Some signs of the right TCs - page 17

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Nikolai Semko:

That's not quite the right way to put it.

The correct phrase is: "compression thanks to the logarithmic scale of data representation".

simple as that.

Here is the unpacked bar structure in such a system:

with the time period of the bar being different for each bar in the array.

For example, there is a finite array of such bars as 28000.

Time period of the zero bar will be for example 1 second.
time period of the 1st bar will be int(1.00047) = 1 second.
time period of the 2nd bar will be int(1.00047^2) = 1 second.
time period of third bar will be int(1.00047^3) = 1 second.
...
the time period of 1500 bar will be int(1.00047^1500) = 2 seconds.
...
the time period of 3000 bar will be int(1.00047^3000) = 4 seconds.
...
the time period of 10000 bar will be int(1.00047^10000) = 109 seconds = 1 minute and 49 seconds
...
the time period of 12000 bar will be int(1.00047^12000) = 281 seconds = 4 min 41 sec
...
the time period of 15000 bar would be int(1.00047^15000) = 1150 seconds = 19.21 minutes ...
...
the time period of 17000th bar would be int(1.00047^17000) = 2945 seconds = 49 minutes ...
...
the time period of 20000th bar will be int(1.00047^20000) = 12061 seconds = 3.35 hours
...
the time period of 25000th bar will be int(1.00047^25000) = 126404 seconds = 1.46 days
...
the time period of 27999th bar would be int(1.00047^27999) = 517331 seconds=5.99 days


The bars are stored in a packed form with an average size of about 20 bytes per bar

index arrays for quick access occupy about 5% of the total size

i.e. the total size of such a database would be 28000*20*1.05 = 588 kB, such an array would cover 40-50 years of history.

Where is it stored?

 
Алексей Тарабанов:

Where are they stored?

Not in SQLite.
In RAM in arrays. You can also save it to a file, of course.
 
Valeriy Yastremskiy:

Mathematically correct TC.

Thank you, that's a succinct title.

 
You probably know what you are doing.
 
That is, if only the last 3 bars are enough to squeeze out the money. Are we talking about patterns? @Nikolai Semko

And if you can trade without a chart at all (so as not to "cheat" on the chart), only knowing the market price "for now". And open/close according to the market price...

And if you know how to move the price by 1% opening/closing?

Maybe the correct TS is the one that can move the market (affect the market price)? That is, to become the "king" of the "symbol", like a Puppeteer?



 
sculpt it.
 
Алексей Тарабанов:
Go ahead.

Thank you. Permission to run, Warrant Officer?

 

From a mathematical point of view, in my opinion, there is not enough formalisation of the definition. I will try to outline it, using a notation close to amateur radio. Let us introduce notations:

r - price series, s - system, e - equity

We feed prices to the system input and obtain the output equity:

r -> s -> e

Denote by f, g and h the transformations of prices, system and equity, respectively:

r -> f(r), s -> g(s), e -> h(e)

Obviously, for any f and g there will be some h such that:

f(r) -> g(s) -> h(e)

The "correctness" requirement (as I understood it) imposes the following restrictions on transformations:

1) f - belongs to some given set

2) g - given f, it can be chosen such that the following point is satisfied:

3) h - either identical or close to that (e = h(e) or e ~ h(e)). Or at least h(e) must be at least somehow "similar" to e.

There is also a desire to add the following clause:

4) g - must not be completely arbitrary, changing the logic of the system considerably. To do this, one may require that this transformation only changes the values of the input parameters of the system. Then it turns out that the "correct" system must have the "correct" set of parameters and "correctly" react to their changes.

 
Aleksey Nikolayev:

Denote by f, g and h the price, system and equity transformations, respectively:

r -> f(r), s -> g(s), e -> h(e)

I don't understand the highlighted.


1) f - belongs to some given set

2) g - given f, it can be chosen such that the following point is satisfied:

I have for any f from a given set (item 1).


There is also a desire to add the following clause:

4) g - must not be completely arbitrary, strongly changing the logic of the system. For this purpose we may require that this transformation only changes values of input parameters of the system. Then it turns out that the "correct" system must have the "correct" set of parameters and "correctly" react to their changes.

I did not understand this point, as g has not yet realised in your interpretation.

 
fxsaber:

I did not understand the highlighted point.

Didn't understand this point as g has not yet realised in your interpretation.

s is some kind of algorithm. Any algorithm is a function mapping a set of inputs to a set of outputs. g is some transformation (operator) of this set of functions (algorithms) onto itself (you can think of g as an algorithm on algorithms). From mathematical point of view, however, it is not very correct and absolutely unconstructive, and from simple human point of view it is poorly understood, so some restriction (like 4th item for me) is quite necessary.

fxsaber:

I have for any f from a given set (item 1).

You're right, it needs something like this:

1) f - belongs to some given set F

2) g - for any f from set F it can be chosen such that the following point is satisfied:

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