From theory to practice. Part 2 - page 9
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It's been rare lately. But six months ago, it was a nightmare.
Well, I've been sitting in their terminal for over half a year now, I don't remember jokes like that.
I have been in their terminal for over half a year now.
Well I've been on their terminal for over half a year now, I don't remember jokes like that.
I'll look up when I signed up and tell you exactly when it was.
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They must be offended with me - they won't let me into the office.
Well I've been sitting in their terminal for over half a year now, I don't remember jokes like that.
There's a connection, they must be reading the forum.
yes! it was a little over half a year.
Here are some of his most important statements, perhaps they will help someone:
1.the structure of price movements does not change over time (within a single instrument)
2. all world assets are different ( but always unchanging) rules of transformation of the same pseudo-random sequence. This also explains the observed stability of instrument behaviour (which all algotraders hope for, but cannot prove and substantiate its existence), andgaps appearance(together with spikes) after a break, and correlation of relative price increments, and violent market reaction to "correct" news (together with skillful localization of force majeure), and a number of other observable properties.
Well said. And with point 1 I absolutely agree.
What is the structure of price movement?
What is the structure of the price movement?
Always to the right, it makes sense that it doesn't change.
Here are some of his most important statements, perhaps they will help someone:
1.the structure of price movements does not change over time (within a single instrument)
2. all world assets are different ( but always unchanging) rules of transformation of the same pseudo-random sequence. This also explains the observed stability of instrument behaviour (which all algotraders hope for, but cannot prove and substantiate its existence), andgaps appearance(together with spikes) after a break, and correlation of relative price increments, and violent market reaction to "correct" news (together with skillful localization of force majeure), and a number of other observable properties.
Well said. And with point 1 I absolutely agree.
1. SB is also constant in the sense of constancy of expectation and variance of increments)
2. The stability of the behaviour of instruments is the result of complex mechanisms (including the government), which have been honed precisely to maintain market stability. Since the times of the American Depression and Keynes' works it has become obvious that the economy itself is unstable - both in general and in its separate parts.
But the big question is why exactly PSEEDO randomness! When there is real quantum randomness)
Yes, sorry.
The phrase should be quoted in full. Here it is:
"for a particular combination of parameter values, the swing is constant over all available history, i.e. the pattern of price movement does not change over time (within a single instrument)".
This was said about the equity of his TS and the tests on the whole available history. In other words, with different settings the equity goes upwards fluctuating with the same value which proves the invariability of the price movement structure and hence the artificial nature of the price.
Kind of reminds me of Yusuf - after his TS did not break the backbone of forex he called its equity as" marketsentiment index ")
:))) I wonder if the backbone-breaking is over or in full swing. I haven't heard from Yusuf for a long time...
Yusuf has moved on from theory to practice.
Yes, sorry.
The phrase should be quoted in full. Here it is:
"for a particular combination of parameter values the swing is unchangeable over the whole available history, i.e. the structure of price movement does not change over time (within a single instrument)".
And I read this phrase as "quotes are invariable on the whole available history at any time" - i.e. historical quotes don't change over time.
.