From theory to practice - page 64

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What kind of dust? We haven't seen a single test yet, so nothing has crumbled or is going anywhere)

 
Alexander_K2:

OK. I'll disappear for a while - I need to learn how to get OPEN archives out of MT4 and work with them.

The programme I have now is a total crap! And there's no t2-distribution and I need to work with OPEN prices, not ticks... I believe in the theory unconditionally and I'll correct the program. Hence the title of this thread. EVERY solution must be justified theoretically, otherwise there is no way.

I do not understand you. Why archive separately and capture current data separately? In the terminal script, do the rounding and write it in your file during the week. To work, use it as a tail part of the archive, on weekends you can merge this tail with the main part of the archive with the command copy MyArchDat.csv + MyWeekDat.csv NewDat.csv, check it, then copy NewDat.csv to MyArchDat.csv. The archive will grow weekly, weekly data will increase on weekdays and will be cleared on weekends.

Better yet, keep both historical and current data separated into daily files. Then there is no need to merge anything, and you will not have to keep it in memory for more than a day.

 

Young Technician magazine, 1984 No. 08))


 
Олег avtomat:

Read it carefully and try to make sense of it.

Quote in expanded form :


Uh-oh!

+100

 
Yuriy Asaulenko:

Somewhere in the beginning of the thread, Alexander wrote that the market is self-similar. That is, it has the same properties at different timeframes.

To find it out, I took several MAs with significantly different periods, plotted them on TF 1m, and calculated distributions with respect to them. It can be done quickly enough in the same R.

If the market is self-similar, then distributions should overlap when scaling up. It turned out that they don't, distributions differ significantly, i.e. the market is not self-similar.

Hence, it follows that strategies operating on different time scales cannot be moved to another one by scaling, and probably in some cases they cannot be moved at all.

Non-similarity also confirms that strategies operating on different time scales are very different in technique. Say, scalping, intraday, short and medium term strategies, and long term strategies are all very different trading techniques.

Perhaps it's all trivial, but I hadn't thought about it before.

According to the thread, Alexander's strategy is "rare trades that last for hours", although we don't know this for sure, as we only had a demo in front of us.

My activities are in a different time scale of trading, and with no market self-similarity, it's a different technique altogether. In short, not my sector of the market).

In other words: it's ridiculous to give advice to Rolls Royce traders when you yourself are trading sauerkraut. The reverse is also true, by the way.

I've written before that self-similarity is not identity! markets are totally self-similar there's no doubt about it, but they are not identical to themselves

those who have not studied the subject may find this statement absurd.

of course strategies work differently on different timeframes and the distribution may be different or be similar, this does not cancel the self-similarity or confirm it

look at self-similarity at least from the point of view of risk distribution - at any timeframe the chance to get a large deviation is the same, i.e. the risk of getting a loss is the same

You have to understand that the term self-similarity appeared in fractals and is applicable to both Brownian motion and fractional Brownian motion, which are different processes... And you seem to operate with the notion of Brownian motion in relation to the market

 

Alexander_K2:
Но, теперь же видно, что это создало массу проблем - разные тиковые потоки и т.д. и т.п. И не докажешь, что в такой-то момент времени (в миллисекундах!!!) было то или иное значение. А цена OPEN это ведь железная вещь. Правильно?

Nikolay Demko:

You can prove it. The DC makes the database publicly available, and anyone is free to download it. If the DC changes the tick after the fact, it can be proved through exprtise/analysis of files stored by users.

HOWEVER, in the past it was like this: you have recorded something there yourself, we do not believe your data, our data stored on the server is the most correct. And you can't prove anything.

If you suspect that the broker draws quotes, check the data quotes from other brokers not interconnected with the inspected. You may identify the unreliable broker and just switch to a more reliable one.

 
SEM:

If there are suspicions that the broker is drawing quotes, have you checked the quotes from other brokers that are not related to the one being checked? You can identify an unreliable broker and simply switch to a more reliable one.


There is no such thing as a fair quote in forex, you should remember that :)

 
Maxim Dmitrievsky:

there is no such thing as a fair quote in forex, you should remember that :)

it's for that case that complain the DC is purposely generating ticks (knocking out stops), what else is the point of the author researching ticks?

 
Maxim Dmitrievsky:

There is no such thing as a fair quote in forex, you should remember that :)

The main thing is that they (quotes) are not personal, why should we pay so much attention. :)))

 
SEM:

this is the case when you complain that the brokerage company specifically generates ticks (knocking out stops), what else is the point of researching ticks for the author?


the same can do LP, and DT will just retransmit them... in the market everyone tries to knock out stops for each other, it also depends on the market maker's algorithms

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