has shown a scary thing - the market does not always give us the opportunity to get closer to it, even in cases when we think that the true moment of entry has come, the market will immediately punish such an optimist! The saying is true here - not all that glitters is gold. The market lives by its own, independent from us, terrible laws and only sometimes, and a very small fraction of the total share allows us to master there and take back everything in its hands. And man, greedy by nature and confident in his abilities, does not want to believe in this objective reality, partly through no fault of his own, because market processes are in a differential domain and our minds are not adapted to perceive them adequately, so we bet on a "senseless" robot, devoid of these shortcomings.
Hmm... your reasoning is much deeper than it seemed at first glance. On the one hand it's good, but on the other hand it requires some effort to translate it all into MQL4. :)
On the subject of the market, I definitely agree. I've written many times that we need a calm market, without spontaneous (non-calculable/predictable) influences, to improve positive trading results.
P.s. And also, yosuf, I think everyone would be interested to see the results (I emphasize - results) of your calculations graphically. That is, for such cases, I usually make screenshots from excell to show the cause-and-effect relationship between my calculations and price movement(s) "on my fingers". If you don't mind.
From here, I think it's best to continue the conversation here. Who will set up a working group to create a robot trader, involving programmers, developers, traders, sponsors and possibly me?
yosuf:
Вкратце идея такая: по мере ввода (импорта) данных через каждую минуту (если работаем на минутках), программа анализирует (закономерности я дам) рынок на предмет возможного входа по BUY (все три индикатора указывают на 1) или на SELL (все три индикатора указывают на -1) или бесполезности входа, т.е. фэтт-вне рынка (хотя-бы один из индикаторов имеет другой знак). Выход из также ориентируется на знаки этих индикаторов (при нарушении согласованности в знаках всех трех индикаторов-немедленно закрываем позицию и покидаем рынок) Прошу подключиться всех разработчиков, идейную поддержку я обспечу- от Вас программное обеспечение. Ни от кого я не делаю секретов, выложу все теоретические разрабоки, поверьте, они уникальны. В честь того, что Россия мне дала образование, я попытаюсь помочь всем россиянам. Рынка Форекс хватит всем. Покажем иностранцам высокие технологии, чем они нас иногда удивляют
and I'll add, bold and underline yosuf's quote from the other thread: (Vita)
I strongly disagree! We must respect his majesty time and treat it with due respect, especially Time is primary in these processes and price is a product of time.. as difficult as it is for us, we must take into account true time, the only deviation is to take equal intervals of time, which does not contradict the laws of statistics.
I want to argue with the essence of the highlighted item and I have a good reason for that. In my opinion, of course. ;)
It is often remembered on this forum how difficult it is to look for a black cat in a dark room. I would like to have a say in the matter and ask where market researchers look for the black cat. And I would start by considering the question - in what space are they looking for the cat. An obvious given for us is the space of price-time. We are used to the fact that time is a dimension of the space in which we live, price also changes in the time in which we live, so without thinking, price has also been placed in price-time space. My question is, is it valid? Does the cat called "price" live in a space, one of the coordinates of which is time? More specifically, is there a "legitimate" dependence of price development on time?
Before answering this childish question, I will try to show you how legitimate it is, by giving you an analogy about the position of planets on a celestial slope. Imagine that I took a telephone directory of a metropolis and starting from the n-th page I took 1000 names and somehow found out their dates of birth. Further on these dates I calculated the positions of planets and in the sequence of surnames in the directory I posted positions of planets on the astronomical forum with a question - which one will be next in this sequence? After all, no one will predict. And the fact that the positions of the planets changes from one bar to another in no way confirms that there is a dependence on the bar number or previous positions. In order to predict, you need to know the "legitimate" dependence - the sequence of people's birth dates from the phone book.
I will now try to outline my doubts about the dependency itself.
Unfortunately, it is impossible to do without a philosophical approach here. But we are lucky: time is a clock reading. This is the whole philosophical meaning of time given to us by the most recent widely accepted physical theory. This definition is enough for physicists to explain to us how the universe works. The catch, which does not allow us to use time to explain how the world of prices works, is the difference in the laws by which physicists and traders' clocks run. Physicists' clocks, be they the revolutions of the Earth around an axis, the vibrations of a pendulum or the cesium atom, are all based on and function within the laws of the same system - the Universe - and are based on just 4 types of physical interactions. The fortune of physicists is that their clocks are already normalised to the rate (duration) of these 4 interactions. That is why it is so relatively easy to find, for example, the dependence of the motion of celestial bodies on time - the duration of one process is measured by the duration of another process, while both processes do not go beyond the same laws of evolution. In trader's parlance - the Earth running around the Sun trades running according to the same laws as the pendulum of a clock showing the time of running, i.e. the Earth actually trades "time".
Do traders trade time? This is not a very rigorous question, but the spirit of doubt it should convey. As long as we consider a simple physical system like the Sun-Earth, we easily measure its rate of development by the development of an equally simple system like the Earth-pendulum. As the physical system becomes more complex, open, etc., so do the laws of its development. Although even the rate of development of living systems, though not linear, is still expressed through time. What is natural - a plant or an animal within the physiological processes is still directly dependent on the 4 types of interactions, and therefore the duration of the living process based on physics-chemistry, though through the exponents, can be expressed through the duration of the nonliving process - the pendulum swing. A qualitative breakthrough, in my opinion, occurs when the process begins to detach itself from physical reality, abstracts itself from the laws of the universe and moves into psychic space, the objects of which are unreal in many senses, including the subjection to physical laws. I am not the first to say that the laws by which processes in the noosphere develop are weakly dependent on the laws of physics. I can safely say that the development of the price has almost no dependence on the physical laws of the Universe, which means that to normalise its development space by swinging a pendulum is the same search for a black cat in a dark room. Even worse, to be precise, the cat is there (price) but the space of the room is not.
Time is the wrong dimension of the space in which price evolves. Any attempt to find a relationship between price and time is knowingly doomed to fail.
I want to object to the essence of what has been highlighted and I have good reason to do so. In my opinion, of course. ;)
The forum often reminds us how difficult it is to look for the black cat in a dark room. I would like to have my say in the matter and say where market researchers look for the black cat. And I would start by considering the question - in what space are they looking for the cat. An obvious given for us is the space of price-time. We are used to the fact that time is a dimension of the space in which we live, price also changes in the time in which we live, so without thinking, price has also been placed in price-time space. My question is, is it valid? Does the cat called "price" live in a space, one of the coordinates of which is time? More specifically, is there a "legitimate" dependence of price development on time?
Before answering this childish question, I will try to show you how legitimate it is, by giving you an analogy about the position of planets on a celestial slope. Imagine that I took a telephone directory of a metropolis and starting from the n-th page I took 1000 names and somehow found out their dates of birth. Further on these dates I calculated the positions of planets and in the sequence of surnames in the directory I posted positions of planets on the astronomical forum with a question - which one will be next in this sequence? After all, no one will predict. And the fact that the positions of the planets changes from one bar to another in no way confirms that there is a dependence on the bar number or previous positions. In order to predict, you need to know the "legitimate" dependence - the sequence of people's birth dates from the phone book.
I will now try to outline my doubts about the dependency itself.
Unfortunately, it is impossible to do without a philosophical approach here. But we are lucky: time is a clock reading. This is the whole philosophical meaning of time given to us by the most recent widely accepted physical theory. This definition is enough for physicists to explain to us how the universe works. The catch, which does not allow us to use time to explain how the world of prices works, is the difference in the laws by which physicists and traders' clocks run. Physicists' clocks, be they the revolution of the Earth around an axis, the oscillation of a pendulum or the cesium atom, are all based on and function within the laws of the same system - the universe - and are based on just 4 types of physical interactions. The fortune of physicists is that their clocks are already normalised to the rate (duration) of these 4 interactions. That is why it is so relatively easy to find, for example, the dependence of the motion of celestial bodies on time - the duration of one process is measured by the duration of another process, while both processes do not go beyond the same laws of evolution. In trader's language - the Earth running around the Sun trades running according to the same laws as the pendulum of a clock showing the time of running, i.e. the Earth actually trades "time".
Do traders trade time? This is not a very rigorous question, but the spirit of doubt it should convey. As long as we consider a simple physical system like Sun-Earth, we easily measure its rate of development by the development of an equally simple system like the Earth-pendulum. As the physical system becomes more complex, open, etc., so do the laws of its development. Although even the rate of development of living systems, though not linear, is still expressed through time. What is natural - a plant or an animal within the physiological processes is still directly dependent on the 4 types of interactions, and therefore the duration of the living process based on physics-chemistry, though through the exponents, can be expressed through the duration of the non-living process - the pendulum swing. A qualitative breakthrough, in my opinion, occurs when the process begins to detach itself from physical reality, abstracts itself from the laws of the universe and moves into psychic space, the objects of which are unreal in many senses, including the subjection to physical laws. I am not the first to say that the laws by which processes in the noosphere develop are weakly dependent on the laws of physics. I can safely say that the development of the price has almost no dependence on the physical laws of the Universe, which means that to normalise its development space by swinging a pendulum is the same search for a black cat in a dark room. Even worse, to be precise, the cat is there (price) but the space of the room is not.
Time is the wrong dimension of the space in which price evolves. Any attempt to find a relationship between price and time is doomed to fail.
Once you get acquainted with the article, which is being prepared on mql5, we will continue the discussion.
Once you get acquainted with the article, which is prepared in mql5, we will continue the discussion.
Did the administration take an article in mql5 without sample code in this language?
Something new in the rules...
;)
From here, I think it's best to continue the conversation here. Who will create a working group to create a robot trader, involving programmers, developers, traders, sponsors and possibly me?
Yes, I can do it alone, if anything. All you need is formulas for calculations, code on Excel'e-VBA and some explanations.
I will be able to estimate the writing time when I'm familiar with formulas and VBA code (depends on the complexity of the calculations).
Please drop me a line and we'll work it out.
I can do it on my own, if anything. All you need is formulas for calculations, Excel-VBA code and some explanations.
I can estimate the writing time when I know the formulas and VBA code (it depends on the complexity of the calculations).
Send me a message in person and we'll work it out.
what is Excele-VBA code ?
What is Excele-VBA code?
What is your program written in Exel (as you called it)?
There are two ways of coding (1) Visual Basic for Application (VBA) and (2) the built-in functions of Excel itself.
In any case, I'd like to have a working sample program, so that it's easier to reproduce the calculation algorithm.
If it's written in VBA, it will be quick, if it's written with built-in functions, it will take a little longer, because you will have to deal with their coding.
What is your program written in Exel (as you called it)?
There are two ways of coding (1) Visual Basic for Application (VBA) and (2) the built-in functions of Excel itself.
In any case, I'd like to have a ready-working sample program, so it's easier to reproduce the calculation algorithm.
If it's written in VBA, it will work fast, if it's written with built-in functions - a bit longer, because you have to deal with their coding.
My understanding is that there is no "program". A chain of formulas is all...
;)