Econometrics: one step ahead forecast - page 81
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Yes, it's time to wind down. Even literate people don't bother to write anything of substance. Attributed something to me, got indignant. Carry on, but without me.
What's the equity drawdown? You're intriguing, you shaitan...
are you familiar with cointegration? This concept and the tests are somewhat broader than just the stationarity of the residuals. I.e. the price must be cointegrated with your regression. For that, their linear combination must be stationary, which is what you test (residuals). But apart from that, the "error correction model" is also evaluated
The moving average of the price will be cointegrated with the price. It is not enough to be "familiar" with cointegration, you need to know when this concept is worth applying. A good example is VAR+VECM.
Topekstarter: Try to take the first differences of your price series, mix them up, integrate them, estimate the parameters of the proposed model and calculate its coefficient of determination.
Nightmare.
hehe :)))) Paukas, I'm doing an experiment with the whole year, and now the second month is over and the profit-factor = empty, i.e. infinity :D)))
Should I throw it away?
AutoCorrelationFunction() - is this a built-in function or self-written?
Sorry, I don't have Matcad at hand right now to check it.
If the sample is 500 samples, the ACF should be zero at the 500 shift. This is where I once posted the ACF.
https://www.mql5.com/ru/code/8295
If you need (Skype privalov-sv) I'll look for my calculations in matcad. for comparison. there are 3 different ways to calculate...
P/S/ What do the abbreviations "You alone are struggling with TA and VA" mean.
Thanks.
Whoops, isn't that the spirit of good old Prival talking to us? The thread is starting to get interesting...
Whoops, isn't that the spirit of good old Prival talking to us? This is beginning to get interesting...
Why the spirit. It is.
AutoCorrelationFunction() - is it a built-in function or self-written?
It's self-written, but it's correct, all tested.
If the sample is 500 samples, the ACF should be zero at 500 shifts. I posted the ACF here the other day.
No it shouldn't, a quote is not a stationary process at all and ACF will change very much in time and from sample length.(That's part of what the author of this thread does not understand).
If you need (contact me on Skype privalov-sv) I'll look for my calculations in matcad. for comparison. there are 3 different ways of calculating...
Don't bother, everything is calculated correctly
P/S/ What do the abbreviations "You alone are struggling with TA and VA" mean.
VA - wave analysis
TA - technical analysis
Thank you.
Please
Oh, no need to wring your hands and faint. I'm trying to save you time now, because you'll thank me later. Time is the most unsteady process, this is me as an econometrician - > econometrician and not a recoverable resource.
By the way, you are not bothering me, I am bothering you. So, let me leave the thread, there is no econometrics or ... whatever,
Bye, have fun :o)
No need to be offended, go on with your research, ignore the costs.
I will politely withhold the name of what he does, after all, traders are a decent society, well ... I think they are.
I'm glad to see that two econometricians have found each other :o)