From theory to practice - page 241
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One thing I can tell you is that the most successful orders are lying on levels
At maxima.) A level is usually a flat, and it is unknown where it will go next. And on max-minas you know - in the opposite direction.))
At max minima.)) The level is usually a flat, and it is unknown where it will go next. And on max mines you know - in the opposite direction.))
Whoa, whoa, whoa, whoa.
Just beware of Zig-Zag.)) But distributions like A_K2's identify almost unmistakably.
Just beware of Zig-Zag.)) But distributions like A_K2's identify almost unmistakably.
What's wrong with zig zags?
What's wrong with zig-zags?
There's nothing wrong with it. It's just not suitable for this case.
Just beware of Zig-Zag.)) But distributions like A_K2's identify almost unmistakably.
Can't you build a distribution from zz?
Just beware of Zig-Zag.)) But distributions like A_K2's identify almost unmistakably.
Can't zz be used to build distributions?
If it's me, I don't know, I haven't tried. Generally, the distribution should be built from the detrend, like a regression line - we kind of remove the deterministic component.
Alexander, can I ask you a question? Please correct me if I'm not correct, you select such an optimal (minimum possible) sample size to see the confidence interval of probability density function, as I understand now two functions of distributions, you calculate variance by this sliding window together with the trading intensity coefficient. All calculations are based on tick increments of price. Well, ticks are kind of a primary source of information (unfortunately, we have no other). But because there are problems with tick data (I won't go into details), when we switch to minutiae (we always have a large data history), the trading ratio becomes invalid? After all, we receive data every minute, we have increments, how in this case? It turns out that the sliding window of sample size increases dozens of times? And if we go in the opposite direction and switch to an interval shorter than a second, then the sliding window will decrease, and the trading intensity factor will increase?
Exactly. Absolutely correct way of thinking.
Alexey, if you have reviewed Shelepin's work, can you explain the meaning of parameter C? Is it a constant?
In other works of the same authors, I have seen contradictory information:
1. The parameter itself has no meaning, only the value of C/lambda is defined as the jump frequency.
2. The parameter C is a constant, by analogy with the speed of light in a vacuum.
Now I'm setting C is a constant, = 0.0001, but I doubt it...
In my opinion, it's still some calculated parameter and it's different for different currency pairs.
If, at your leisure, take a look at it and give your opinion, I would be extremely grateful.