Let's start: Step 1: Cloning The Repository You will need to clone the repository in order to work with scripts. The cleanest way of doing this is by the following: 1. Open Powershell7 2. Paste this command: git clone ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Let's start with the tutorial. Every step I do will be labeled, so if anyone has a problem during their setup, they can callout the specific STEP number so I can figure out potential solutions. THIS TUTORIAL IS EXCLUSIVELY FOR WINDOWS OS (I am using ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

THE GITHUB REPO IS NOW LIVE ! https://github.com/AyanDot/MMAR-vs-GARCH I invite everyone to visit the project and test it out. The project is finished, but improvements/features can always be made. By the request of the public, I will try to add ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Huh, that is really interesting and insightful. I researched a little bit about HAR-RV aswell and it seems that it also shares a few properties with MMAR like being multiframe etc. I think this is very well worth discussing in the future after the ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Thank you triphop, your words of encouragement are exactly what I need to finish this. Let me answer your question: In the original paper, the author tested the MMAR model on stocks. But, I will be doing this for forex, so I expect forex markets to ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Now you can understand why this is taking me time. It took me a few days to just even wrap my head around the 7 steps I am mentioned above. And then to actually construct this was really a challenge. But in a fun way. My current progress is almost ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Firstly, let's make it clear what we're trying to do (as of currently): My main objective as of now, is to see which model from the two, GARCH or MMAR, performs well for volatility forecasting. The answer to this question is not straightforward, but ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Yes, it's been a while. The thing is, dealing with Mandelbrot's work is no piece of cake. The main hurdle is the complexity and calibration it takes to correctly use his concepts. However, I have been working on this for nearly 2 weeks and I believe ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

We are on the same page. I thoroughly understand that Mandelbrot is more focused on volatility and his toolbox does not offer "buy" or "sell" signals. Hence, it can never be used for CFD/Spot in the way general traders expect it to be. However, ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Thank you triphop for you kind and motivating words. Regarding your questions: 1. No, I have never deseasonalized data. It's the first time I am even hearing this term. However, don't really know what the benefit of this would be in terms of ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

I know this is not much exciting for the public as no trading implications have been observed and hence the hesitation of not posting. But, I just wanted to let others know that I am very much involved in this and trying to figure out how ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

For anybody interested in testing this on their own and tweaking the parameters a bit, perhaps changing the market or the timeframe, you can copy the below source code. Pre-requisites: Python should be installed globally on your OS. MetaTrader ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Firstly, I wanted to test out, are market's genuinely Multifractal? Apart from trading, does academically this concept still stands true? Are we blindly trusting Mandelbrot? The amazing thing about academia/mathematics is that, anybody can test the ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Thanks a lot triphop. I greatly appreciate your interest in this thread and I hope to assemble as many intellectuals as possible to discuss this. However, I seem to be extremely occupied with my personal projects at the moment. Hence, I haven't been ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Hello Hydraxx, I greatly appreciate your encouraging words and grateful tone. I was introduced to Mandelbrot through a fellow member on FF, and after reading about his work, it greatly increased my curiosity and hence I wanted to share this journey ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Impressive Trades! And yes, I do agree that testing is an important step before putting real capital at risk. And, it's really interesting that you got the same results as I did. Only 9 trades in 5 years. All were profitable. But, they were just ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Perfect timing thtpro, and I gratefully welcome your contributions to this thread as people can learn a lot from your experience with cycles and phases. I largely agree with most of the statements, however, I do think that there's something we need ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

I have provided huge amount of info. I don't really think you need to understand everything. Just know that Benoit Mandelbrot's work does not mean you will get signals to buy or sell. Instead, you'll receive, the structure of upcoming randomness. ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

The Philosophy Behind "Order from Randomness" Mandelbrot is essentially saying: "You can't predict the coin flip, but you CAN predict that the coin is biased, that the bias changes over time in predictable ways, and that sometimes it's not even a ...

Multifractal Guide - Mandelbrot's Incredible Toolbox

Concrete Example: Extracting Order Let's say you're looking at SPY: What you CAN'T predict (random): Tomorrow's return: +0.5% or -0.3%? Next week's closing price? What you CAN predict (ordered structure): After a 2σ move today, tomorrow's absolute ...

Multifractal Guide - Mandelbrot's Incredible Toolbox