The most banal trading strategy - page 34

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mikhael1983isakov:

Let me explain with a simple example:


So. Curve A - black - price (288*2 counts of M5, two days). Curve As - orange - SMA of 289 (z=144, half day, s=1+2*z=289). The R curve is black in the second figure: R = A-As. Task: predict R. Decompose R into two signals: always positive (Rup) and always negative (Rdw) - in the second figure in pink and blue, respectively. R = Rup + Rdw, by definition this is how we defined Rup and Rdw. The pink Rup is clearly up. Blue Rdw (as we know from the statistics in the past) is also obviously going back to zero. Let's make the simplest forecasts with straight lines (we can and should make more complicated ones, but we can't show everything here). The sum of forecasts Rup+Rdw gives the prognosis Rfut - in the second figure the red straight line. The simplest return - by one formula - from Rfut to Afut gives a price forecast - Afut - in the first (upper) picture - red. This forecast coincided well with how the price evolved in the next day in fact - in the first (top) figure in blue (EURUSD fragment from the recent past, about a month ago, is taken as an example).

How does the decomposition take place?
 
Yuriy Asaulenko:


PS And, to top it all off.


.

The most interesting thing about this forum is not showing up for a while, then opening the first page of any topic and quickly the last one. As a friend of mine used to say, when I eat soup in the canteen, I never look at the plate - you can see SO-O-O-O-E there )))

 
Alexey Volchanskiy:

The most interesting thing about this forum is not showing up for a while, then opening the first page of any topic and quickly the last page. As a friend of mine used to say, when I'm eating soup in the canteen, I never look at the plate - there's SO-O-O-O-E to be seen )))

Well, it's not all about the girls. )
 
Yuriy Asaulenko:
Well, it's not all about the girls. )

There isn't one either. There is one electron and it's gone too. That's how we live.

 
Uladzimir Izerski:

There isn't one either. There is one electron and it's gone too. That's how we live.

One woman for all is even worse than one electron for all, no, I'd rather have one electron. :)
 
Alexander Fedosov:
How does the decomposition take place?
The only person able to at least ask the obvious question (if we are talking about decomposition of R into Rup and Rdw). But I am not ready to give an answer, I only say that I play with Fourier spectra for this purpose.
 

Let's try to play with it in real time.

Here is the current layout for EURUSD as of 13:45 Moscow time on 18.03.2019:

The forecast of the pink and blue curves is not quite dumb, right? More or less just a little bit adequate? So the price forecast will also be quite healthy. Here it is:

Let's check it out after 24 hours.

 
mikhael1983isakov:
I play with Fourier spectra for that.

is a dead end. Gibbs effect, aka edge effects.

 

Don't you people use fundamental analysis at all? I honestly have no way of telling where a pair will move without a macroeconomic comparison.


This is the only way and there is no way. Otherwise it's just roulette and trading the S&P500 is much more profitable on daily and weekly charts than all this "plushie"

 
Alexander Fedosov:
How does decomposition work?

Were you really waiting for some kind of answer???

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