I'm sure I'm not the only one who's flying dangerously close to the edge of what they know when it comes to analysing data, systems and strategies.
I've started this thread for those of us who should have concentrated more in maths but didn't, and hopefully for those that have learnt something useful or interesting they'd like to share with the class.
It's not a place to be criticising what people are doing, or why, or trying to obtain edges on the sly. It's just somewhere to go when you're a bit stuck.
Maths homework
- ShaunWhite
- Posts: 9731
- Joined: Sat Sep 03, 2016 3:42 am
I'll start ....
When you see a formula like the one below for the McGinley Dynamic, what do the little -1's mean?
Is it the value from previous iteration? But I'd have thought that would have been expressed as N-1 ? I'm not even 100% sure what N and Index are!
When you see a formula like the one below for the McGinley Dynamic, what do the little -1's mean?
Is it the value from previous iteration? But I'd have thought that would have been expressed as N-1 ? I'm not even 100% sure what N and Index are!
You do not have the required permissions to view the files attached to this post.
- ruthlessimon
- Posts: 2094
- Joined: Wed Mar 23, 2016 3:54 pm
I think it's brilliant that it incorporates speed - although this:
"Because of the calculation, the Dynamic Line speeds up in down markets as it follows prices yet moves more slowly in up markets."
strikes me as a slight issue. Surely we'd want it to not bias a direction?
"Because of the calculation, the Dynamic Line speeds up in down markets as it follows prices yet moves more slowly in up markets."
strikes me as a slight issue. Surely we'd want it to not bias a direction?
- ShaunWhite
- Posts: 9731
- Joined: Sat Sep 03, 2016 3:42 am
ruthlessimon wrote: ↑Fri Jun 22, 2018 6:07 pmI think it's brilliant that it incorporates speed - although this:
"Because of the calculation, the Dynamic Line speeds up in down markets as it follows prices yet moves more slowly in up markets."
strikes me as a slight issue. Surely we'd want it to not bias a direction?
ShaunWhite wrote: ↑Fri Jun 22, 2018 6:00 pmIt's not a place to be criticising what people are doing, or why......
What does the -1 mean ?
- ruthlessimon
- Posts: 2094
- Joined: Wed Mar 23, 2016 3:54 pm
I was actually working on something similar. But instead of being "fixed" (i.e. moving average), I manually adjust the "reversal requirement" in ticks i.e.
- ruthlessimon
- Posts: 2094
- Joined: Wed Mar 23, 2016 3:54 pm
Lol I ain't got a clue
I quit a-level maths after my first yr
Ironically statistics was actually my worst subject along with French, god knows why I'm trading
- ShaunWhite
- Posts: 9731
- Joined: Sat Sep 03, 2016 3:42 am
It's not the time of day or week for me to be starting much thinking tbh.
I'm not going to listen to you anyway if you don't even know what the -1 is
This thread could easily get messy and not esp useful. Maybe we can keep the actual implementaion of the maths stuff for the Strategy Dev thread ?
I'm not going to listen to you anyway if you don't even know what the -1 is
This thread could easily get messy and not esp useful. Maybe we can keep the actual implementaion of the maths stuff for the Strategy Dev thread ?
- ruthlessimon
- Posts: 2094
- Joined: Wed Mar 23, 2016 3:54 pm
Yeah soz Shaun! Unfortunately, I can't seem to delete any of my posts. Peter/Dallas if you're reading this - I'm sure Shaun would appreciate itShaunWhite wrote: ↑Fri Jun 22, 2018 6:26 pmMaybe we can keep the actual implementaion of the maths stuff for the Strategy Dev thread ?
-
- Posts: 3140
- Joined: Sun Jan 31, 2010 8:06 pm
I think the -1 means it's the previous MD value, should be shown as (i-1) iterations etc
- ShaunWhite
- Posts: 9731
- Joined: Sat Sep 03, 2016 3:42 am
thx sb, i thought it was.spreadbetting wrote: ↑Fri Jun 22, 2018 6:43 pmI think the -1 means it's the previous MD value, should be shown as (i-1) iterations etc
N is the value (aka price) ? and 'index' is the value of what you're comparing it too? ie the point on the hyperthetical line you're trying to measure from?
- ShaunWhite
- Posts: 9731
- Joined: Sat Sep 03, 2016 3:42 am
I'm actually going round the houses. I've developed an indicator and I want to try and measure how well it's indicating. Seems reasonable to want to quantify it.
The only thing I can think of with my limited knowledge is to compare it to another indicator of 'known origin' ie something like the McGinley.
Better still if I can find something to pass my indicator through and it returns a simple answer with a table of how accurate it was X ms ahead
I'm in way over my head sb, but I think I can find my way with the occasional nudge in the right direction.
The only thing I can think of with my limited knowledge is to compare it to another indicator of 'known origin' ie something like the McGinley.
Better still if I can find something to pass my indicator through and it returns a simple answer with a table of how accurate it was X ms ahead
I'm in way over my head sb, but I think I can find my way with the occasional nudge in the right direction.
-
- Posts: 3140
- Joined: Sun Jan 31, 2010 8:06 pm
Lol , I wouldn't have a clue, Shaun, my daughter was in and got a 1st in maths last year so I asked her.
This link seems to explain it better
http://fxcodebase.com/wiki/index.php/McGinley_Dynamic
This link seems to explain it better
http://fxcodebase.com/wiki/index.php/McGinley_Dynamic
- ShaunWhite
- Posts: 9731
- Joined: Sat Sep 03, 2016 3:42 am
It might be time to put an advert on the uni noticeboards, I need a statistician who'll work for minimum wage or a few rupees.
-
- Posts: 1074
- Joined: Fri Nov 20, 2015 9:38 am
You could just take a random sample of the results of your indicator vs what its measuring, look at the differences and obtain the average difference & variance on the results... Bigger the sample size the better the results... (just make sure the sample is random - easier said than done)ShaunWhite wrote: ↑Fri Jun 22, 2018 7:02 pmI'm actually going round the houses. I've developed an indicator and I want to try and measure how well it's indicating. Seems reasonable to want to quantify it.
The only thing I can think of with my limited knowledge is to compare it to another indicator of 'known origin' ie something like the McGinley.
Better still if I can find something to pass my indicator through and it returns a simple answer with a table of how accurate it was X ms ahead
I'm in way over my head sb, but I think I can find my way with the occasional nudge in the right direction.