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in the sliding window = 24 hours.
Thank you, Alexander! A lot of questions immediately arise.
But there is the most important question for me. Question of questions. How do you get rid of the sliding window memory?
Any movement that leaves the window has an effect on the current value. The stronger the movement, the stronger the action. It is the action of the past that no longer exists, that no longer has an effect! How can this be dealt with? How?
Volatility has a sinusoid, not price.
Volatility is sinusoidal, not price.
Quite right. And if one removes these fluctuations by dividing prices by the corresponding time function, the series becomes suspiciously similar to SB - the correlation between the increments disappears and their distribution becomes close to normal.
the series becomes suspiciously similar to SB
By the way, yes, Alexey. I think so too, the difference between the real market and the random gains chart is just in these abrupt large movements.
the correlation between the increments disappears and their distribution becomes close to normal.
One may try to draw a conclusion: small movements are random and it's impossible to build a long-term profitable strategy on them. What do you think, my friends?
The main difficulty of the market is that in the sliding window we can observe many different processes - from known random ones - Wiener, Laplace motion, Variance Gamma Process, etc., to completely unexplored ones... It is important to be able to identify - which process is in front of you now and use its properties.
That's right, doc. Only we have not one mysterious process, but a superposition of an unknown number of unknown processes, which in the end complicates the task considerably.
Yes, of course, the price waveform is not as accurate, but extremes tend to occur during times of strong volatility. And you can use the accuracy of the volatility sine wave to find extrema.
Aleksei Stepanenko:
Any movement that leaves the window has an effect on the current value. The stronger the movement, the stronger the action. It is the action of the past that no longer exists, that no longer has an effect! How can this be dealt with? How?
Weighing by time.
Actually, it depends on the algorithm. It's the momentum that jumps a lot. The moving average, for example, is not so strong.
We can try to draw a conclusion from this: small movements are random, and it is impossible to build a long-term profitable strategy on them. What do you think, friends?
It's the same way we count. Not only because they are random movements, but also because systems that take them into account will lose just as much on spread and commission.
Of course, the price wave process is not as accurate, but extremes tend to occur during times of strong volatility. And one can use the accuracy of the volatility sine wave process to find extrema.
"God loves a trinity" - why does this expression exist who knows?
And what does the number 3 mean?
3 is the root of the number 9, what does the number 9 mean?
9*1=9., 9*2=18, 1+8=9, etc. digit 9 is a strong digit, isn't it?
my point is, why is the number 3 so much more effective in calculations?
I am just thinking, there are a lot of mathematicians and physicists among you, although in trading many of them are ordinary zeros...