From theory to practice - page 1106
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Alexander, what about entropy, abandoned?
How was it supposed to be applied?
Forum on trading, automated trading systems and trading strategies testing
From Theory to Practice
Alexander_K, 2019.02.08 14:06
https://habr.com/ru/post/305794/
It's all there. When the entropy of the process is -->0, then we are sitting in a trend.
Obviously, when the entropy of the process is-->0, then there is deterministic movement and one can make money on the trend.
It's not that I've abandoned everything - but, I won't enter the market again without an insight, a brilliant idea.
Only a Bass or an Automaton can do that - for decades (!!!! I feel horror and awe at the same time) to look for patterns in the market.
Can you do as I tell you or not? It's not hard... No means no.
So why delete messages with a formula? It's definitely upside down...
So why delete posts with a formula? It's definitely upside down...
I must have drunkenly posted it.
For some reason I thought he was drunk yesterday and copied the post in case there was a storm in the thread.
;)
Obviously, when the entropy of the process is -->0, there is deterministic movement and one can make money on the trend.
It's not that I've abandoned everything - but, I won't enter the market again without an insight, a brilliant idea.
Only a Bass or an Automaton can do that - for decades (!!!! I feel horror and awe at the same time) looking for patterns in the market.
I do not agree, as "memory" may also be present in a flat, as far as we know from the articles
interesting thoughts on ACF. AEF, if you like.
I disagree, as "memory" can also be present in the flat, as far as we know from the articles
Interesting thoughts on ACF, AEF, if you like.
To be honest, I can't see how ACF can be applied to the market.
I've been working with the autocorrelation coefficient between increments:
Looking at price behaviour for different N for positive and negative values of this coefficient.
Bottom line - nothing, no direct correlations. Works worse Than asymmetry and kurtosis.
Frankly, I have no idea how the ACF can be applied to the market.
I have been working with the autocorrelation coefficient between increments:
Looking at price behaviour for different N for positive and negative values of this coefficient.
Bottom line - nothing, no direct correlations. Works worse Than asymmetry and kurtosis.
On pure VR the ACF does not work properly, that's why I wanted to see how the AEF would behave with the same data, I'll finish the experiment soon
So I used that formula to calculate X for those sections before the lines crossed, and this is what I got.
It's not that I've abandoned everything - but, going out into the market again without an insight, a brilliant idea, I won't.
Only a Bass or an Automaton can do that - for decades (!!!! I am horrified and in awe at the same time) to look for patterns in the market.
And in physics, do you also sit around for years waiting for a brilliant idea?
Or do you go to work every day and quietly research?
Obviously, whenthe entropy of the process is -->0, then there is deterministic movement and you can make money on the trend.
And what is the entropy of a triangular signal equal to, as you understand it?
So why delete messages with a formula? It's definitely upside down...