Well if you know this, then I don't know how you can flat out deny the relationship between the ACF, PACF and model stationarity. Anyway, I am...
It seems to me that you refuse to see the connection between autocorrelation, memory / persistence length, stationarity of model parameters, and...
I am still thinking that you have mistaken local fits as a solution to overfitting. There is no free lunch ever, only trade-offs. A local fit is...
Yes, it works in most time frames. I use it exclusively for day trading but the journals on this site show that it works very well in swing trading.
What you are saying is that a local fit is better than a global fit. That is true only in the vicinity of your local fit. Draw a best fit line...
You bring up a good point: there are perhaps 3 main elements to PA. One is to define your probability bins (events, cases) by bar-patterns. This...
The key point here is not to propose patterns based on empirical observations but rather on a proposed mechanism of the underlying market...
I used to have the same doubts about PA until I studied thousands and thousands of charts, and observed live price action as it happens. There are...
Alternatively instead of searching for a pattern, you could simply posit an "ansatz solution" based on your hypotheses regarding buyers and...
I would say Python is my main back test engine, but because I am so used to plotting things and doing quick stats in R, I do use it a lot for just...
Regarding model risk, yes, there is always the problem of introducing hard-to-catch bugs or unexpected statistical errors in the translation...
I have debated with myself extensively when I decided to include python into my workflow. There are a few reasons I chose to do so. First, the...
Yes, there could be, but what are the odds?
I use R for analysis and some back testing, mostly prototyping new ideas and checking stats. Then I move to my python + mysql "platform" to do...
Or you could increase the chances -- trading while intoxicated sounds like a deadly combination. I thought the trader who lost billions at UBS...
The introverts invent new things and solve hard problems and get the job done while the extroverts schmooze and party. But the extroverts take all...
Never understood these claims and I got no responses in my other HFT ES thread. So how is this supposed to happen? ES is tracking the SPX. The SPX...
yes, bingo -- that's why the 100-year storm is considered, because by the time the storm hits, the original designers of the building will likely...
You are absolutely right about the infinities. The fact that it goes to infinity is irrelevant; it's the rate at which it goes there that counts....
HateTheRisk, may be you should take it easy with the bottle??? btw single malt?
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