Not the Grail, just a regular one - Bablokos!!! - page 94
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This is true for the random walk, in which the volatility of APR=const. In the case of the real price series APR is a function of time, external influences (such as news), manipulation of the masters or something else. Profit stop targets set in a calm market can easily be broken through. Suppose a stop or profit triggers equally, estimate the probability of getting 5 lots in a row at least by a penny. My preliminary experiments show that in this case we can build a long term profitable TS based on Martin, please don't spit right away, the trick is in volatility.
Well, in the context of the discussion it was the SB on which some people here are hoping to make money. So I was trying to explain that it is impossible, and even absurd.
Price ranges, on the other hand, are another matter. The fact that they differ from SBs makes it possible to make money on them. By the way, in addition to what you said about the volatility of a price series (or in other words, the variance of an incremental series) it can also be noted that it is not only a function of time or some external influences, but also a function of price. The higher the price, the higher the volatility. And the lower the price, the lower the volatility. But it becomes noticeable only if the price changes significantly. For example, if an asset becomes 2-3 times more expensive. And on SB the dispersion of increments is always constant regardless of the price.
As for martin, I don't think anything worthwhile can be built on it. It can only be used as a supplement to a system with initially positive expected payoff. If the system is originally unprofitable, martin only postpones the inevitable end (although it may accelerate it).
It's a strong trend right now. And only two baskets are trading:
и
They are almost orthogonal. The scalar product of the vectors is 0.06
It is possible to construct a basket maximally correlated with these two, the coefficient of 0.73 is very high
Hey, theatres. I see you've been doing a lot of damage while I've been warming my bones. ))))
I don't think I had the strength or the brains to figure it out. All right now I'm still chasing some dough for no reason, I'll show you how to stuff it into bags soon.
Alexander, it's you, isn't it? Okay, don't answer that. Just say something thought-provoking in light of the last few pages.
And no one's been discussing your state for a long time. I personally develop thoughts about SB rows here, intertwining them, here and there, with thoughts about trades and pairs. You understand it, the final balance line will not say anything, it is composite. You have people and watch them racking their brains.
That is why your wish to post one more state is not supported. Let's talk better about SB, especially if I understand correctly, you probably have a slightly different approach to calculating bets.
Try to avoid trolling. Another confrontation is not needed here.
Try to ban the ringleader, at least if you cannot or do not want to, ban both. Well, not the way you do it, troll and instigator runs, and the one who just fell for dropping the alarm (for I am fed up) immediately into ban without trial, note not even a day like all others, and immediately to the week .... . . Then trolling will not need to seek out in my posts. You yourself allow such situations.
It's there, I've highlighted it in blue. I've had to ban people for such appeals such as "they [forumers] are all like that and I'm completely different", because it's not an appeal to a specific person, but to everyone in a row.
And stop pushing around and looking for troublemakers. I'm sick and tired of it, damn it.
Get technical, you're more or less doing a good job of it.
no comment, no need to even prove this absurdity, the reader himself sees everything, there are no words, the word they are trolling, and unnecessary pictures of people in the ass by a troll is a useful and left without bias, necessary thing in the thread, not casting a shadow on anyone......
That's it, I'll shut up now. Your objectivity has overshadowed me.Thank you.
I have not been able to build a strategy even with multicurrency. I have not managed to build a strategy on spreads even on multicurrency, the reason is either the principal impossibility, or, more likely, a curve in my hand sharpening. As a logical continuation of the theme I have tried to make a portfolio with maximum Equity trend with minimum variance. Quite a curious result. Between green and red lines there is a calculation of coefficients in the portfolio. The next line is kind of a forward.
I have not been able to build a strategy even with multicurrency. I have not managed to build a strategy on spreads even on multicurrency, the reason is either the principal impossibility, or, more likely, the wrong hand sharpening. As a logical continuation of the theme I have tried to build a portfolio with maximum Equity with minimum variance. Quite an interesting result. Between green and red lines there is a calculation of coefficients in the portfolio. The next line is sort of a forward.
Explain what is the condition "which equities have the maximal mathematical expectation" for? I understand from the chart that you are trying to get the most trending portfolio. I.e. you need to find the maximal slope coefficient of the regression line with minimal variance. But it is not clear about the maximum MO.
Explain why the condition "which equities have the highest mathematical expectation" is needed? I understand from the graph that you are trying to build the most trending portfolio. That is, you need to find the maximum coefficient of slope of the regression line with minimum variance. But it is not clear about the maximum MO.