From theory to practice - page 143

 
Renat Akhtyamov:

Oops.

but it's a flat week.

I will check his algorithm on other data as well - I will not be in a hurry. Who needs faster - let him read the last pages of this thread and do it himself.
 
Alexander_K2:
I will check his algorithm using other data - I will not be in a hurry. Who needs faster - let him read the last pages of this thread and do it himself.

I'm not in a hurry. It's an interesting thread.

I am reading for now.

The trades you have are in the demo anyway. That's the trouble.

I'll wait for the real ones, and then we'll see.

 
Renat Akhtyamov:

I'm not in a hurry. It's an interesting thread.

I'm reading for now.

And with the emergence of odious personalities, I read it with interest myself. It is only a pity that a certain podotr was kicked out by the moderators - they did not appreciate his peculiar humour and talent.
 
Renat Akhtyamov:


You have the trades in the demo anyway. That's the trouble.
My father-in-law regrets it the most, walking around me with exclamations like, "Well? When? When????!!" :)))
 
Alexander_K2:
My father-in-law regrets it the most, walking around me with exclamations like, "Well? When? When????!!!" :)))
He's got a point. The reality is harsh.
 
Vladimir:

Thank you, bas, for the ticks.alpari.org ticks source, which is new to me. There are a lot of them there, and, Alexander, can you imagine, a lot of them because they are given for each of 10 different account types - this is in one brokerage house! This is the first time I've seen such an approach to the issue of storing tick history. Dukas in particular, as I recall, has one instance of ticks. So does gaincapital.


This is because the tick history is first and foremost a dispute resolution tool for the brokerage company.

Like, you see how honest we are (and your transaction was not there), we have logs of all transactions, and they are public.

And secondly, a competitive advantage. We have a tick history and we do everything for our traders to trade successfully.

 

Well, what can I say, my friends...

I analysed the work of the proposed algorithm on my archives, collected using different methods of reading quotes.

The conclusion is as follows:

The model proposed by Vizard works solely and only for the method of reading in exponential time intervals with pseudo-states (I can't speak about uniform time with pseudo-states - I don't have such an archive).

No other methods of receiving data(every tick, not every tick, etc.) are suitable for this model. If someone analyses archive tick quotes using this method and gets negative results - give it up, I have the same.

Now, to explain this competently, I really need to leave the forum for a long time, no fooling around.

Not goodbye.

Respectfully,

Alexander_K

 
Alexander_K2 I was confused by these 2 negative trades - in theory they shouldn't have been there...

According to theory, there just can't be none. The market is a probabilistic process, not a deterministic one, so it is impossible to predict it 100%. You will not be able to get rid of negative trades, but you don't need to - the question is their number, you just need to ensure that they do not outweigh the profit, to put it simply.

Moreover, 100% of profitable trades is an indicator of so called "overcompensation" (=single-dealing). (=self-deception), which ends up in sudden ruin.

 
Alexander_K2:

Well, what can I say, my friends...

I analysed the work of the proposed algorithm on my archives, collected using different methods of reading quotes.

The conclusion is as follows:

The model proposed by Vizard_, is working solely and only for the method of reading in exponential time intervals with pseudo-states (I can't speak about uniform time with pseudo-states - I don't have such an archive)



Algorithm of ticks reception, suitable for the model, can you remind me again? No one is willing to help, I will have to write a program to process the archives myself.

 
Wizard2018:

Can you remind me again the algorithm for receiving ticks suitable for the model? No one is willing to help, I'll have to write a program for archive processing myself.


I used exponentially distributed number generator from this articlehttps://habrahabr.ru/post/263993/.

1. The generator generates value =1, so I read Bid and Ask quotes in 1 second. And it does not matter if it is a "live" quote, i.e. it is a really received value or an "old" one (just this value is considered a pseudo-state and it is very important).

2. I read the next quote through the next generator value = , e.g. 3. And so on.

I take quotations by DDE with discreteness = 1 or more seconds, therefore I add 1 to the value given by the generator and take the integer part.

Генераторы непрерывно распределенных случайных величин
Генераторы непрерывно распределенных случайных величин
  • 2002.08.15
  • habrahabr.ru
Генератор случайных чисел во многом подобен сексу: когда он хорош — это прекрасно, когда он плох, все равно приятно (Джордж Марсалья, 1984) Популярность стохастических алгоритмов все растет. Многие из них базируются на генерации большого количества различных случайных величин. Далеко не всегда равномерно распределенных. Здесь я попытался...