Tagged: Discrete time markov chain Toggle Comment Threads | Keyboard Shortcuts

  • $ ~ 5:47 pm on 07/21/2018 Permalink
    Tags: , Cosmo CAT, Discrete time markov chain, , , No Daytrading, overfitting   

    CosmoCAT_30_100 Trading System 

    Here comes another trading Algorithm with a better understanding for the Futures Markets.

    A slightly greater Sharpe Ratio [from ~ 0:26  up to 0.38] is possible, but i wan’t to  prevent the trading system from overfitting.

    At the moment we may only unfortunately predict what happens in the Past but not in the Future.

    Maybe we should use for the next Algorithm a discrete time Markov Chain…

    overfitting? what does it mean? Click here

     
  • $ ~ 8:36 pm on 07/16/2016 Permalink
    Tags: Discrete time markov chain   

    Introduction to Discrete Time Markov Chain DTMC Definition… 

    Introduction to Discrete Time Markov Chain (DTMC).
    Definition:
    A discrete time stochastic process {Xn, n = 0, 1, 2, . . .} with discrete state space is a Markov chain if it satisfies the Markov property.

    P(Xn = in | X0 = i0, X1 = i1, . . . , Xn−1 = in−1) = P(Xn = in | Xn−1 = in−1), where ik for all k = 0, 1, . . . , n are realized states of the stochastic process.

    P(Xn = in | X0 = i0, X1 = i1, . . . , Xn−1 = in−1) = P(Xn = in | Xn−1 = in−1)

     
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