From theory to practice - page 598
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The further I go, the more I am convinced that this is a gathering of mathematical theorists.
Where's the practice?
You're blaming me, aren't you? A strong practitioner? He gets convinced... do you think it's better to be ignorant, but a practitioner, so that there are less of those who get convinced?
"smart people"... practicing ignorance and ignorance...
A couple more interesting conversions
1.
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2.
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3.
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A couple more interesting conversions
Don't get wise, point with your finger. (с)
Don't get wise, point your finger. (с)
:)
More literature on BP filtering.
REFLEXIVE TIME SERIES FILTERINGThe transformation is reflexive due to the presence of feedback, which introduces additional recurrent (reflexive) memory characteristics into the filtered time series (in the filtered time series the future is determined by the past much more strongly than in the original).
More literature on BP filtering.
REFLEXIVE TIME SERIES FILTERINGThe transformation is reflexive because of the presence of feedback that introduces additional recurrent (reflexive) memory characteristics into the filtered time series (in filtered time series the future is determined by the past much more strongly than in the original).
It doesn't work, it's just writing, that's all:
If you write out all the stages of reflexive transformations in sequence and
perform all necessary simplifications, then the result is always every element of the time
Y { y , , yn } = 1 represent as a linear combination (weighted average)
elements of the original time series { } n X x , , x = 1 :
the whole point of this research is to say that if we take a MACD from a MACD... you'll get the MACD anyway )))
I remembered the aforementioned digital filters in this scribble;@Peter's developments were quite good; he posted codes in topics and kodobase contains his works as well, i.e. filtering from previous values
I looked at the 100% probability quantile for the sliding window = 8 hours for GBPUSD:
Crazy... That is, over time we "see" a rampant change in the price probability density function (I emphasize - price, not the sum of increments), when the quantile of 100% level, covering 100% of quotes in the sliding window changes from 1 (actually all data is inside the standard deviation) to 5.5.
It is time to wind up.
I looked at the 100% probability quantile for the sliding window = 8 hours for GBPUSD:
Crazy... That is, over time we "see" a rampant change in the price probability density function (I emphasize - price, not the sum of increments), when the quantile of 100% level, covering 100% of quotes in the sliding window changes from 1 (actually all data is inside the standard deviation) to 5.5.
It's time to reel it in.
Time to start thinking.
SO
And GBPUSD is very good to trade.I looked at the 100% probability quantile for the sliding window = 8 hours for GBPUSD:
Crazy... In other words, over time we "see" a rampant change in the price probability density function (I emphasize - price, not the sum of increments), when the quantile of 100% level, covering 100% of quotes in the sliding window changes from 1 (actually all data is inside the standard deviation) to 5.5.
It is time to wind up.
It is not clear, i.e. grows by a factor of 5.5?
On average, quantile = 2.41 (recall that for a normal distribution the quantile of 99% of data = 2.5758 for a two-sided test and 2.32 for a one-sided test).
In other words, "on average" we are dealing with approximately normal distribution.
But if we look at a "slice" of the probability density function at a particular point in time for a moving set of data, it is impossible to tell what kind of distribution we are facing.
I repeat - we are talking about pure price now.
This convinces me more and more that there is not and cannot be any fish in pure price. What is needed is some kind of transformed BP. The sum of increments is just a special case of transformation. Something else would have to be analysed...