The market is a controlled dynamic system. - page 228
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A functional system is a tautology, because absolutely all systems are functional. If there is no "function", there is no "system".
What about "coordinate system", "value system", etc.?
What about "coordinate system", "value system", etc.?
And you think about what coordinates are, why they are needed, what is the result of using them. Think about how, without using coordinates, without specifying a coordinate system, it is possible to identify a direction in space, to specify the metric of space, etc.
A "system of values" is also a system of coordinates, but only in the space of values. For example, value systems based on different priorities set different vectors of society's development. The events of our days demonstrate this very clearly, and in a contrasting way.
Now think about the function of the coordinate system.
I was looking at your drawings again (Oleg) - I was thinking a lot. And do you use price or moving average as an input signal that affects your system? (I heard somewhere that the system includes for example aperiodic links....)
The price is the raw factual data. Any moving average is the result of processing the raw factual data. And so, no matter how you look at it, it is always, in any construction, based on raw factual data. And that is correct.
My system does include aperiodic links as elements of the system. But it is not obligatory at all, i.e. it could be, for example, oscillating links. The use of these or those elements of the system is in the hands of the system designer.
Yes, there is a little...
Let's try to get back on track ;)
All (or nearly all) of us here are busy building our TS, our trading system. Any system is characterized (among other equally important characteristics) by the function it performs. The notions of "system" and "function" are inseparable. There are no non-functional systems. A functional system is a tautology, because absolutely all systems are functional. If there is no "function" then there is no "system". But there may be a system that is not currently functioning (on standby).
It would be interesting to hear opinions (definitions) on what the function of a trading system is.
The question is exactly about the function of the system. Another question is the effectiveness of the system to perform its function, criteria, etc. This is not the question.
// I note that I have my own answer to this question.
It is a very interesting, philosophical question. I will try to answer it from my own point of view:
1. Correctly noticed - under the TC it is already accepted to understand the system, which should function in +;
2. The function (task) of TS - is to strictly follow the algorithm, in spite of the momentary realities of the market - only in this key to possible success;
3. We conclude that the key is the algorithm for solving the problem, which everyone is looking for in his or her own way;
4. To create a workable algorithm, you must feel the market by connecting the most powerful mathematical apparatus possessed by a researcher - the power of the human brain alone is not enough;
5. To try to understand already at the highest level, why some pairs (bucks/lbw) are better described by a trend strategy, and others (euro/bucks) - by anti-trend strategy, with deceptively similar behavior.
A very interesting, philosophical question. I will try to answer it from my own point of view:
1. Correctly noted - the TC is already understood to be a system that is supposed to function in +;
2. The function (task) of TS - is to strictly follow the algorithm, in spite of the momentary realities of the market - only in this key to possible success;
3. We conclude that the key is the algorithm for solving the problem, which everyone is looking for in his or her own way;
4. To create a workable algorithm, you must feel the market by connecting the most powerful mathematical apparatus possessed by a researcher - the power of the human brain alone is not enough;
5. To try to understand already at the highest level, why some pairs (bucks/lbw) are better described by trend strategy, and others (euro/bucks) by anti-trend strategy, with deceptively similar behaviour.
Greetings Yusuf. I understand your point. But TC includes the algorithm you mention as an integral part. There are inconsistencies in your definition. What is missing, however, is something central that makes a disparate set of elements a system, something that unites the set of elements into a single system.
But let us hear other opinions. I suggest, colleagues, that you offer your thoughts on this.
Yes, there is a little...
Let's try to get back on track ;)
All (or nearly all) of us here are busy building our TS, our trading system. Any system is characterized (among other equally important characteristics) by the function it fulfills. The notions of "system" and "function" are inseparable. There are no non-functional systems. A functional system is a tautology, because absolutely all systems are functional. If there is no "function" then there is no "system". But there may be a system that is not currently functioning (on standby).
It would be interesting to hear opinions (definitions) on what the function of a trading system is.
The question is exactly about the function of the system. Another question is the effectiveness of the system to perform its function, criteria, etc. This is not the question.
// I note that I have my own answer to this question.
Profits are made from situations where there is a directional movement in prices. You can call it a trend, a drift, etc. from the entry point to the exit point. The function converts the input data flow (previous prices, etc.) into commands to buy, sell, do nothing) But the input data are essentially traces, not the objects and processes themselves that can create the desired movement in the future. It is necessary to reconstruct the real objects and processes inherent to the market based on these traces. Of course, not all of them, but only individual situations. That is the function to be searched for - to recover real market processes and situations from the traces and match them.
In principle, as with any automatic control system - to recognize objects or their individual properties (e.g. position, speed, etc.) and the laws of their interaction (e.g. inertia, gravity, etc.) in order to give the necessary control action. Only with physical processes it is easier - they are invariable and you can experimentally adjust, tweak the system. In the market they change and there is not enough test data to make a coarse adjustment.
profits are made from situations where there is a directional movement in prices. You can call it a trend, a drift, etc. from the entry point to the exit point. The function converts the flow of input data (previous prices, etc.) into commands to buy, sell, do nothing.) But the input data are essentially traces, not the objects and processes themselves that can create the desired movement in the future. It is necessary to reconstruct the real objects and processes inherent to the market based on these traces. Of course, not all of them, but only individual situations. That is the function we are looking for - to restore the real market processes and situations from the traces and to correspond to them.
No, Slava, this description is not suitable as a definition of the trading system's function. We can see a reference to an identifier and an executive unit, but there is no system as a whole.
In principle, as with any automatic control system, we need to recognize objects or their individual properties (e.g. position, speed, etc.) and the laws of their interaction (e.g. inertia, gravity, etc.) to produce the desired control action. Only with physical processes it is easier - they are invariable and you can experimentally adjust, tweak the system. In the market they change and there is not enough test data to make a coarse adjustment.
Market processes, like physical processes, also belong entirely to our world.No, Slava, this description is not suitable as a definition of the trading system function. You can see a mention of an identifier, an executing unit, but there is no system as a whole.
If it is a single whole, then it is the system's algorithm/code. At the input of this function, there are price series (or whatever else they are using), and buy and sell signals are the output. There is no single algorithm))
Of course, we can generalize the algorithms by separating functional blocks and the interaction between them. The input data gets on the primary processing unit that outputs binary signals. Binary because comparison operations can also be attributed to the primary processing block.
Then they go to the input of the logic block, as well as the signals from the MM block. It analyses them together (Boolean logic or NS, etc.) and issues buy and sell commands. It is clear that each block can be detailed and described in more detail. The most non-trivial block of logic is how it is constructed. I wrote about it in the previous post.
If we are speaking of the TS task, it is transformation of one time series (price) into another (equity). The second should have a stable up-trend))
I am thinking more and more about the theory that analyzing time series is a stupid thing to do, at least in short-term trading. We should analyze equity and then proceed on the basis of equity history. After all, any equity is inefficient.