From theory to practice - page 30
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I told Alexander at the very beginning that all these MA...WMAs have very big group and phase delays, and in most cases the average is shown exactly the other way round. Zero emotion.))
Polynomial regression line is not bad, but then you have to recalculate this line at each new point, which is not good. And you only need the last points.
I remember, Yuri! I've got all the moves written down. I'll be sure to look into it. I didn't come here by accident. Just at some point, it became clear that I can no longer cope alone, especially with the question - how to read the tick data, and need the help of connoisseurs.
The task, in spite of understanding, was, is and remains serious. So I'm just giving you an algorithm for its solution. Anyway, the output will be slightly different. Then it all depends on each of us personally. That's how it is! And we still have much to discuss.
I think the issue of the best method of receiving tick quotes is still unsolved. Even if I have a huge base of quotes archive of another broker, and mine does not keep it, may I use it in my calculations? It turns out all the same - I have to create my own archive?
I remember, Yuri! I have all the moves written down. I didn't come here by accident. It's just that at some point it became clear that I can't do it alone, especially with the question of how exactly to read tick data, and I need help from connoisseurs. I will certainly look into it.
The task, while understandable, was, is and still is a serious one. So I'm just presenting an algorithm for its solution. We will still end up with slightly different options. The rest is up to each of us personally. That's how it is! And we still have much to discuss.
I think the issue of the best method of receiving tick quotes is still unsolved. Even if I have a huge base of quotes archive of another broker, and mine does not keep it, may I use it in my calculations? It turns out all the same - I need to create my own archive?
You don't need ticks, 1 minute is enough, imho. Where to download any archive of Forex, starting with 1 min, I have sent you in a personal message.
And in general, Student was originally invented to collect statistics on a small amount of data.
You don't need ticks, 1 min is enough, imho. Where to download any forex archives from 1 min I have sent you in my personal message.
In fact, Student was originally invented to collect statistics on a small amount of data.
I work exclusively and only with WMA, where weights are calculated from the t2 probability density function of the Student's t2-distribution for that particular currency pair. And to do this I need to know exactly the nonparametric standard deviation of a particular t2-distribution of increments for a particular pair, which I've learned to calculate only numerically from persentiles. Tiresome calculations! But they give a very accurate moving average behaviour.
Alexander, this may surprise you, but the regular SMA on 5-minute bars (right) goes almost identically to your sophisticated one on ticks (left). On the scale of your trades, the difference is almost imperceptible. Where is the "special precision in the behaviour of the average" here?
Alexander, this may surprise you, but the regular SMA (right) goes almost identical to your contrived one (left). On the scale of your trades the difference is almost imperceptible. Where is the "special precision in the behaviour of the average" here?
Thanks. I too would like to see that picture. But I'm too lazy for that myself)).
SMA is of course a frankly bad option at all, if not the worst.))
I wonder if you'll be able to match this one? Till the owner of the branch has not come.) Then I'll delete it to get out of the way.
SZY Yes, I'll tell you, the function is analytic - smooth up to and including the 4th derivative.
Thank you. I wanted to look at that picture too. But I'm too lazy for that myself.))
SMA is of course a frankly bad option, if not the worst.))
I wonder if you'll be able to match this one? Till the owner of the branch has not come.) Then I'll delete it to get out of the way.
ZZY Yes, I'll give you a hint, the function is analytic - smooth up to and including the 4th derivative.
nice work.
Is the formula here?
beautiful work.
Is the formula here?
Very smooth, visually looks like a trace from the right-hand end of the approximation, not a muving)
SMA(8) will do, or LWMA(12). Although the muwings are of course less smooth.
The advantage of the approximation is not in it, imho, but in the fact, that it keeps up with the price, in relation to it (during the window) one can get dispersion more or less adequately.