What is not understood and taken into account when discussing the random walk model (RBS) - page 6
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This is deep scientific knowledge. We do that and "wait quietly for profit".
Generally speaking, it is.
You look at the dates.
There are 5 trading days between points.
You can't figure out and understand in 5 trading days where the price is going?
It is common to discuss the original premise:
But they don't consider the continuation of the text at all:
Here's the main thing that all the debaters fail to consider:
SB is a discrete random process with independent STATIONARY increments.
Stationary increments are random variables with ZERO MOTION.
And their DISPERSION is LIMITED.
That is why SB will always be similar to price movements of currency pairs and in general to price movements of ALL financial assets and can always be used scientifically as a model of price movements of any financial akitv, including currency pair quotes on forex.
At present, the most adequate model of price movement can be considered a NON-STATIONARY random process with STATIONARY random increments.
I don't want to do computational work for free when asked.
Nor do I want to do it for a fee. I have no time for it.
I am always ready to discuss questions about the method in detail.
Ask me about the method - I will tell you what I can.
And I say in essence - the strategy is not workable
if you don't have time to check, then losing money can only clarify errors in more detail
I am making a substantive point - the strategy is not workable
If you don't have time to check, then losing money can only explain the errors in more detail
Here's your assertion : "I am and I say on the merits - the strategy is not workable".
Is this what you call "substance"?
In the scientific community, it is customary to back up your assertions with calculations or at least formulas.
On what scientific knowledge is your personal statement about the unworkability of the strategy based?
If you do not want to look like a windbag in the eyes of the forum community, please provide evidence for your assertion.
Your assertion supposedly "on the merits" contains nothing of substance.
I have nothing against using SB for any purpose when describing price dynamics. I agree and have even used in trading the fact that over an infinitely long period of time zero expectation of rate increments will also work. I can't understand, on the basis of what, without specifying the purpose of modelling, the model "with STATIONARY random increments" suddenly turned out to be "most adequate" to all unknown purposes at once? It seems to me that this forum is discussing possibilities to detect local regularities in price dynamics that would lead to deviation of the expectation of the sum of rate's increments from zero during the time from opening to closing of a trade. See, for example, right on this forum https://www.mql5.com/ru/forum/221552/page430#comment_7945889 and about ZKK describing these changes https://www.mql5.com/ru/forum/221552/page19#comment_6168925. That is, there is no stationarity of the increments during the day and the SB model with stationary increments is not suitable for describing the price dynamics during the day.
You were in such a hurry to write your post, in such a hurry to say something bad about the price movement model I proposed, that you didn't bother to read a few lines of the post before your post.
You wrote: "That is, we cannot speak about any stationarity of increments during a day. The SB model with stationary increments is not suitable to describe the price dynamics during a day".
And here is a quote from my post before yours:"Look at the dates. There are5 trading days between points".
Doesn't it surprise you that at 2 months the absolute values of maximum positive increments and negative increments are almost equal?
Is it possible that the intraday and out-of-day patterns are different?
You wrote: "In my opinion, this forum is discussing possibilities to catch local regularities in price dynamics that can cause a deviation of the expectation of the sum of rate's increments from zero during the time from opening till closing of a position.
What can I say, in your opinion, the forum only discusses what you personally want to discuss?
I don't think it's Oleg, but a fellow "quietly awaiting profit")
kranbara
The theologians' argument is reminiscent of... (
Indeed - a single taken realisation of a random process can exhibit imaginary non-stationarity and mean shift and autocorrelation and even ) patterns...
So the invalidity of many opponents' claims is obvious.
However, the topstarter is disappointing - there is no consistent illustration of the novelty of the ideas. Neither are the ideas(
from the word at all.)
And roll on the yapping is inappropriate.
Imho.
The theologians' argument is reminiscent of... (
Indeed - a single taken realisation of a random process can exhibit imaginary non-stationarity and mean shift and autocorrelation and even ) patterns...
So the invalidity of many opponents' claims is obvious.
However, the topstarter is disappointing - there is no consistent illustration of the novelty of the ideas. Neither are the ideas(
from the word at all.)
And roll on the yapping is inappropriate.
Imho.
This is substantive. It is true of an individual implementation. It is to exclude the influence of individual realizations that the post I quoted https://www.mql5.com/ru/forum/221552/page19#comment_6168925 analyses the minute by minute statistics of increments over 625 days. So that the conclusions are general and reproducible. As Alexander_K2 found out, the obtained information works not only for the selected usdchf pair at the selected range (intraday per minute activity over 2 years, 2015-2017), but for all currency pairs and any other time. The conclusion about the lack of stationarity is based on the results of 625*1440=900000 (almost a million) measurements, not on a single realization.
I must say, not only statistically significant dependence of average increments on time of day, but also their dependence on the number of day within the trading week 1-5 is found in the same way. However, it is weaker than the intraday dependence.
Here's your statement : "I am and I say on the merits - the strategy is not workable".
Is this what you call "Essentially"?
It is customary in the scientific community to back up your assertions with calculations or at least formulas.
On what scientific knowledge is your personal statement about the unworkability of the strategy based?
If you do not want to look like a windbag in the eyes of the forum community, please provide evidence for your assertion.
Your assertion supposedly "on the merits" contains nothing of substance.
I will answer once again on the merits of the proposed strategy, most likely for the last time, if there is no implementation on your part
Forum on trading, automated trading systems and testing trading strategies
What is not understood and what is not considered when discussing random walk (RW) model
Renat Akhtyamov, 2020.04.18 10:24
what increment is enough to buy or sell?
depict, for example, the period 2013-2015.
the strategy will not lose its validity?