From theory to practice - page 851
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it's strange, why does everyone lose?
Because the only chip against us is the spread.
Have it your way. That's not the point.
The point, I repeat, is that using standard statistical methods to process data will get you nowhere. And Tukey and his methods weren't far from the truth.
You don't want to understand the underlying physical meaning of the Fokker-Planck equation and the like, don't.
But as a lover of statistics, you simply must follow the shape of the distribution using nonparametric methods with a meaningful sample, knowing literally everything about it at the current calculation step.
Amen.
On its own, enthusiasm is a good thing. But if it is not supplemented with a solid knowledge of the basics, the result will only be some analogue of Lysenko.
What about the law about losing a player?
And the law of the player's flush?
If the probability of a favourable outcome is on our side, then the game can last indefinitely against a richer opponent, if not, then the deposit must be infinite, that's all.
If the odds are in our favour, the game can last indefinitely against a richer opponent
Unfortunately, it's not that simple. There is the problem of "infinite drawdown". Any (however large) drawdown will be reached in infinite time with probability one.
Lana. I will try to explain again, because I want to see you as a companion on the thorny path in Hilbert space.
In TC I apply exclusively the median, everything connected with it and methods of calculation of dispersion, kurtosis and asymmetry, different from the standard formulas for the central moments of SV.
All, I emphasize - all values I have have a physical meaning, not just a set of formulas. I can, you might say, see the movements of the price wave packet.
The result in 2 weeks:
Is it good? Or do you need something else?
And it will keep going like this.
I've tried everything, but there's no other way.
In the trends you'll stagnate, in the flat you'll go up.
Unfortunately, it is not that simple. There is the problem of "infinite drawdown". Any (however large) drawdown will be reached in an infinite amount of time with probability one.
If a player has a chance to lose, he is bound to take it :-)
PS. in most abstract "infinity games" there is a huge flaw - loss criterion is defined (reached 0), but there is no gain.
Sasha isn't it interesting to calculate the average kurtosis for all currency pairs? Or have you already looked?
Average non-parametric kurtosis across all pairs, on my tick data, =20.
If a player has a chance to lose, he will definitely take it :-)
PS. In most abstract "infinity games" there is a huge flaw - criterion of loss is defined (reached 0), but there is no winning.
I can please all those suffering from the fact, that as there is no expectation in the market, 95% will sell, and will either live in a trash pit, or work in a factory, but 5% may have infinitely big money from the market. In other words, such that is impossible to even imagine.
Conclusion: The grail exists, full stop.