From theory to practice - page 13
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For example, for EURJPY the coefficient is s=2.35. The increment expressed in pips and this coefficient is substituted inw=s^2/[2*sqrt((s^2+x^2)^3)] and you get the price weight at each tick receipt to calculate the moving weighted average. (sorry, maybe by WMA in MQL you mean something else? - I'm working in VisSim)
About weights. In MQL the weights are dimensionless. And usually their sum is equal to 1. And what about in VisSim? So far I've analyzed the formula for weight w and found that the unit of weight is 1/pips. In MQL the weighted moving average (WMA) has the same unit as the prices themselves, pips. In VisSim, it appears to be dimensionless. What is this value, does it have a physical meaning?
P.S. Identifying the dimensions in the formula s^2/[2*sqrt((s^2+x^2)^3)]. The increment of x is measured in pips. Since there is an addition of the squares of s and x, they must have the same dimensionality, i.e. s is also measured in pips. Under the root the 6th degree of pips, after extracting the root in the denominator will be pips in the cube. In the numerator pips squared, divide, comes out 1/pips.
Dennis Kirichenko:
Yes, I forgot to say.
Can't you be more specific: Sampling, tests, etc. are a revolution, people who believe that financial markets increments are stationary are not observed at all.
!!!!!!! However, that was already clear to everyone without proof.
Listen, Denis, you seem to have a very professional understanding of statistics. That's nice! Gosh, when I first got to this forum I thought people here knew nothing but dollars, profits, moose and other bullshit. I repent. Sorry for the old fool! :)))))
What do you mean from theory to practice - is it a fork?
But it is precisely here that people see immediately what is worth paying attention to and what is not, because for a decent number of years of trading and reading the forum they have seen enough.
The market is not that bad, by the way.
That's it - I'm calling it a day.
Good luck to everyone!
Regards,
Alexander_K
What do you mean - just theory and that's it?
And the practice where either there is no point all the same, or disappointment of some kind has overtaken you?
In Wissim this is a dimensionless value. And the weighted average is calculated classically there - seehttps://ru.wikipedia.org/wiki/Среднее_арифметическое_взвешенное
In the link you provided, the weights are dimensionless, just real numbers. In Wissim they are 1/pips, so the moving average becomes dimensionless. It turns out that if DC quotes with 4 digits, then WMA in Wissima will have 10 times lower values than with 5-digit quoting. Or is it still rationed in Wissim in some way to have comparable results?
Dennis Kirichenko:
Yes, I forgot to say.
But can you be more specific: sampling, tests and so on are a revolution, people who think financial market increments are stationary are not observed at all.
I've never really thought about tick increases in terms of stationarity. Since DC filters operate on some kind of setpoints, changing the setpoints makes the generated increments non-stationary, but not in a probabilistic sense. As long as nobody changes them, why shouldn't the statistical characteristics of the generated increments be constant. I remember reading somewhere about the "shift spread" option on a dealer's desk. It's non-stationarity, only deterministic.
I MUST come back with practical results.
For now, we have work to do. I don't want to repeat the shameful path of some characters on the forum, who scare people away and disappoint them with their shameful results. (You are absolutely right there).
I agree, let's compare.
In view of the fact that the theory seen to the most want, here is used to first look at the practice, and if something worthwhile, only then the theory // is the word
I agree, let's compare.
Since we have seen enough theory, we are used to seeing practice first, and if there is something worthwhile, only then theory //talking about it
For some reason there is no reaction to my link, on which everything on this thread has been chewed up and much more.
Dennis Kirichenko:
Yes, I forgot to mention.
Alexander, I have tested several samples of differences (returns) for non-stationarity. Well, the null hypothesis of stationarity cannot be rejected! So it is possible to work with these differences.
Can you be more specific: sampling, tests and so on are a revolution, people who think financial market increments are stationary are not observed at all.
SanSanych, of course! I will try to provide the details one day. I will be glad to discuss and listen to comments/opinions.
What revolution and why the surprise? Returns as a rule demonstrate stationarity. True, I personally take them on higher TFs (days).
The author writes here:
In practice the main reason why working with returns is more preferable than working with prices is that returns have more attractive statistical properties.
Somehow there is no reaction to my link, which has everything on this thread chewed up and much more.
San Sanych.
Honestly - I've looked at it.
//At least there is no error in the material from the start like the topicstarter. At the same time I said to the topic - not 0.05, but 0.5...., look - you are writing rubbish.
But the thing is, you have to think 100 times about the fact that the market is chaotic and you can't predict it mathematically.
The simplest example - when will there be a reversal?
It is impossible to make a forecast because the market is not moving average because we are in a flat, then we are in a trend and the average is already moving away from its average state.
//I just have this opinion for some reason and that's all