Econometrics: one step ahead forecast - page 52
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Minimisation does not solve the problem. The value of the prediction error is questionable, as it is the error of both the right prediction and the wrong
By the way, have you tried the task of minimising the prediction error? Well, since you say that "minimization doesn't solve the problem"... -- ...then you've got some pretty proven results, haven't you?
Yes.
Did you understand what you just said?
can you demonstrate?
I optimise the model by the following constraint:
Lagrange autocorrelation probability (in Table ACF LM) < 10% &
probability of any coefficient in the regression equation < 10%
If you add min standard error to this condition, the profit factor is 20% less
that's not what I meant... but never mind...
My story did not touch a nerve, did it? :(
Why not... That's right... A negative result is also a result. The main result in this case is that the person finally got rid of the obsession, which was consuming energy and time. And moved on, knowing that the previous path had been a dead end.
.
zy.
Incidentally, this acquired knowledge does not guarantee that the next path he chooses will be the right one. But one should not stop ;).
it would be OK to take an ordinary linear regression, calculating it with a period of 10 for example.
avtomat 27.11.2011 00:44
Why not... All is correct... A negative result is also a result. The main result in this case is that the person finally got rid of the obsession, which took away time and energy. And moved on, knowing that the previous path was a dead end.
.
zy.
Incidentally, this acquired knowledge does not guarantee that the next path he chooses will be the right one. But one must not stop there ;).
I have been convinced that in regressions this or any other, even optimized, period will eventually punish the trader. It's impossible to guess the future periods of the market, that's the problem. So, now I think to look on the market as on the game with random outcome, but, apparently, to have a small advantage one should enter and exit by recommendations of TS and not to hope that it necessarily will lead to profit. I think one cannot do without the option of sparing martingale to cheat the market and gain profit, for example, starting from 0,01 lot increase it three times till getting positive result and then come back to 0,01. Is there such a variant of the EA?