From theory to practice - page 435
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I suspect that, when calculating in the time window, you only use the increments that are above/below a certain value. Right?
If so, I am increasingly inclined to believe that one should accept tick data at time intervals (uniform or exponential) >= such that each tick is >= 0.0001.
Such a solution would be physically and mathematically sound.
Yes, gmt+3.
Eugene, something's not quite right with me... I think, you've found the grail faster than I did with your clever price transformation - similar to mine, but still not the same.
I, for example, did not manage to catch the upper break of the channel, only the lower one.
Bravo!
Man, if you were Rena, I'd scream: "Give me the Grail - I'm his daddy!" but here I just, respectfully, take my hat off.
)
Of course dad, I'm not even going to argue
What is your server time? gmt+3 ?
I checked on this pair, I had the following picture.
First you break through the lower channel, then immediately the upper one.
Judging by the result, you should enter after the first breakout. Stop by the size of the breakout candle, take twice as big.
Ignore the second candle either because of the previous one or .... I didn't get to the filters, I spent time on other experts.
More than convincing.
Gianni, you are a beauty after all!
Gone to write your chip.Rena, no kidding - the Grail has been found.
In fact, looking at the sum of the increments in the time sliding window, we have an Ornstein-Uhlenbeck process with a return to the mean.
You just have to keep a close eye on the process parameters and at the moment when there is a difference between the current parameters and the table parameters for the classical O-U-do not trade.
Tears of joy and love of money are pouring from my eyes....
Rena, no kidding - the Grail has been found.
In fact, looking at the sum of the increments in the time sliding window, we have an Ornstein-Uhlenbeck process with a return to the mean.
You just have to keep a close eye on the process parameters and at the moment when there was a difference between the current parameters and the tabulated ones for a classic O-u-do not trade.
Tears of joy and love of money are pouring from my eyes....
Wait a minute, I'm getting into it.
let's say I've got this so far, can't find the error:
Wait a minute, I'm getting into it.
Let's say I've got this so far, I can't find the error:
The variance seems to be calculated correctly.
The sum of the increments in the time window is not. It's <0 all the time, how is that?
The variance seems to be calculated correctly.
The sum of the increments in the time window is not. It's <0 all the time. How is that?
I found a bug.
Here it is:
Well, the same can be done on ticks naturally
This thing should work in any time window. The smaller it is, the bigger the trades. You just need to reduce the confidence interval a bit.
And do not forget to keep an eye on the secret parameter:)) Which one? Read about the O-Y process and its characteristics, which, in fact, provides a return to the average.
But, Eugene has even worse idea. But, I can't explain his conversion - I don't understand it.
This thing should work in any time window. The smaller it is, the bigger the trades. You just need to reduce the confidence interval a bit.
And do not forget to keep an eye on the secret parameter:)) Which one? Read about the O-Y process and its characteristics, which, in fact, provides a return to the average.
But, Eugene has even worse idea. But I can't explain his conversion - I don't understand it.
Checked, since June 15 on EuR 3 trades, all in the plus