How can I tell the difference between a FOREX chart and a PRNG? - page 6
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No, that's not right. We are not a painting enthusiasts club here. It is impossible to distinguish between SBs and real markets without using special statistical tools. So either publish at least a dozen charts in CSV format, at least 100,000 observations in each, or the discussion will continue to be purely speculative.
100,000 observations for timeframe D is more than 400 years? Did I get that right?
Or if you count o, h, l, c as 4 observations, then more than 100 years?
100,000 observations for timeframe D is more than 400 years? Did I get that right?
Wrong.
A little less :))
We're not running a guessing game here. What special statistical tools? What tests? What indicators?
The topic is how do you tell the difference between a chart and a graph?
Shit, you asked a specific question: how do you distinguish the SB chart from the market chart? I'm giving you a specific answer: using special statistical methods. Sorry, but pattern recognition, that you posted here is not the task of these methods, so either prepare the necessary data, or further discussion is meaningless.
100,000 observations for timeframe D is over 400 years? Have I got that right?
Or if you count o, h, l, c as 4 observations, is it more than 100 years?
Shit, you asked a specific question: how do you distinguish the SB chart from the market chart? I'm giving you a specific answer: using special statistical methods. Sorry, but the pattern recognition that you've posted here is not part of those methods, so either prepare the necessary data, or further discussion is pointless.
That is why the daily chart is not suitable. There is too little data. But the hourly chart for 5-6 years will be enough. It is even much less than 100,000. Agree that this is not much at all and data in this quantity is a pond.1. What special methods are these? Are they secret methods? The topic of the thread is not whether you can guess or not, but HOW to determine? What are the methods?
2. On watchmakers they have already said - volatility changes during the trading day. You don't need special methods for watchmakers.
1. What special methods are these? Are they secret methods? The topic of the thread is not whether or not you can guess, but HOW to determine? What are the methods?
How will I determine it automatically: I know that the theoretical SB distribution is normal, but the distribution of the quote stream is not. I will construct a likelihood ratio and use it to determine which series is in front of me. I will even indicate the probability of error.
How will I determine this automatically: I know that the theoretical SB distribution is normal, but the distribution of the quote stream is not. I will construct a likelihood ratio and use it to determine which series is in front of me. I will even indicate the probability of error.
Why is it normal?
Have you seen the Excel file with the generator? There is a binary pcf generator in there.
1. What special methods are these? Are they secret methods? The topic of the thread is not whether or not you can guess, but HOW to determine? What are the methods?
2. On watchmakers they have already said - volatility changes during the trading day. You don't need special methods for watchmakers.
As for the second point - all this is a childish trick. To emulate the volatility is elementary, just take the tick volumes of a real instrument and generate a random walk on their basis. There will appear thick tails and a volatility spike during the American session, and other other effects. But the SB will remain random and it will still be detected.
Understanding this elementary thing, of course, I meant that you will generate hourly bars at least with clustered volatility using either (and) some a la Garch or (and) real volume.
Understand, the type of distribution does not determine whether a series is random or not. It's just that non-random market series are not normal, and our primitive generators generate normal distributions in the simplest case. But to make the hypothesis that all non-normal series are markets and normal ones are random walks is wrong, because random walks can also be non-normal.
Why is it normal?
Have you seen the Excel file with the generator? There's a binary generator in there.
I mean ternary.
But even in this case, it must be said, the distribution on large TFs should tend to be normal. If, of course, the generator is of good quality.