Distribution of price increments - page 18
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Re-read the thread and the question remains. The author seems to have decided to study tick distribution, but for some reason he started to study separately asc and separately bid. I don't think this is quite right. The correct investigation and representation of tick by default should include some change (in this case it is the change of price, difference of increments). And if it is so, it turns out that a small mistake was made at the very beginning of the study, zero price change was also considered as a tick. I am not a doctor, and not competent, but it is more right to examine ticks in the form of Ask-Bid. and examine increments by these values. At once there will be no need to delete zero increments and perhaps we will get a smoother picture on increments.
It is a shame that the author discovered something and did not write about it anymore. I'll have to do it myself ))
I reread the thread and still have a question. The author seems to have decided to study tick distribution, but for some reason he started to study separately asc and separately bid. I don't think this is quite right. The correct investigation and representation of tick by default should include some change (in this case it is the change of price, difference of increments). And if it is so, it turns out that a small mistake was made at the very beginning of the study, zero price change was also considered as a tick. I am not a doctor, and not competent, but it is more right to examine ticks in the form of Ask-Bid. and examine increments by these values. At once there will be no need to delete zero increments and perhaps we will get a smoother picture on increments.
It is a shame that the author discovered something and did not write about it anymore. I'll have to dig it out by myself )).
The author has discovered everything and is not going to participate in this forum clowning around.
But, sometimes, when he sees fit, he will comment on issues of pressing importance, as in this case.
There is no need to dig around, Anatoly! It's enough to understand that the market is dominated by the so-called stable distribution of increments with the alpha = 0.5.
It's quite a complicated thing and there's no sense in spending much time for its studying. We have to use first approximation to it - Laplace distribution. 1.
Take a Laplace distribution LF generator and count the sum of random variables at each step. You get an artificial Laplace motion type series.
2. And then you watch if your TS shows profit on such artificial series. No - then burn it. Yes - take care of that TS, it will come in handy.
3. You select the areas with distribution of increments close to Laplace in real TP, and voila - the Grail.
Good luck!
P.S. The author works exclusively and only with (Ask+Bid)/2.
The author has already discovered everything and is not going to participate in this forum hullabaloo any more.
But, occasionally, when he sees fit, he will comment on pressing issues, as in this case.
There is no need to dig around, Anatoly! It's enough to understand that the market is dominated by the so-called stable distribution of increments with the alpha = 0.5.
It's quite a complicated thing and there's no sense in spending much time for its studying. We have to use first approximation to it - Laplace distribution. 1.
Take a Laplace distribution LF generator and count the sum of random variables at each step. You get an artificial Laplace motion type series.
2. And then you watch if your TS shows profit on such artificial series. No - then burn it. Yes - take care of that TS, it will come in handy.
3. You select the areas with distribution of increments close to Laplace in real TP, and voila - the Grail.
Good luck!
P.S. The author works exclusively and only with (Ask+Bid)/2.
1. Yes. Distribution of BP increment series differs from SB by no more than 5% (on BTC), on Jew it is almost the same). - Novaja will not let me lie)))
2. A wonderful idea based on p.1. It allows to generate series and check TC on multiple trials, while BP history is of limited length.
3. Highlighting is no longer necessary, if the lessons of p.1 and p.2 have been learned correctly.
Good luck! ;)
PS. I suppose it does the right thing (I will not give the recent studies, but I confirm, that it gives better results than a simple bid).