Market formula. - page 7
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
For example, find out the future, the value of the 20th bar ahead.
Beforehand, create a file with Close to know it.
And then we implement the strategy with minimal stops.
For example, recognise the future, the value of the 20th bar ahead.
How would like to know the future...... The problem is only this.......
A set of forecasts (price trajectories) reduces to a probabilistic forecast. It is possible to construct a price distribution after a certain time, and hence obtain a positive mathematical expectation. But this is only if the pricing process is non-Markovian - i.e. it has a memory.
A Markovian process is a random process whose evolution after any given value of the time parameter t does not depend on the evolution preceding t, provided that the value of the process at that moment is fixed ("future" of the process does not depend on "past" if "present" is known; another interpretation (Wentzel): the "future" of the process depends on "past" only through "present").
If the process is Markovian, then your distribution will always be with mo=0 and change at each step along with the price. I.e. the best prediction will be the current price for any number of steps ahead. That is, you will receive martingale on which you cannot make profit.
The process of price change is non-marting, so your formula is a grail)) Although, it doesn't mean that all trades must be in the plus, because there is variance of future price distribution. The variance will indicate the error of the forecast.
What is also important in this interpretation is the depth of memory. And how fast the forecast changes. This determines how much time in the future to forecast (how long to hold a position).
Not necessarily a grail, there is still a spread after all. Plus, the ratio of trade_including_spread/forecasting_error should be acceptablely high (this ratio determines how confidently the equity curve will grow and what drawdowns are likely to occur).
Yes, I already finished it)) I should trade when mo/dispersion is satisfying and hold a position accordingly. And the spread of course.
It is also important whether the market actually has [detectable] memory at every point in time. It is quite possible to have a market formula that allows prediction with positive MO only sometimes, but at moments that are also detectable.
For example find out the future, the value of the 20th bar ahead.
How I'd like to know the future...... The only problem is this.......
So there is no problem in the tester to find out...
It is also important whether the market actually has [detectable] memory at every moment in time. It is quite possible to have a market formula that allows prediction with positive MO only occasionally, but at moments that are also detectable.
that's true, but the starter has a formula that works all the time))Well, I very much doubt there is such a formula. At least, I have never even heard of a single case of long-term successful trading using the "always in the market" system.
OK, let's assume that the market has a detectable memory, for simplicity let's also assume that it is always active and its strength is constant. What next? How can we make money from it?
Mathematically, the expression "there is a memory" corresponds to the statement "there is a difference equation (not necessarily linear) that describes the dependence of price expectation at a given moment on the previous ones". And theoretically, this equation can be guessed "calculated" based on general considerations about the nature of market behaviour at such moments (i.e. by building a mathematical model of the system).
Well, I very much doubt there is such a formula. At least, I have never even heard of a single case of long-term successful trading using the "always in the market" system.
Well the whole mutual fund type investment industry is always in the market. It's just that in the last century stocks have been predominantly rising. In terms of this thread - the forecast has always had a positive mo on long enough intervals (long term).
But for small speculators this is irrelevant. That's why I don't believe it either))
Mathematically, the expression "there is a memory" corresponds to the statement "there is a difference equation (not necessarily linear) that describes the dependence of price expectation at the given moment on the previous ones". And theoretically, this equation can be "calculated" based on general considerations about the nature of market behaviour at such moments (i.e. by building a mathematical model of the system).
Constructed in the tester.
There will be a function ToBarFuture(20), We get the value of Close 20 bar in the future.
How can we profitably trade using this knowledge?
Constructed in the tester.
There will be a function ToBarFuture(20), We get the value of Close 20 bar in the future.
How can I profitably trade using this knowledge?
1. Set the level of acceptable risk (e.g. consider that if the probability of fucking up the entire deposit is 1%, then it's OK)
2) Based on the level of risk, the amount of money available and the average variation of the price over a period of 20 bars for some history (let us say a year), determine the volume of the trading position.
3. There is 99% probability that you are a billionaire.