Econometrics: State-space model forecasting - page 11
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I'm taking time out for an EA.
I'll be sure to post the result.
Yes, this is a refinement of the metadriver.
Pardon, so this result is according to the anonymous tester. Then we should double-check in the tester and see....
Yes, this is a refinement of the metadriver.
Pardon, so this result is according to the anonymous tester. Then we should double-check in the tester and see....
open towards forecast if target is greater than X*spread. On the next bar, if the forecast is the same as the position, you hold (saving spread over re-entry). If in the opposite direction, we close
EconModel:
Guys, stop reinventing the wheel.
;))) it's here(#)
.
You feel like reinventing things too? That's commendable.
Hint: Invention begins where the "methodology" ends.
Made a model of the state space and by not making a prediction one step ahead.
Laying out the chart.
The black one is eurusd and the red one is the one step forward forecast. You can see from the chart that there is a one-step forecast. It was obtained on the previous 48 bars H1. The previous forecast - it was obtained on the previous bars. I.e. the red line is out of sample.
Problem. How to get to the trading system. It seems to make good predictions. I do not understand the market entry and exit conditions.
I am ready to implement the ideas and post the result.
You are forecasting a specific value (point) along with the range the point will fall into. This type of forecast is widely used in the real economy (sales forecast, demand forecast ....), but is not used in the financial markets where we work.
We all, whether we realise it or not, apply trend forecasting. TA: two wagons crossed will be a long, the other way round will be a short. The specific value to be reached by the instrument being traded is of no concern. Therefore, your model should be supplemented with tools that turn a point forecast into a trend forecast. (See personal note). These are so-called threshold models. If the forecast is above (below) the threshold, there is (with some probability, e.g. 90%) a corresponding trend and you can enter. If the opposite threshold is crossed, the position is reversed. Reversals may easily occur in the dead zone between the thresholds.
From my own experience. Values obtained using threshold models have nothing in common with e.g. the cows. I have observed thresholds, which are of course variable, which both happen to lie on the same side of the mo!
State space model + threshold model = must be a super trading system.
Good luck.
You forecast a specific value (point) along with the range in which the point will fall. This type of forecast is widely used in the real economy (sales forecast, demand forecast ....), but not in the financial markets in which we operate.
We all, whether we realise it or not, apply trend forecasting. TA: two wagons crossed will be a long, the other way round will be a short. The specific value to be reached by the instrument being traded is of no concern. Therefore, your model should be supplemented with tools that turn a point forecast into a trend forecast. (See personal note). These are so-called threshold models. If the forecast is above (below) the threshold, there is (with some probability, e.g. 90%) a corresponding trend and you can enter. If the opposite threshold is crossed, the position is reversed. Reversals may easily occur in the dead zone between the thresholds.
From my own experience. Values obtained using threshold models have nothing in common with e.g. the cows. I have observed thresholds, which are of course variable, which both happen to lie on the same side of the mo!
State space model + threshold model = must be a super trading system.
Good luck.
Thanks, took a look, can't figure it out straight away.
I will refine it to the trend prediction.
Thanks, looked it up, can't figure it out straight away.
I'll be fine-tuning to the trend forecast.
Don't be fooled.
Faa is a theorist.
Don't be fooled.
Faa is a theorist.
Specifically, do you have anything to say on the topic of this thread?
Do you have anything specific to say on the subject?
I have already told you on the subject.
If "predicts well", then trade in the direction of the prediction.
If such a trade leads to losing on the spread, it means that the forecast is bad.
You can check the "goodness" of predictions in the strategy tester.