From theory to practice - page 489
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I apologise for the insolence, but if also as here https://www.mql5.com/ru/forum/221552/page486#comment_8512342 only here with different data (attached)
Will this deal be there for sale and in general worse or better than the last option.
I apologise for the insolence, but if it is the same as here https://www.mql5.com/ru/forum/221552/page486#comment_8512342 but with different data (attached)
Will this deal be there for sale and in general worse or better than in the last variant.
Here in the 3rd column the sums of the increments are obvious:
Frankly speaking, it's not quite clear how you form the 3rd column in both 1st and 2nd case...
But, that's not the main thing - let that be your know-how.
The most important thing is to publish:
1. graph of the price
2. graph of the sum of increments (or whatever - velocities, angles, etc.)
3. A graph of the "memory" of the process - Hurst, ACF, non-entropy, etc.
It is important that readers and, in fact, the researcher himself can see the possibilities of one or another parameter.
I am extremely interested in the 3rd point and am not interested in anything else at all.
So which case is more promising, the first case or the second? By the way, were there any deals in the second case?
We need to decide where to start.
So which case is more promising, the first case or the second? By the way, were there any deals in the second case?
It is necessary to determine from what to dance.
:))))
1. How can I calculate the variance if you give the amount of increments but no increments?
2. it makes no sense to enter a trade without taking into account "memory". All my trading experience literally screams that.
In my opinion, the second case is more promising.
D=s^2=c*lambda*t,
where:
c=SUM(|returns|)/t - speed
lambda=SUM(|returns|)/N - average increment
N - number real ticks in the time window
t - time in seconds.
I'm wondering how to calculate the variance if in fact c and lambda in my case are the same. t is 1440 minutes and N is the same.
I'm wondering how to calculate the variance if in fact c and lambda are the same in my case. t turns out to be 1440 minutes and N the same.
In essence it is. And I don't, as I work with ticks, and also with exponential time.
That's why I'm waiting for you to say: "No, I cannot use OPEN/CLOSE on minutes. This is bullshit! ACF (Hearst) is calculated incorrectly and there is no and cannot be a uniform time scale in the market. I'll switch to (HIGH-LOW) or something else..." :)))
Nothing.
This is where you raise the fundamental question - why should it actually come back?
The time series of no matter what - the increments or their sum or just the prices at the time of entering the trade must have unique characteristics, such as in the Ornstein-Uhlenbeck process https://en.wikipedia.org/wiki/Ornstein-Uhlenbeck_process, in which the distribution of increments is Gaussian and the ACF is exponentially decreasing. It is precisely the extraction of such processes from forex that I am concerned with.
Perhaps there are other guarantees given by Hurst or something else, but I just don't have the energy and time to do everything...
But, just getting beyond some level does not guarantee anything, that's 100%.
Likewise, neither ACF, nor Hurst, nor any other function or factor guarantees anything -- and that's 100%.
The market is not static. it's dynamic. It's a multi-frequency process. But you don't realise it yet.
Similarly, neither the ACF, nor Hearst, nor any other function or factor guarantees anything -- and that's 100%.
The market is not static. it is dynamic. It's a multi-frequency process. But you don't realise it yet.
The girl has splayed out her pretty hands:
- Well, how am I supposed to treat him, citizens?
- "Castor oil," said Toad from the underworld.
- Castor oil! - The owl in the attic laughed scornfully.
- Either with castor oil, or not with castor oil," muttered the Mantis from outside the window. (c) Tolstoy.
Don't go to extremes. The market is both a statistic and a dynamic.
Similarly, neither the ACF, nor Hurst, nor any other function or coefficient guarantees anything -- and that's 100%.
The market is not static. it is dynamic. It's a multi-frequency process. But you don't realise it yet.
...
Don't go to extremes. The market is both statistics and dynamics.
Static is NOTstatistics.
These are different things. One is warm and the other is soft. Well, I hope you know what I mean.Static is not a statistic.
Ah, sorry. I read it wrong.