From theory to practice - page 487

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Here's what I ended up with, see if it's any good or throw it away.
 
Evgeniy Chumakov:


I see, and I made an increment and then counted the amount. I see something's wrong. Then I calculated the sum from those sums again.

And if you look at these readings by themselves without summing up anything useful? At a glance there when going beyond +- 0.00060 the price comes back.

Nothing.

Here you touch upon the fundamental question - why, in fact, should it come back?

The time series of increments or the sum of them, or just the prices at the moment of entering the trade must have unique characteristics, like for example the Ornstein-Uhlenbeck process https://en.wikipedia.org/wiki/Ornstein-Uhlenbeck_process where the distribution of increments is Gaussian and the ACF is exponentially decreasing. It is precisely the extraction of such processes from forex that I am concerned with.

Perhaps there are other guarantees given by Hurst or something else, but I just don't have the energy and time to do everything...

But, just getting beyond a certain level does not guarantee anything, that's 100%.

Ornstein–Uhlenbeck process - Wikipedia
Ornstein–Uhlenbeck process - Wikipedia
  • en.wikipedia.org
The process can be considered to be a modification of the random walk in continuous time, or Wiener process, in which the properties of the process have been changed so that there is a tendency of the walk to move back towards a central location, with a greater attraction when the process is further away from the center. The Ornstein–Uhlenbeck...
 
Alexander_K2:

But, just getting beyond a certain level does not guarantee anything, that's 100%.

I agree.

 

I think I've done what you've calculated.

By the way, I can take data from other pairs if you need it.

 
Alexander_K2:

This is where you raise the fundamental question - why, in fact, should it come back?

But, just going beyond some level doesn't guarantee anything, that's 100%.

If so, you need to stop doing this distribution nonsense and start calculating the trend, because that is the only thing that affects the result.

 
Andrei:

If so, we need to stop doing this gibberish with distributions and start calculating the trend, because that's the only thing that affects the result.

Well, this is one direction, one of the three roads to the grail.

I have repeatedly suggested and asked experienced traders who know a lot about physics and mathematics to open subject branches. Discuss something, give hints to feeble-minded people, etc. The answer came back - have you lost your mind? We will not share knowledge and money with anyone. Is that Russian?! OK, here we go again with the flubbing...

 
Alexander_K2:

I have more than once suggested and asked experienced traders who know physics and mathematics to open topic threads. Discuss something, give tips to the weak-minded, etc.

So it has already been discussed that physics in forex is the same as dementia. You have to honestly acknowledge this fact in the beginning. ))

Learn to think with a clean slate without any auxiliary physical crutches and then maybe you'll get spiritual enlightenment. ))

 

The data I counted (and if I counted correctly) shows this graph for the last 2900 minutes

 
Evgeniy Chumakov:

The data I have calculated (and if I have calculated correctly) shows this graph for the last 2900 minutes

It would be a good idea to attach a chart of price and/or sum of increments in the sliding window.

 
Alexander_K2:

It would be a good idea to attach a chart of the price and/or the sum of the increments in the sliding window next to it.

I join the advice
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