From theory to practice - page 390
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Also unfinished.
Who did I write this for?
So, in your opinion, HIGH-LOW or CLOSE-OPEN is a stationary process (and, by no means, a return). Is that what it is?
So, according to you, HIGH-LOW or CLOSE-OPEN and is a stationary process (and, by no means a retournee). Is that it?
so check
Been using it for two years now
HIGH-LOW - ABS(CLOSE-OPEN)
I don't know what you do with it.
You have yours, I have mine
Go back to the screenshot I posted in the previous post, apply the formula virtually
and see if you get it.
Personally, I did the opposite - i.e., I looked first, then the illumination, and then the formula.
)
I'm not interested in flat (noise), i.e. green and black line as seen on your screenshot:
Forum on trading, automated trading systems and strategy testing
From Theory to Practice
Alexander_K2, 2018.06.04 20:53
Example of a calculated channel for EURUSD last week:
Nice, isn't it?
Why should the system work on ticks but not on zigzags?
Take the formed zigzag tops and consider it a tick. And the velocities are easily counted.
This is what I need to make sure of.
Every second I calculate the arithmetic mean of AMB(ABS(return))/T.
Here, at T -->to infinity, this value should become almost a constant. No? But, that's the question.
Alexander, take the ticks of DTs with 4-digit quoting. There, ABS(return) is almost always 10, and the sum is 10*Number of ticks. And make conclusions about what in this case "this speed" will be, which is actually responsible for the volatility of the pair. The swing, the amplitude of the movement - whatever you want to call it". Because I showed you for 35 DTs for 25 instruments, how they give different numbers of ticks (in the range of 80-1500 thousands) in the same week (T is the same), including (in the smaller range) for the same instrument. Do you suppose they gave different volatility for the same instrument?
This leads to the following conclusion: when working with this return, you analyze not the properties of Forex, but the properties of procedures for generating packets with rates for the terminal in each brokerage company. And these procedures depend on many things, including the orientation of brokerage companies towards clients working with mobile devices, smartphones or tablets - their traffic is more expensive, and they better send packages less frequently.
so check
I've been using it for two years now
HIGH-LOW - ABS(CLOSE-OPEN)
I just don't know what you do with it.
Um...
First, let's try to figure out what this formula gives us. I'm writing from scratch, so I may be wrong somewhere.
1. (HIGH-LOW) - sample spread, for example, on the M1 TF. A non-parametric measure of dispersion. The mean, with a huge sample size, is practically = const. (proven by me, no applause necessary).
2. ABS(CLOSE-OPEN) - free run length. On average, also some kind of constant.
3. HIGH-LOW - ABS(CLOSE-OPEN). What's that?! If we imagine a "box with whiskers" (boxplot), it is the sum of distances between the body of the box and the "tips of the whiskers". And Rena claims that this sequence is stationary. That is, according to Kolmogorov, we can predict the next value with high accuracy.
So?!
We cannot predict separately (HIGH-LOW) and ABS(CLOSE-OPEN), due to their non-stationarity, but we know their average values at huge sample sizes...
We need to think about it. I can't suggest an algorithm right away...
You may be right, Nikolai. But, I have a vivid example before my eyes - Novaja (alas, she must have left this forum...).
A person who is quite proficient in mathematics has given 3 years(!!!) to the study of Renko and Kaga. Hard work! The result is zero.
I know her level of preparation from personal correspondence - if she failed, there's nothing to do there. IMHO.
Theorist in general is a strange illogical field of knowledge.
Thousands of white swans barely changes the probability of a black swan's existence.
But one black one changes everything.
Just because Novaja hasn't found anything doesn't prove anything. If she had, it would prove everything.
I found it.
Theorists in general are a strangely illogical area of knowledge.
Thousands of white swans barely change the probability of a black swan's existence.
But one black one changes everything.
Just because Novaja hasn't found anything doesn't prove anything. If she had, it would prove everything.
I found it.
Put out a signal. We'll sign off.
Put out the signal. We'll sign up.
Go to the Z for a permanent residence, you have never heard of the forum, we have been building Grails here before.
ZS Don't get upset, 10,000 sleepless nights and the Grail is in your pocket.
Go to the RZ for a permanent residence, you have never heard of the forum, we've built Grails here before.
ZS Don't get upset, 10,000 sleepless nights and the Grail is in your pocket.
:))) No, I just got out of there. I can't live without the Grail. And I'll find it.
I will have to think how to season this dish further. By the way, on different currency pairs the speed value at the same sample differs by 0.001 pips/sec