The market is a controlled dynamic system. - page 156
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But that doesn't mean they don't have a solution.
It's understandable, there might be a solution. It just seems to me that it is enough for prediction that we have an output signal, and there is no need to look for an input signal.
Let me try to explain. Cooking potatoes always follows roughly the same temperature curve. The pan is the same, the volume of potatoes is the same, the dinner time is about the same. If we find that the temperature suddenly rises significantly, the whole further process is predicted with good accuracy - we can say that in about 30 minutes the temperature will start to drop.
But if a person suddenly had to run to the shop to buy vodka, and he turned off the cooker in the middle of the process (and when he comes back - will continue), then no way we can guess this input signal, and in any case we will know about it only after the temperature drops significantly.
For the inverse problem, it is more convenient to consider the heater temperature as the control signal.
Here, I've already stopped understanding anything :)
The discrete mode switch values are a significantly non-linear function.
The heater is a linear function.
It seems to me that we ourselves create difficulties that cannot be overcome even by subsequent heroic efforts.
The devil is not as frightening as he is painted. ;)
Why can't we just analyse the output signal, without reference to the input signal? All the more so because we will never know the nature and nature of its origin. Already an analysis of the OHLC price components can tell us a lot https://www.mql5.com/ru/forum/133986/page114
And analysis of V.... component can tell you many interesting things :-)))
OK, so what's the output then?
the output is what was recorded.
That's how we recorded the temperature:
https://forum.mql4.com/ru/41056/page154#855990
Предположим, что в процессе варки картошки нами каждую минуту производились замеры темпертуры воды в кастрюле, и наносились на график:
Let's pose the question:
Is it possible to determine from the available output data what the control signal that led to this actual data was?
That's how we recorded the temperature:
https://forum.mql4.com/ru/41056/page154#855990
The temperature of the water in the pot.
But the difference between heater and pan temperature is small compared to the full temperature range of the process, is there any point in considering it?
Imho, if you consider the primary parameter - the amount of heat entering the pan and leaving the pan, there the imbalances will be much better visible.
In the market, volume is probably something similar - let's say if there is a cluster of limit orders in the path of rising price, then until all those orders are gobbled up, price won't move a single point further. Only the volume is not in ticks or contracts, but in money (price*number of contracts).
I will stop now and see what will happen next )
and how much interesting analysis of the V.... component can tell you :-)))