ZigZags Shepherds - page 2

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A zigzag is literally two lines of code. Then we turn on simple peasant logic, and independently collect various statistics of zigzags, then see what of it has predictive abilities, look for clusters, clusters, groupings, etc.
Argolab's article rules because it's simple, even though it's entry level. If we want to make a profit, we need to dig deeper. And abstruse mathematics a la Pastukhov is completely unnecessary, imho.
By the way (Pastukhov) it seems still discussed at forex.kbpauk.
I also recommend to think about an "optimal" zigzag, which at any given moment optimally corresponds to the current volatility. Because it (volatility) varies, and has patterns within days, weeks, months, around news, etc. But a zigzag with a constant threshold is weakly adequate to the market, especially intraday.
Any metric in the form of a single number is a hospital average (>2, <2, etc.). You have to take it as a time series and look for statistical heterogeneity. Whether it's Hearst, H-volatility, or whatever.
 
Alexey Volchanskiy:

This is "Woe of Wit" in the highest degree of purification. A purging of the connection to reality.

Well, I'm not going to get into it.)

 
Novaja:
Dear Assembly! Please don't judge strictly, be a little indulgent, mostly here dwells a severe scholarly carriage, and I am a modest housewife, with some questions concerning Pastukhov's thesis. Please respond to those who are interested in zigzagging.

Why can't the theory be verified by mathematical calculations?

 
Thank you, bas, I only found very little on the spider, I'll look for more, I must have searched badly. I agree, Pastukhov himself writes that H-volatility is a fractal characteristic, and the degree of market activity (volatility) is shown by H-inversion.
 
Aleksey Vyazmikin:

Why can't the theory be mathematically verified?

As if everything in the thesis is calculated, proved , and the description of the models assumes a one-step model with positive average return with zero initial capital. Only in this case we need to look for a market with larger deviation of H-volatility from 2, in the case of currency market the positive return fluctuates in the spread limit. It is clear that in this case a different approach is needed.

 

Poor Zig-zag. It's endowed with mystical properties, but it's just an algorithm for replacing a vertex with a more significant one. That's all.

Just write a program to build a zig-zag using the values of an arbitrary indicator and investigate any patterns.

You'll get a zig-zag without parameters.
 
Алексей Тарабанов:

Poor Zig-zag. It's endowed with mystical properties, but it's just an algorithm for replacing a vertex with a more significant one. That's all.

Just write a program to build a zig-zag using the values of an arbitrary indicator and investigate any regularities.

ZZY You get a zig-zag without parameters.

It comes to mind. I have a customer, a great guy from Kiev, but at that time he did not know much about programming and indicators, although he learned it from me (only about programming).

I asked him to write a robot blank using zig-zag. He wrote me pretty clear TOR, but the guy was smart, just had little experience. I asked him to write a blank copy of the robot's rules, and he sent me the terms of reference. But the trouble is, the zigzag redraws the last peak.

- I hadn't noticed!
- OK, let's write a simple Expert Advisor as part of the tutorial, we'll put X's on the tops.

When he saw a bunch of crosses hanging in the air, he got sad. I say - there are a lot of fools in forex who squeal that because the indicator is overdrawn it means that it is worthless. But it is not so, fugu fish is poisonous, you just need to know how to cook it ))

 
Novaja:

with zero initial capital

Um... how does this relate to reality?

Still, there are clever conclusions calculated on a stretch of time in the past, why not solve the problem for modern history and see if the conclusions are correct?

I'm just messing around with the standard ZZ myself at the moment and no consistent patterns are found - there are more profitable patterns, some less so, but no clear-cut answer... Perhaps more data is needed to classify the patterns.

 
Alexey Volchanskiy:

It comes to mind. I have a customer, a great guy from Kiev, but at the time he did not know much about programming and indicators, although he was trained by me (only in programming).

I asked him to write a robot blank using zig-zag. He wrote me pretty clear TOR, but the guy was smart, just had little experience. I asked him to write a blank copy of the robot's rules, and he sent me the terms of reference. But the trouble is that the zigzag redraws the last vertex.

- I hadn't noticed!
- Okay, let's write a simple Expert Advisor as a part of training and put X's on the tops.

When he saw a bunch of crosses hanging in the air, he felt sad. I said: there are a lot of fools in forex who squeal that the indicator overdraws and then it is useless. But it is not true, fugu is poisonous, you should know how to cook it ))

The signal to open/close positions should not overdraw. All the rest, we draw as we like.

 
Алексей Тарабанов:

The signal to open/close a position must not be redrawn. Everything else is drawn as you like.

Let me tell you a secret. My scalper does not draw anything at all. My scalper doesn't care about icons on the screen, arrows, crosses... Everything is calculated internally and decisions are made based on these calculations.

And if I want to see what is going on in scalper's guts, I enable special logging mode and data stream is sent to a file in BIN mode. Naturally, I also do not parse it by hand, for which I have a Matlab program, which displays all the data in human-unit form. And the arrows on the screen are for suckers.

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