I could never figure out what people mean by "profitability of an indicator", unless you sell it of course. An indicator is a filter that magnifies some feature of the price action. It isn't its job to tell you when to buy, when to sell, how much ...

How to quantify the ideal timeframe

The correlation also depends on the sampling frequency: url

Systematic Portfolio Diversification - Data Mining Concept

Statistically speaking 1min and weekly are vastely different. I suppose you already read this thread url ?

How to quantify the ideal timeframe

It depends on the probability distributions of your variables. Discreet/continuous/closed form/sampled...

Choppy market index: any good ideas?

Buy when the candle opens on its low.... I'm still laughing...

Simple Mean Reversion

Sometimes I feel more like they want you to give them the diamond. Oh and please prove it is an authentic one! (and pay for the shipment too)

Simple Mean Reversion

Another problem is that the green dots always redden at some point. Say you find the wiggling line the video shows. You test it by adding the green dots. You realize the model is terrible. You throw it away. Another model is found. You test it by ...

Systematic Portfolio Diversification - Data Mining Concept

I'm myself not so good at expressing my thoughts... Of course I didn't mean that you should target the thousand pippers exclusively. I meant that the trends only last for 200-300 pips in general(*) but if you set a TP at 300 you'll never get the ...

Trend Trading

The duration of the trends, estimated here with the slope of a long period MA, follow a Poisson distribution. This means that the vast majority of the trends are short lived. A big fish can be 5 to 10 times longer. By closing at the average duration ...

Trend Trading

Do you mean particle filters? With them I can see two challenges. First the MCMC takes a lot of iterations to converge. The real-time processing is compromised. Second they often generate multimodal distributions: you would see a MA forking and ...

Kalman filter and currencies strength

That's what people usually do. You throw a bunch of features that you expect may contain some useful information and you hope the NN will find it. You add some loss function, often a few steps ahead prediction, and here we go. After few ...

Kalman filter and currencies strength

No. I mean that KF is meant for iid white noise with known noise matrices. What if you need estimating these matrices from the data while filtering? The blackbox software usually don't allow that easily. Market data is corrupted with colored noise. ...

Kalman filter and currencies strength

I'm talking about ARMA processes which describe the price movements. Like a MA follows the trend but doesn't generate it. Raw price series are indeed very autocorrelated while their return are (almost?) not. Anyway any time series can be modelled as ...

Kalman filter and currencies strength

I coded a few ML algo myself mainly to learn and understand what they do and how they do it. My finding is that ML is to be used when you already know what you're looking for not the other way around. I mean that data mining won't work for market ...

Kalman filter and currencies strength

Yes I tried and the result was that there is no detectable mean reversion in the residuals. ARMA models also fail.

Kalman filter and currencies strength

Of course you realize that mostly reversing a divergent system makes it a convergent one! R and I will have to set a stake to burn you on public place. Heretic!

Diversified Trend Trading Approach

KAMA cross has got three majors flaws. The first is a human cognitive bias apparent in all the MA crossover I encountered. "A ⇒ B" is not the same as "A ⇔ B". Yet a lot of people confuse. If it is raining (A) the grass is wet (B): A ⇒ B. But the ...

Diversified Trend Trading Approach

I see you use a higher TF KAMA cross to filter the trades. I also tried this and the results were even worse because the strat can no longer catch many of the big fishes: they get filtered out. This one is rejected! image

Diversified Trend Trading Approach

With all the philosophical discussions you had with VEEFX I lost the thread about the instant karma strategy. I'd like to replicate the results you posted. I read that you added a DC3000 as a filter but it is unclear how you use it. I quickly built ...

Diversified Trend Trading Approach

I know the answer... But I won't tell.

I have the secret ingredients but won't tell you