From theory to practice - page 599
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It's time to pull the plug.
What about those who suffer? After all, it was promised: the Grail to all who suffer. And, in fact, it was repeatedly said that it was already in his pocket.
But for 600 pages, he made it)). That's right, the main thing is to promise. It is not necessary to do. An old, Soviet tradition, starting with academician Lysenko and his ilk.
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. We should analyse something else...
I looked at the 100% probability quantile for the sliding window = 8 hours for GBPUSD:
Take 24 hours at last already and don't bother. I wrote it about 100 pages ago, and I'm not the only one.
This convinces me more and more that there is not and cannot be a pure price fish. You need a kind of transformed BP.
In a profitable trading system, a series that is formed from entry points and exit points is a transformed price series.
What about those who suffer? After all, it was promised: the Grail to all who suffer. And, after all, it was repeatedly said that it was already in their pocket.
But for 600 p.) That's right, the main thing is to promise. It is not necessary to do. An old, Soviet tradition, starting with Academician Lysenko and others.
It's easier to write 600 pages on the forum than write 100 lines of code in the meta-editor.
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. We should analyse something else...
:)
Remind me, do you need a transformed time series (probably related to price or volume or something else) with or without memory?
here's a little closer to the subject...
- Tell me, please, where do I go from here?
- That depends a lot on where you want to go," the Cat replied.
- 'I almost don't care,' Alice began.
- 'Then it doesn't matter where you go,' said the Cat.
- As long as it's somewhere," Alice explained.
- Don't worry, you'll get somewhere," said the Cat.
If you don't stop halfway, of course.
Л. Carroll, Alice's Adventures in Wonderland
- Tell me, please, where do I go from here?
- That depends a lot on where you want to go," Cat replied.
- 'I almost don't care,' Alice began.
- 'Then it doesn't matter where you go,' said the Cat.
- As long as it's somewhere," Alice explained.
- Don't worry, you'll get somewhere," said the Cat.
If you don't stop halfway, of course.
Л. Carroll, Alice's Adventures in Wonderland