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Can you tell me more about:
1. Hedrick-Prescott filter - as far as I understand the approximating function is this particular filter. In the picture, it appears to be a red line marked 'Trend'. It is very similar to a moving average. It takes the difference relative to it and analyses the resulting residual - the green broken line below, which is also the blue line in the chart below. It is stationary, but it also seems to be heteroskedatic (the aplitude of oscillations is different) - it is not quite clear, aren't these mutually exclusive properties?
2. about the Granger causality test. - How is it calculated, at least in general terms, and what is the meaning of.
1. Hedrick-Prescott filter - as far as I understand it, this is the approximating function. In the picture it appears to be a red line marked 'Trend'. It is very similar to a moving average.
Let us consider it as a moving average, only of a very high quality. It highlights the deterministic component of your variable (blue) i.e. it is not equal to the one at the bottom. The one at the bottom is the difference between the cotier and the filter.
I will read what I have written and continue.
Can you tell me more about:
1. Hedrick-Prescott filter - as far as I understand the approximating function is this particular filter. In the picture, it appears to be a red line marked 'Trend'. It is very similar to a moving average. It takes the difference relative to it and analyses the resulting residual - the green broken line below, which is also the blue line in the chart below. It is stationary, but it also seems to be heteroskedatic (the aplitude of oscillations is different) - it is not quite clear, aren't these mutually exclusive properties?
2. about the Granger causality test. - How is it calculated, at least in general terms, and what is the meaning.
It is stationary, but also heteroscedatic (the aplitude of oscillations is different) - it is not quite clear, aren't these mutually exclusive properties?
On the unit root test. There is a 2% probability that the series is not stationary. But to be precise, it does not follow that the series is stationary and you make a good point. That 2% only says what it says and if we want to be sure that the series is stationary, we need to continue testing. Next, the eye can see that the sko is floating. This is not entirely straightforward here either. What sample size do we use to make our decision? There are automatic algorithms for calculating sample size. Usually it is 10 observations, but not hundreds. But the smaller the sample, the less statistically significant it is, the larger it is, the closer to the average hospital temperature. There is no perfect solution.
At any rate, your series are not bad in terms of stationarity. Currency pairs after detrending have much worse characteristics. Very often due to the long memory effect (fractality) a stationary residual cannot be obtained at all.
2. about the Granger causality test. - How is it calculated, at least in general terms, and what is the meaning.
I'm afraid to twist on the calculation. Google it - it's a widely used test.
The meaning is similar to correlation, but more accurate. Starting with the name. Indicates that one variable is the cause of another. If you look at the calculation, it indicates the probability that one variable is the cause of another. If you look, you see that these probabilities depend on direction. The probability figures are different there. That is, this test is directional.
I'm afraid to twist it about the calculation. Google it - it's a widely used test.
The meaning is similar to correlation, but more accurate. Starting with the name. Indicates that one variable is the cause of another. If you look at the calculation, it indicates the probability that one variable is the cause of another. If you look, you see that these probabilities depend on direction. The probability figures are different there. That is, this test is directional.
Here it is more interesting to conduct this test comparing the price of the instrument itself with the positions of operators. The message is: whether the price level is the cause of the current positions of operators, or vice versa, the level of operators' positions is the cause of a low price. It is important. It is necessary to make sure that the tail is not wagging the dog, as it happens with many technical indicators.
Here it is more interesting to conduct this test by comparing the price of the instrument itself with the positions of the operators. The message is: is the price level the cause of the current positions of the operators, or vice versa, is the level of the operators' positions the cause of the low price. It is important. It is necessary to make sure that the tail does not wag the dog, as it happens with many technical indicators.
I use an indicator that looks into the past and finds similar price movement patterns. I haven't put it in the database, as it's only my idea and the work was commissioned. Now the indicator works together with my Expert Advisor while I am testing it. This is one of the positive results that, by the way, appear with enviable consistency:
One trade in the market, stop is equal to take = 70 (0.007) points. The result for 6 years. I reiterate that the data is taken from the past, to be precise, from the next 6 years (hence the picture from 2000, and the trades start from 2006). So, randomness recedes into the background.... The patterns repeat themselves. Not 100%, of course, and the approach to their selection is still being honed, but the fact is in the report.
I use an indicator that looks into the past and finds similar price movement patterns. I haven't put it in the database, as it's only my idea and the work was commissioned. Now the indicator works together with my Expert Advisor while I am testing it. This is one of the positive results that, by the way, appear with enviable consistency:
One trade in the market, stop is equal to take = 70 (0.007) points. The result for 6 years. I reiterate that the data is taken from the past, to be precise, from the next 5 years (hence the picture from 2000 and the trades start from 2006). So randomness recedes into the background.... The patterns repeat themselves. Not 100%, of course, and the approach to their selection is still being honed, but the fact is in the report.
That sucks... Several years at a loss.
That's not how I trade. It's an estimate, trades with equal take and stop. Statistics.
But, I don't doubt that you might have a better one, but you won't show it. )
That's not how I trade. It's an estimate, trades with equal take and stop. Statistics.
But, I don't doubt that you might have a better one, but you won't show it. )
A tester, then? What's there to show. A straight line at an angle of 40 degrees.