Neither. I was thinking of the conversation in general.
The last few e-mails remind me of Plato's "Allegory of the Cave". This is quality.
Wayne, I think there's been a misunderstanding. I was referring to a simulated data set for a given contract such as the ES contract, not...
greaterreturn, I'm not following you on the "real market simulation data"? Where does the simulated data come from? How is it produced and at...
greaterreturn, I'm glad you mentioned simulated data. I've been thinking about that one for awhile. Do you know of a source for simulated tick...
Sort of like who wants to be known as a "Ninja Trader"? Couldn't they have thought of a more professional sounding name for that product?
ProfLogic, What part of your approach to trading is automated? How did you find out what your edge was or figure out what to automate if you...
knocks420, I've never heard of the method you've suggested so I don't have an opinion on it one way or another. Are you outside of your risk of...
That's ProfLogic's deal. I've never looked into CVB. I don't know how or if constant volume bars are any different than regular volume bars. I...
MGJ, I think it's the latter. I simplified the topic to motivate the discussion. At any rate, it worked since I've received couple of helpful...
Equalizer, Yes, you're right. I try to keep my posts here to a bare minimum. Time to move on. Best of luck, bluelou
ProfLogic, Are you also saying that tick-based bars aren't "consistent"? Do you believe tick-based bars are inferior to volume bars? If so, can...
BLB, Yes, there is a relationship b/t the signal and the residual. And there should be, otherwise I wouldn't have much to work with. But the...
ProfLogic, You made a very good point here... "1. The noise exists in the chart YOU use to view a market." To address that issue in...
ProfLogic, Please correct me if I'm wrong in my interpretation of what you just posted: 1) The noise that I'm observing is caused by traders...
knocks420, You're right about the ET signal/noise ratio. I guess it just requires some patience. On your second point... Yes, you're pretty...
BLB, I wish! I'm not getting a constant periodicity but by using a few simple threshold value-type rules I've developed a very good trading...
To Tums: Detrending method: I'm using a redundant haar wavelet and applying it to tick bar data. The best way to think of this would be to...
MGJ, The dilemma is that either I'm wrong about the embedded structure in the noise or there is an embedded structure and I'm the only one who...
Why does idiosyncratic noise exist in the first place? What causes the idiosyncracies? Is there any academic research on idiosyncratic noise...
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