Thoughts on the random - page 20
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I have never seen an adaptive filter that ends up being different and better than an EMA, SMA or other FIR filter. If you know what you are talking about, then show such an adaptive filter in pictures and explain its advantages.
I agree that the word "primitive" I used incorrectly.
It's not about building a sophisticated filter that accompanies a quotient as accurately as possible.
Here you are right, in that sense other filters do not have any advantages (apart from beauty).
Several years ago this topic was explored far and wide on the forum and abandoned as not giving any tangible benefits (there are some pictures too).
It is about adjusting the TS to the changing nature of the market over time.
A few years ago, this topic was explored up and down on the forum and abandoned as not giving any tangible benefits (there are pictures there too).
... ... and abandoned halfway through, without being completed...
sergeyas:
It's about adjusting the TS to the changing nature of the market over time.
Exactly right. Exactly. The TS is like a coherent system.
It is about adjusting the TS to the changing nature of the market over time.
It is a strange system if it requires adjustment to something that is not well understood, changing constantly, rapidly and unpredictably.
A strange system if it requires adjusting to something that is not well understood, changing constantly, rapidly and unpredictably.
This seeming strangeness occurs, for the most part, because of the inertia of thinking. A prime example of this inertia of thinking is the probabilistic-statistical approach to describing the market, which in its extreme manifestations militantly rejects anything and everything.
A strange system if it requires adjusting to something that is not very clear, changing constantly, rapidly and unpredictably
.This seeming strangeness occurs, for the most part, because of the inertia of thinking. A striking example of this inertia of thinking is the probabilistic-statistical approach to describing the market, in its extreme manifestations militantly rejecting anything and everything.
Yes, an attempt to adapt a statistical model to the non-stationarity of the process would be a worthy example:(
I do not reject everything and everyone, by the way.
I like your approach (inertial link), but I haven't found how to apply it yet.
I'm not rejecting anything and everything, by the way.
I like your approach (inertial link), but I haven't found how to apply it yet.
Alexey, I was speaking in general, without meaning exactly you or anybody else. After all, this probabilistic-statistical approach is very widespread all over the world. It has been achieved thanks to the false "social muda" with the label "efficient market", which is drummed into the consciousness of the masses (and in the terminology of the social muda - the herd) by all means.
I also do not believe in market efficiency.
To be more precise, the simplest indicators - bags, envelopes, RSI, etc. - are so primitive, that in terms of such usage the market will be absolutely effective. There is no other fate for such use of quotes.
The inefficiency of the market is revealed only by sufficiently subtle methods which take into account its structure (which these methods clearly do not do).
I don't care what the information theory method discussed by the topicstarter earlier in the feature selection thread will turn out to be. Let it be just a volitional dependence, defined by GARCH model and others. The important thing is that this model dictates market inefficiency.
And I like Margarita.
The one with the master? ;))