From theory to practice - page 456
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By the way Alexander! Maybe the reason why your profits circle around zero is that you don't use MM. Losses eat up profits and it's good to be at zero.
Nah. There's nothing wrong with MM.
Can't cope with ACF - its discrete estimation is incorrectly considered.
There's nothing to be done in the market without memory consideration.
It turns out that I have been trying to make money on pure random wandering so far. Bottom line - expectation of profit is strictly =0. Sad, sad, sad...
Question for respected radiophysicists:
Is the ACF for a discrete signal calculated when the time shift of the signal copy deltaT = const or, after all, can deltaT be a variable?
I beg you, comrades, gentlemen of radiophysics!
Please help me to solve this question!
According to the rules deltaT=const, but I'm like a lion clinging to Erlang's flows to receive tick quotes and my deltaT is a variable that has an Erlang's distribution. It turns out that in this case, I can't use ACF formulas for the discrete signal at all and I have to switch to a uniform readout. Right?
I'm willing to go for it, though I'm madly sorry for six months of work on these miserable streams...
But, without an ACF, it's no good...
Can't deal with ACF - its discrete estimate is not correctly counted.An opinion...
All sorts of filters need to be counted for the period from the start of the movement to the current moment.
And if this start of movement is not in the observation window or not correctly defined, then ...?
Question for respected radiophysicists:
Is the ACF for a discrete signal calculated at signal time shift deltaT = const, or can deltaT still be a variable?
Doesn't it feel like something's wrong from the start? And whatever you add to that "wrong". the result is still not the same!
Everything should already be accounted for in the variance. Imho!
Martin Cheguevara says that we are going the wrong way.
Maybe not that one :)))
But, my goal is to make a formalized TC, according to already discovered and described physical processes and formulas. So that everyone can open a book on physics or mathematics on a certain page and make sure that the calculations are done correctly.
Naturally, as far as the physical description is concerned, analogies and assumptions are assumed, but the mathematical apparatus within this framework should be as rigorous as possible.
Everything should already be accounted for in the variance. imho!
That would be the ideal solution.
Alas... I have not been able to solve this problem...
In fact, it would have meant solving the problems with the "floating" size of the sliding window and the distribution sitting in it...
Once again - alas...
I have a strictly defined window size and the assumption that, in the limit, a normal distribution sits in it.
All attempts to "catch" tails, i.e. to determine which distribution currently sits inside the window, have failed.
That leaves us with a formal solution - to use ACF. There is no other way.
Although, maybe you can do something with it. I'm just an old man, it's time to make room for youth :)))
Alexander_K2:
Maybe you can do something about it, though. I'm just an old man, it's time to make way for the young :)))
It's high time - it's time for us youngsters to make way!)
Martin Cheguevara says that we are going the wrong way.
He's right. Everything is much simpler. You will understand the essence and logic of the market, you will not torture yourself and the mathematics, expecting the impossible from it.