From theory to practice - page 24
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Have we solved the problem yet? Not yet. It's very serious, even though I try to stick to a clear and non-academic style of presentation.
Bollinger, a mechanical engineer, solved it and it's quite a decent technical solution. The academic approach is good, of course, but it gives very little , and remains a variation on the Bollinger theme.
That's right. And it's a good solution... It would be... Try using Bollinger ONLY and you'll be out of your trousers.
I repeat Bollinger bands arejust the SNOW+DIFFUSION in an integro-differential equation. Where is the integral component???
I answer - the integral part lies in historical data, and the more you consider them the better. That's how it is!Have we solved the problem yet? Not yet. It's very serious, even though I try to stick to a clear and non-academic style of presentation.
Formulate the problem clearly.
In a clear and academic style.
Because it is still not clear, make it clear: WHAT you want to see in the output of your research.
Thinking back on past discussions.
Formulate the task clearly.
In a clear and academic way.
Because so far it is not clear, make it clear: WHAT you want to see in the output of your research.
Oleg, I cannot do it academically - there is not enough time. I'm still working (I'm writing right from work) and programming.
But, in a nutshell - we calculate the probability of a price being in a certain price range at a certain moment in time, namely, the numerical representation of the probability density function of the price value. It is described by an integro-differential equation of motion. By the way, very similar to the equation of motion of an actuator in control systems, aren't you an automaton operator?
It makes sense to discuss any issue at three levels of abstraction.
The main one is the substantive level. This level discusses WHAT is being done.
The more general level is the goal setting level. It deals with the question of WHY things are done.
The lower level is the implementation level, its subject matter is the question of HOW things are done.
Explain,
1) WHAT is done?
2) WHY is being done?
What is the ultimate goal?
That's right. And it's a good solution... It would be... Try using Bollinger ONLY and you'll be out of your trousers.
I repeat Bollinger bands arejust the SNOW+DIFFUSION in an integro-differential equation. Where is the integral component???
I answer - the integral component lies in historical archival data and the more you take it into account the better. That's it!And you, Brutus, have sold out to the Bolsheviks.(c) What other history, history is only needed as a statistic, and no more. And not for very long - statistics change.
Picture.
x - time, y - price, z - distribution density. Same graph, only by z-density of probability. Walk from peak to peak and fluctuate around it. Then quickly go to the next one.
And everything evolves in time.
There is no integral component ahead - it will go unpredictably in any direction. Just like in Wiener process - best prediction = current value.
And you, Brutus, sold out to the Bolsheviks.(c) What history, history is only needed as a statistic, nothing more. And not for very long - statistics change.
Picture.
x - time, y - price, z - distribution density. Same graph, only by z-density of probability. Walk from peak to peak and fluctuate around it. Then quickly go to the next one.
And everything evolves in time.
There is no integral component ahead - it will go unpredictably in any direction. As in a Wiener process - best prediction = current value.
Remembering past discussions.
No, Mikhail - it is the time intervals between ticks that we need a histogram. Eventually we have to reduce everything to a finite-difference equation scheme with a certain sampling time T. What will be the sampling time if we read EVERY tick? The answer is none. No equation can be solved in this case. Well, there you go!
And I'm telling you - there is an integral component(THIS IS THE NEMARCUS PROCESS!!! unlike the Wiener process) and I'll prove it in practice! I don't have time for theory anymore.