Econometrics: let's discuss the CU balance sheet. - page 5
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Seriously, guys, enough already! Stop mocking the statistics and the theoretician! Stop it! It's not even funny anymore!
Well, there is a globally accepted classic of all time - the deterministic and stochastic components of a series.
What "deterministic" and "stochastic" trends? Where is this nonsense coming from?
If you like calling, for example, a straight line a "deterministic trend", fine. But "stochastic trend" is already "hard soft" ......
SB = "stochastic trend" - this is nonsense ......
Man, if you don't get it, read a book on econometrics. Not everyone needs it, but if you're trying to get smart about it))
Or is it still unclear why faa detrended and analysed the residuals?
For those in the tank - to prove that there is a deterministic trend in equity.
Oh, man, you don't get it, read a book on econometrics. Not everyone needs it, but if you're trying to stick to the subject with a smart-ass look.)
or is it still unclear why faa detrended and analysed the residuals?
For those in the tank - to prove that there is a deterministic trend in equity.
what is a stochastic trend?
P.S. Please do not refer to books on econometrics - they do not contain such crap.
What is a stochastic trend?
P.S. Don't refer to books on econometrics - there is no such nonsense there.
First of all, did you understand what detrending and residuals analysis was done for?
for starters - did you understand the purpose of detrending and balance chart analysis?
Thank you, sir - that's great! What would I do without you, benefactor)))
I will repeat the question for the fourth time, focus - why do we need "de-trending" to analyse TC results over a period of time? There is a balance chart - why do you need to "detrend" ?????????????? Why do you need to show a trend on the balance graph? Is the purpose to minimise the balances?
OK, let's keep it simple - two TS.
One in a period of 1.5 months makes 179 trades and shows 240% profit
The second one for the same period - 40 deals and 52% of profit.
"Detrended" balance charts - the first one has worse balance values than the second one.
What do we do, throw out the first TS?
I always thought that the analysis of model's residues serves the task of predicting the behavior of series using this model - whether the model is adequate or not, etc.
And what about the balance chart? Do we make a profit forecast?
what is a stochastic trend?
P.S. Don't refer to books on econometrics - there is no such nonsense there.
You are wrong. There are, and in a great many. It seems to me that we should spit on it.
In principle, the problem is as follows.
Two constructs can be made:
1. Take an analytical line and add noise to it.
2. from a random number gauge, construct a random walk with drift.
The initial problem is that the two resulting graphs cannot be visually distinguished one from the other.
Econometric theorists use two different models corresponding to these cases. Somehow I started to look into it, and picked up a bunch of articles. In the end I found an article where it is described that in some cases it is possible to distinguish a series with a deterministic trend from a series with a stochastic trend, but in the general case it cannot be done.
That's why I suggested above to spit out
Thank you, sir - that was great! What would I do without you, benefactor?)
I will repeat the question for the fourth time, focus - why do we need "de-trending" to analyse TC results over a period of time? There is a balance chart - why do you need to "detrend" ?????????????? Why do you need to show a trend on the balance graph? Is the purpose to minimise the balances?
I already wrote: the residuals must be normally distributed with mo=0. Only in this case, there is a deterministic trend on the equity, which we subtract. I.e. equity=deterministic trend + noise (normally distributed). In the simplest case, a linear trend.
OK, let's keep it simple - two TS.
One in a period of 1.5 months makes 179 trades and shows 240% profit
The second one for the same period - 40 deals and 52% of profit.
"Detrended" balance charts - the first one has worse balance values than the second one.
What do we do, throw out the first TS?
I always thought that the analysis of model's residues serves the task of predicting the behavior of series using this model - whether the model is adequate or not, etc.
And what about the balance chart? Do we make a profit forecast?
well right - the adequacy of the model. Of course, we are talking about fixed lot equitability. Let's check the adequacy of the model, which I outlined in the previous post
or is it still unclear why faa detrended and analysed the residuals?
For those in the tank - to prove that there is a deterministic trend in equity .
Not at all.
Removed the trend so that it is possible to analyse the residual statistically. This provision is a matter of principle.
This has been shown above. Statistical analysis of quotes is only possible on detrended (smoothed) series.
This is a position of principle.
I already wrote: the residuals must be normally distributed with mo=0. Only in this case there is a deterministic trend on the equities, which we subtract. I.e. equity=deterministic trend + noise (normally distributed). In the simplest case, it is a linear trend.
Yes. We got a linear regression, the residuals are normally distributed - the model is adequate. What next? Predict profit?