Econometrics: one step ahead forecast - page 9

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gpwr:

Did it already. Look in the codebase. My advice to you, understand the mathematics of econometric models, read the history - say, who first derived these formulas and with what assumption. Then you will understand everything. Many people have an irresistible urge to put the last N bars of history into a black box, a crystal, and it will magically give us a prediction of the future. And the wiser the formulas in the box, the more faith in their results (like Yusuf - he's my idol).

+1
 
gpwr:


Did it already. Look in the codebase.

If you don't mind the link. I'd look it up myself, but it's not clear what to look for.

Many have an irresistible urge to shove the last N bars of history into a black box.

I accuse you of taking one bar, you of taking n. Disappointing to both: I take as many as I need and always calculate how many I need.

 
The Chukcha is not a reader.
 
gpwr:


https://www.mql5.com/ru/code/8608

https://www.mql5.com/ru/code/8732

https://www.mql5.com/ru/code/8663

https://www.mql5.com/ru/code/8938

https://www.mql5.com/ru/code/8976

https://www.mql5.com/ru/code/129

https://www.mql5.com/ru/code/134

https://www.mql5.com/ru/code/130

How accurate is your cotier indicator (what is the R-squared)? And what is the error of your extrapolation? And how stable will the extrapolation be? Lots of questions which, most importantly, cannot be answered.
 
faa1947:
What is the error of your extrapolation? How stable will the extrapolation be?


Calculating extrapolation errors is an academic exercise - if you are writing a dissertation, go ahead. Historical and real-time testing of EAs is a more practical method of testing extrapolation models. Read Yusuf's thread where he starts by claiming that his model is infallible because it is derived from a correct understanding of the balance between supply and demand in the market. He didn't even want to give away his cool indicator for free. And then he wrote an Expert Advisor that put everything in its place. I've even published the codes to help people optimize the Expert Advisor.

 
gpwr:



Calculating extrapolation errors is an academic exercise.

Thank you for your attention to this thread.

 
faa1947:
By the way, Brukow's book "How to predict the dollar exchange rate" has been posted
Where?
 
faa1947:

Calculating extrapolation errors is an academic exercise.

Thank you for your attention to this thread.


Willwe open a position on every bar? If not, under what conditions? If a position is opened when the prediction exceeds two spreads, the extrapolation errors should be calculated only for such conditions. And you want to know the extrapolation errors regardless of entry and exit conditions. Indeed, I am wasting my time here.

 
gpwr: Indeed, I'm wasting my time here.
Are you going to continue with the neuronics lectures?
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