From theory to practice. Part 2 - page 132
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Some respected traders have begun to complain that something important has been lost from the beginning and middle of the thread.
I wish it had not been lost in the constant arguments....
However, if we summarise the intermediate results of the debate, it turns out that not many interesting things were discussed, namely:
1. There is no money to be made on the SB. Accepted "as is" without discussion, for this only introduces unnecessary drama in the search for Truth.
2. It is necessary to look for differences between the market range and the SB and to make money on these differences. A false message to act. No one in their right mind attempts to make money on the non-stationarity of the process as the main difference.
3. tick quotes are different from M1, M5 etc. The antipersistence property of the series when moving to older TFs is lost when the data is read evenly, but is retained when it is exponential. Here comes the pervasive misunderstanding, refusal to do independent research and calls specifically for me to produce evidence. No comment....
4. there is a discussion of the Hearst coefficient. It is perceived by many as the key to the Grail. Perhaps this should be investigated further.
5. A little discussion of Zigzag, but no examples of deals. And yet the thread is not only about theory, but also about practice!
6. ... Talking about some quanta and how they've already captured and researched everything...
Anything else? What might have been missing valuable that could and should be discussed?
Oleg's coming in with a machine gun and he's going to chop it all up into a fine octopus.
Well said!
.
;)
As far as strategies are concerned, there has been no discussion at all.
There was an attempt to study the Koldun oscillator (or, in common parlance - Momentum) - would it give results when going to trend movements? But, it quickly subsided...
N. Skrigan's SWT-method (Vova Izersky's analogous system) was not considered. MACD, which Vova Baskakov uses with some success, was not considered.
What else?
The basic idea is that it should be easy to make money. Preferably, in increments. On large TFs, where commission and spread do not matter. However, here they run into the fact that in older TF the appreciation is akin to the Wiener process (I wonder why?) and it is impossible to profit from them. And those who suffered from it do not know how and do not want to thin it...
Wizard's appeals to simply follow the movement also go unheeded....
There is stubborn fighting just for the sake of fighting.
When they say that it's simple - you should buy at the lows and sell at the highs, it just means that in the analysis of quote time series the extremums are the most important. The threshold is more or less clear, spread + commission. But it is not clear what gives the zigzag indicator. Has anyone managed to obtain true series extrema, points of highs and lows using the zigzag indicator? I have not, that is why I am asking. Does anyone know how to do it? Can you please tell me...
There is an obvious problem - extrema of what? To buy we need to rely on the lows of the ask and to sell we need to rely on the highs of the bid. It turns out that two zigzags are necessary, but as the zigzag parameter decreases, they become less consistent. Therefore, in the case of a small zigzag parameter the meaning of this indicator is somewhat lost. For studies at scales comparable to the spread, you need something else.
The smallest zigzag parameter I use corresponds to about five average spreads.
Quite the usual meaningless article by a provincial university lecturer, needed only for bureaucratic reporting.
It would be interesting to read an article where the Hearst coefficient distribution on SB is constructed. And not just through Monte Carlo simulation, but with some analytical considerations as well. Without the ability to calculate the confidence interval well and accurately enough, this statistic seems less useful.
Again empty criticism pours from the mouth of the critic.
And your "careful reading" and "understanding" of what you have written has long been known:
Forum on trading, automated trading systems and testing trading strategies
From Theory to Practice
Oleg avtomat, 2019.08.05 13:25
You did not pay attention to the conditions stipulated by Shiryaev immediately, at the very beginning :
These conditions immediately exclude our field (forex, cfd, futures, etc) from further consideration carried out in this paper.
Shiryaev knew exactly what he was talking about.
And you, apparently, misunderstood him.
Pay more attention.
Today is a good day ;)
Friday, 7 May
You should be more careful today and at the weekend.
It's the fifth day of the contest, and the machine hasn't drained the account yet - it's going to be a real bumpy ride for a few days.
So there's going to be a lot of "pshlivon", "parasites", "you don't understand..." and so on.
Again empty criticism is pouring out of the critic's mouth.
And your "careful reading" and "understanding" of what you have written has long been known:
Again a kindergarten trick of emotion and the same level of stupidity)
SB does not describe prices either, but it is quite useful when researching them)
I analyse the arithmetic average of Bid and Asuka.
I second that. This is the right decision.
You'll have to be careful today and at the weekend.
It's the fifth day of the contest, and the machine hasn't drained the account yet - it's going to be a real bumpy ride for a few days.
So it's going to be a "pshlivon", "parasites", "you do not understand ..." and so on.
Careful, or you'll get the "you're such an idiot".