From theory to practice - page 685

New comment
 
Сергей Таболин:


I take it he hasn't come out for real?



He was just testing on the real one.

 
Alexander_K2:

It wasn't me, it was Schrodinger's cat. Now let him tell me where the Grail is!

I am not interested in the Grail. )))

 
Evgeniy Chumakov:


He was just testing in real life.

But the topic didn't develop?

 
Сергей Таболин:

But there has been no development of the topic?


It's evolving little by little, not what it was at the beginning and middle of the thread.
 
Сергей Таболин:

I'm not interested in the Grail. )))

Okay. More seriously.

Investigated Wiener and Ornstein-Uhlenbeck process models for their fit with the market for the "return to average" strategy.

The result on the real at the moment is "-3%" profit for 7 months of trading (about 100 trades).

Reason:

- Lack of market antipersistence parameter. Hurst coefficients, skewness and kurtosis of distributions are not working.

Now in operation:

1. Processhttps://en.wikipedia.org/wiki/Variance_gamma_process.

2. Gann theory.

Variance gamma process - Wikipedia
Variance gamma process - Wikipedia
  • en.wikipedia.org
There are several representations of the VG process that relate it to other processes. It can for example be written as a Brownian motion with drift subjected to a random time change which follows a gamma process (equivalently one finds in literature the notation Γ ( t ; γ = 1 / ν , λ = 1 / ν ) {\displaystyle \Gamma (t;\gamma =1/\nu...
 
Is there anyone here who deals with emissions... Of course, again, a relative coefficient is necessary... Too lazy to make it up myself again))
 
And unfortunately. Until they start making a concrete trading system from theory to practice it seems to me to be out of the question...
Only theory - only hardcore)
 
Martin Cheguevara:
And unfortunately. Until a concrete trading system from theory to practice seems to me to be out of the question...
Only theory - only hardcore)

Until a reliable parameter of market persistence/antipersistence is found, all is nonsense and flub.

 
Alexander_K:

Until a reliable parameter for market persistence/anti-persistence is found, all is nonsense and flub.

Until areliable insider is found, it's all nonsense and flub.
 
Vitaly Muzichenko:
Until a reliable insider is found, it's all nonsense and flub.

there will be no insider on the forecourt

Otherwise it will turn out that buying does not equal selling and other tricks will come out...

1...678679680681682683684685686687688689690691692...1981
New comment