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- jaguar1637 commented on a bookmark Hurst Exponent, Lyapunov exponent and the Stock market Predictability 2364 days agoWell, JonnoB, John Last talked about this tip - Use iVAR to remove bad entries. In our standard expert advisor, we us a function named iVAR This function is : bool iVAR() { bool Result=false; double...
- JonnoB commented on a bookmark Hurst Exponent, Lyapunov exponent and the Stock market Predictability 2364 days agoThanks for the link. One thing I found interesting was "When (Hi > Hi+1), the time series is persistent or trend reinforcing time series". I have always thought of H > 0.5 == persistent, H == 0.5 == random and H < 0.5 == anti...
- If you look a this article you can find interesting similarities between the technical analysis and the magical thinking.
- JohnLast commented on a page titled Trading methods: from Complexity to Simplicity and Back Again 2397 days agoThe past 42 days I was in the political arena participating in the organization of protests in Bulgaria against monopolies against the abuse of their dominant position. My mind was not there, I was focused on real world issues. However little by...
- The real problem is that the application of data mining on trading may be a wrong paradigm. Check was an experienced trader has to say on the topic. http://tradersplace.net/forum/thread/60/monte-carlo-analysis/ So I can add: data - mining + back...
- Guys you could really watch this video the week - end, the video and sound quality is poor but content is king. I am analysing it.
- Check this artcilce it is quite interesting by offering an independant validation tool for trading system. Here I can just summarize the common basic tools for validation of trading systems. -Sinple Back Testing with or without Out of Sample...
- Abstract: The objective of this paper is describe a new paradigm for the trading of equities. In our formulation, the control corresponds to a feedback law which modulates the amount invested I(t) in stock over time. The controller also...Comments
- JohnLast 2433 days ago
Check this artcilce it is quite interesting by offering an independant validation tool for trading system.

Here I can just summarize the common basic tools for validation of trading systems.

-Sinple Back Testing with or without Out of Sample Validation

-Walk Forward Testing

-Monte Carlo analysis

-Bootstrapping procedures

Here on this article a different paradigm is offered related with the Robust Control. It is worth to have a look at it.

Here is a video of the author

http://www.myspace.com/video/zerofrancisco/robust-control-paradigm-for-trading-of-equities/23615453

- JohnLast 2431 days ago
Guys you could really watch this video the week - end, the video and sound quality is poor but content is king. I am analysing it.

- JohnLast 2430 days ago
The real problem is that the application of data mining on trading may be a wrong paradigm.

Check was an experienced trader has to say on the topic.

http://tradersplace.net/forum/thread/60/monte-carlo-analysis/

So I can add:

data - mining + back - testing = tools for fools.

In fact you can come out in the back - test pretty easily with nice looking equity curves.

You can ask why a simple moving average cross over system with extensive search (brute force search) on all parameters has to be outperformed by any complex data mining algorythm?

Theoretically both approaches should work.

The problem with the market is that it is self reacting to itself. If the market was a mere physical process every data mining routine would work. But the market reacts to itself. That is why HFT was so profitable there, the first players in their time horizon were faced to a market that did not react to their strategies. And by doing so it was regarding to them a physical process that can be predicted.

This is a simple question but the answer is not obvious.

Another remark is also very intereesting

*"**Backtesting is the method of choice for destroying your career and your firm, if you own it. Backtesting is toxic to quants. there is only one possibly useful alternative. backtest once with a well defined prior."*Richard MichaudI think the robust control is the way to go. In that way everything mathces into mucch more complex paradigm. Data - mining and back - testing needed to be related with robust control. Otherwize it is toxic.

- jaguar1637 commented on a bookmark An extensive set of scaling laws and the FX coastline 2437 days agoThis following link works : http://arxiv.org/abs/1206.1007 On the scaling ranges of detrended fluctuation analysis for long-memory correlated short series of data
- JohnLast commented on a bookmark An extensive set of scaling laws and the FX coastline 2438 days agoThe link is not working.
- hyper_critical commented on a bookmark An extensive set of scaling laws and the FX coastline 2438 days agoTerrific paper. If you haven't read Lux et al I highly recommend them. I haven't seen you post anything from this school yet: http://arxiv.org/abs/1206.1007<--- fertile ground for indicator development. Relative to many other approaches, ie DWT,...
- hyper_critical commented on a page titled Trading methods: from Complexity to Simplicity and Back Again 2438 days agoA couple years ago I attended this seminar in London http://www.optirisk-systems.com/events/application-of-hidden-markov-models-and-filters-to-financial-time-series-data_p.asp#pro Many academics in attendance, and my conclusion was they were far...
- I think that is important for two reasons: -quality of the simulation -quality of training: for every pass the genetic optmizer would need to process every tic, from one hand you can add by this a lot of noise and on another it will make very...
- Yes, John the RSI is used by to this line: inputs[i]=(((iRSI_buf[i]-x_min)*(d2-d1))/(x_max-x_min))+d1; As for me the main problem with this is that it uses every tic (correct me if I am wrong). => Yes, it's true. A NN should work once when...
- I was thinking that the RSI is used are ypou referring to this line: inputs[i]=(((iRSI_buf[i]-x_min)*(d2-d1))/(x_max-x_min))+d1; As for me the main problem with this is that it uses every tic (correct me if I am wrong). Wheen you use every...
- Yes, I saw this NN. In my opinion, t works bcoz .....................the input values come from a fractal indicator. If you use AC, as Reshecov tries, you have to calculate weights applies for the NN w/ a Genetic Algorithm before. MT5...
- Well, we should get something very interesting before going forward, I would ask Vegastart to tell us what he thinks about this
- MathExp(gamma*(-x1*x1-y1*y1)); Produces:
- return( MathExp(gamma* ( (y0* y0) + (y1 * y1) ) ); is like return(MathExp(gamma* (MathPower(y0,2) +MathPower(y1,2) ))); look at this function
- Of course, if you would like, John, to add your function the result could be : staticdouble ObjectiveFunction(double[] x, int dim ) { z0=x[0]; z1=x[0]; y0= xx[z0][dim] ; y1= xx[z1][dim] ; return(...