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- 1,244 Results (9 Threads, 1,235 Replies)

- Choppy market index: any good ideas?
Hi all. I'm sure you looked at the picture above. No doubt you immediately made a clear distinction between the left side and the right side. On the left the market is falling like a stone on the right the price is jumping all over the place: ...

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Replied Feb 8, 2018
{quote} Oh missed this one. He actually MADE money!

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Replied Feb 8, 2018
{quote} From what I understand of the title HE didn't lose any money. His subscribers did! His risk management is very professional: he doesn't risk his own money.... BTW if he managed ~$150M it is OK to lose $1.2M

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Replied Feb 6, 2018
I had to search about Arthur Schuster, probabilities and Fourier. I understand better now what you mean by "improvement". {quote} You simply "stretch" the window so it spans exactly your samples. You multiply the signal by the window. The resulting ...

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Replied Feb 5, 2018
I don't understand your question but just as a note F_t cannot be negative because a price (S_t) is always positive and e^x > 0 for any real x. The product of two positive numbers is positive.

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Replied Feb 5, 2018
This book was written almost a century ago. Signal processing theory has evolved a bit since then. I don't understand what you mean by "Periodigram Analysis of Schuster further refines the Fourier method". Can you point the page? The Fourier ...

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Replied Feb 5, 2018
I didn't read the book and I didn't reverse engineer the excel sheet but I think your results are correct. Fourier decomposition is about periodic time series implicitly infinite in length. The formula assumes that your data contains an integral ...

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Replied Feb 3, 2018
{quote} You are telling that a lottery player doesn't wins by luck but by the discipline of losing 5 bucks every week in his life until he hit the jackpot some day!

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Replied Jan 28, 2018
{quote} Did you read the part between 7bit and Old_Dog? In short Old_Dog's position was that you shall compute the cointegration and statistically validate it is still present. Either you rebalance the basket or you stop trading because it is no ...

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Replied Jan 27, 2018
{quote} His maths are wrong. He starts from a wrong equation then he takes (correct) deductions starting from his mistake... Let's start with the proper equation y=βx+σ²ε <- he overlooked the uncertainty (aka noise) σ²ε !! The assumptions are that - ...

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Replied Jan 19, 2018
If you do this and keep considering it as a spread it is like you force the weight of the second asset (the MA) to be 0. The asset price becomes a "rough approximation" of the spread which can become very far "off target". Are you going to correct ...

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Replied Jan 19, 2018
{quote} You clearly don't understand what spread trading is! The goal is be become MARKET NEUTRAL under the assumption of mean reversion. When the spread returns to the zero line you're supposed to be in PROFIT. {quote} It is actually the opposite ...

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Replied Jan 18, 2018
{quote} Can you explain how you build the spread? I mean if you buy the asset how do you "sell" the moving average to hedge the trend?

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Replied Jan 18, 2018
{quote} The challenge is not really here. 7bit solved this part here {url} IIRC there is some MT4 stuff to download. The currency pairs aren't co-integrated. 7bit's pragmatic approach was to rebalance often while keeping the trading fees acceptable.

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Replied Jan 3, 2018
{quote} Obviously. So what? {quote} Why should I do that? {quote} There is no such thing as a A+ setup. If such a thing existed you could filter out the non-A+. This post-filtering of your strategy would simply generate a new strategy emitting ...

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Replied Jan 3, 2018
{quote} I remember a post by the redlion (I can't find it) where he showed an up trend containing more down bars than up bars. The trend was created by a minority of big up moves.

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Replied Dec 15, 2017
{quote} The 300 bars aren't to estimate the trend but the variance of the histogram values.

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Replied Dec 14, 2017
{quote} {quote} Statistically speaking this is not true. If I indeed cannot distinguish a male fish from a female fish on a picture mama told me boys and girls that's not the same

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Replied Dec 14, 2017
MACD is the difference between two moving averages. You can show that the histogram is an estimator of the trend up to a multiplicative factor with lag and distortion. You can remove the distortion by using a pair of SMA instead of EMA. The price to ...

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Replied Dec 4, 2017
{quote} Per definition if you can attribute a-priori a non-zero probability to an event it is not a black swan. Therefore the probability of a black swan event is zero. It is only after it happened that it is recognized as a feasible event. Only ...