1st and 2nd derivatives of the MACD - page 26
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In my less enlightened opinion, the approach outlined is of little use in the marketplace. All good for improving signal to noise ratio. As written above for missile guidance. There is no signal in the marketplace, and most importantly the BP characteristics, including frequency, phase, float all the time. If we don't acknowledge non-stationarity from the outset, you get nothing good in principle. Acknowledging non-stationarity, we can at least specify the limits of applicability of the method.
It will not enhance this characteristic in any way, there is no basis for it. I highly doubt that the enemy generates such simple signals. :о)
For some reason, maximum entropy methods (like Burg) are glossed over. You can clearly see there how the AFR starts to drift when the window size changes or when it is shifted. Immediately you can see a few humps of resonant frequencies, acting on the analyzed sample. And it's immediately clear that you can't just use all this beauty to predict the next bar and predict on the holy faith that the AFR won't change when the next bar arrives. And this is a very good example where the implemented idea initially did not take non-stationarity into account
Any spectrum assumes a time series model underneath. The method of maximum entropy is based on a regression model, which does not fit the market in any way. No way at all. The curves that you see in the spectrum, so to speak, do not make much sense in practical terms. But it's true, the "macro-characteristics" of the time series drift quite a lot, depending on sample size, time shift, etc.
to faa
(addendum).
Probably ask what type of model matches, the answer is simple and sad - nothing matches. It's a very complicated process. I've already written in your thread where you diligently pushed me out of it - a quote is a complex stochastic multifractal, it's not even self-similar, but in the trader's "visual" scale it behaves as a martingale, and the process has strong non-linear relations. One can get some adequate knowledge about the process only with the help of fractal analysis, there are already many techniques and methods accumulated. For example, singularity spectrum, which will show the whole awfulness of the situation :o)
from which you have assiduously kicked me out
It was not my intention to push me out, if I gave that impression unintentionally, I apologise and invite you into the thread if you are interested
from which you have assiduously kicked me out
It was not my intention to push me out, if I gave that impression unintentionally, I apologise and invite you into the thread if you are interested
Still, your approach reeks of "all or nothing".
Regressions are the simplest tool. Used to demonstrate the problem of predictability. Even regressions proved inaccessible to most.
The approach itself was different. Pinch off a piece of the unexplored and unknowable, but systematically. Fractals are more of an experiment and there are many issues of prediction accuracy and confidence behind the scenes. That's why EViews, which gives systematicity and isn't very restrictive in the set of methods. Considering it has output to Matlab, the limitation is its own brains.
Therefore. Trying to solve problems piecemeal.
Still, your approach reeks of all-or-nothing.
Erm, we've just reconciled - I have a feeling we're going to fight again. My approach is based on achieving a deep understanding of the market, and if you choose:
The approach itself was different. To take a bite out of the unknown and unexplored, but to take a systematic bite.
then the market will take it all away from you, no doubt about it. Also, it's not very clear to me how you can systematically pluck from the unexplored.
Regressions are the simplest tool. Used to demonstrate the problem of predictability. Even regressions proved inaccessible to most.
Look, I can't stand arrogance on a level playing field. What you're actually demonstrating, I'll keep delicately silent.
Fractals are more of an experiment and there are many problems related to prediction accuracy and credibility behind the scenes.
Oh man, first of all it is not, you have to understand the subject. Secondly - do you really think that by applying enwil you get reliable estimates?
That's why EViews, which gives systematicity and is not very restrictive in the set of methods. Considering it has output to Matlab, the limitation is its own brains.
EViews only does model identification and prediction on it. It's all there in matlab, statistics, maths, spss, etc. But, none of these models are true. You're just fooling envil by feeding false correlations.
That's why. Trying to solve problems piecemeal.
Everyone has his own Dao. :о)
to faa
by the way, here's a kind of reflection on nature, while we're fiddling around with you :o):
Швейцарского банкира ограбила его супруга
NTV, 2 hours ago, 10 Jan 2012, 11:37 am.
Swiss central bank governor resigns over wife's financial fraud
Philippe Hildebrand, who headed the Swiss central bank for more than a year and a half, has stepped down as soon as his wife Kascha Hildebrand pulled her strings. He claimed that he knew nothing about his wife's illegal activities.
In August last year, Frau Hildebrand (former trader, now head of an art gallery in Zurich) cleverly played on exchange rate fluctuations, probably in possession of insider information, reports NTV. She bought more than 500,000 dollars three weeks before the Swiss central bank set the upper limit of the euro to franc exchange corridor at 1.2 francs.
Two months later, Hildebrand sold the American currency and thus made around CHF 60,000 on the exchange differential. The fraudster was detected by an employee of the Sarasin bank, through which the transactions were carried out, reports NTV. Who will be Hildebrand's successor is not yet known
some comments:
(1) The title of the note, why did she rob him? It doesn't say she picked his pocket (I think the wife did) and it is unlikely she stole money from the bank if the husband didn't know about it.
(2) Why is it illegal and "fraudulent" ??????? There's a whole gang of crooks out there.
(3) it turns out that bankers (and wives) know and control the traffic to some extent. Actually - no wonder, forex is a market for banks only, everyone else expresses their interests only through them.
(4) The whole economy is speculative, and here they "faint" and leave their posts.
(5) "last August" - they must have found out by accident
Also, I don't really understand how you can systematically pluck from the unexplored.
Look, I can't stand arrogance on a level playing field. What you're actually demonstrating, I'll keep quiet.
Oh, shit, first of all it's not so, you have to understand the subject. Secondly - do you really think that by applying enwil you get reliable estimates?
EViews only does model identification and model prediction. All this is in matlab, statistics, mathematics, spc, etc. But, none of these models are true. You're just fooling envil by slipping false correlations
Everyone has their own Dao. :о)
Also, it's not very clear to me how you can systematically pluck from the unexplored
All science is just that: solves what it sees, and from what it sees, what it can, and from what it can, what it can apply.
Look, I can't stand arrogance on a level playing field.
Arrogance has nothing to do with it. The simplest model was taken to demonstrate another problem and a more important one - predictability. Everyone has concentrated on regression, with many posts with the usual nonsense, people don't know the terminology and don't take things personally that don't apply to you.
Do you think that by applying enwil you get reliable estimates?
EViews just does model identification and model prediction. All this is in matlab, statistics, mathematics, spss, etc. You are just fooling envil by slipping false correlations
You have to specify the stovepipe before you can evaluate anything. And this is TA, compared to which EViews is a huge step forward.
Statistics teaches you not to trust anything at all, including estimates. But a systematic calculation of estimates for any model is a step forward
But, after all, none of these models are true.
My descriptive model: cotier= trend + noise + periodicity + seasonality + outliers.
I'm starting to dip sequentially on what I can, and I can: trend + noise. Big forecast with TA again - it doesn't recognise noise at all. I know the reason for bad forecast result, I don't see any reason to post it due to low public interest.
What else can I add to my model? It's not complete, but a constructive one is needed.
to faa
by the way, here, as if to reflect on nature, while you and I are fiddling around :o):
a few comments:
(1) The title of the post, why did she rob him? It's not said that she picked his pocket (I think it's the wife) and it's not like she stole money from the bank if the husband didn't know about it.
(2) Why is it illegal and "fraudulent" ??????? There's a whole gang of crooks out there.
(3) it turns out that bankers (and wives) know and control the traffic to some extent. Actually - no wonder, forex is a market for banks only, everyone else expresses their interests only through them.
(4) The whole economy is speculative, and here they "faint" and leave their posts.
(5) "last August" - they must have found out by accident.
This is to the question of fractality. 200 years ago, Hegel derived the law (one of them) about the transition of quantity to quality. This is when a system, having accumulated quantity, under a small action transitions to a new quality. This is now called a fractal.
In all seriousness, what are we predicting? Qualitative leaps? News that will have an unknown effect on market movements?
The market model I gave above is a trend model, i.e. I am going to use trends, All. I believe that other things I either don't want to predict (ox for example) or can't predict (e.g. spikes).
By the way, left unnoticed. Apart from kotir = trend + noise I also used: reversal = kotir + noise.
Once again, what are we predicting?