谁能跑赢大盘？

xinxing

littletiger 发表于 2017-9-20 10:06 PM
Can you talk more about mapping time series data into Poincaré map?
assuming y(i)=(x(i),...,x(i+ ...

Development of a dynamic system forms a trajectory. After transient process, a trajectory settles down to an attractor.
A conservative system finally ends up a single point, which is the simplest attractor.
An open nonlinear system with periodic oscillations has an attractor of a circle as a table solution.
Period-doubling bifurcation is a cascade sequence of doublings and further doublings of the repeating period as increase of a control parameter.
Through period-doubling bifurcation, some nonlinear system losses its stability, becomes chaotic, and its attractor can be very complicated.
Poincaré return map is a way to study the structure of a complicated attractor in a lower dimension section.

A stock has a quote (price) at any moment (t). This time series data forms a trajectory.
In monthly statistics, a specific trading day is a section of the trajectory, and the periodic occurrence of the specific trading day is a Poincaré mapping with delay period equals to one month.
For example, OE day tends to gap up and moving high, where you can profit.
The delay period, one month, is not a fixed number of days in normal calendar. You need a trading calendar. For example, in year 2014, OE days are:
Fri Jan 17 2014
Fri Feb 21 2014
Fri Mar 21 2014
Thu Apr 17 2014
Fri May 16 2014
Fri Jun 20 2014
Fri Jul 18 2014
Fri Aug 15 2014
Fri Sep 19 2014
Fri Oct 17 2014
Fri Nov 21 2014
Fri Dec 19 2014

Stock price in 1-minute chart is noisy. Resampling data is necessary based on your interests.
For example, MACD(26, 12, 9) tells stock price is resampled in three scales by calculating EMA of 26 days and 12 days, and then resampled by 9 days of the divergence.
RSI is another way of resampling stock price data, where oversold and overbought states are referred for buy and sale.

If you are interested in day trading, you need to study Poincaré mapping with delay period equals to one day.
Multiple-scale analysis has its own way to resample data into trends of different length, and use patterns of these trends to predict market move in near future.

盈透阿狗

• "源济" voted 涨 at Thu Sep 21 16:18:57 2017
• "QQQ?" voted 涨 at Thu Sep 21 16:18:57 2017
• "Jennyahwu" voted 跌 at Thu Sep 21 16:18:57 2017
• "rightonmoney" voted 涨 at Thu Sep 21 16:25:57 2017
• "ranchgirl" voted 跌 at Thu Sep 21 16:28:57 2017
• "coexist" voted 跌 at Thu Sep 21 17:15:58 2017
• "yanzi" voted 涨 at Thu Sep 21 17:19:57 2017
• "ysc" voted 涨 at Thu Sep 21 17:21:57 2017
• "goldbug" voted 跌 at Thu Sep 21 17:51:57 2017
• "Elephant" voted 涨 at Thu Sep 21 18:09:57 2017
• "我是谁" voted 涨 at Thu Sep 21 20:04:56 2017
• "angelecho" voted 涨 at Thu Sep 21 20:05:56 2017
• "恒一" voted 跌 at Thu Sep 21 20:31:56 2017
• "Scaling" voted 跌 at Thu Sep 21 20:52:56 2017
• "shibainu" voted 跌 at Thu Sep 21 21:02:56 2017
• "littletiger" voted 跌 at Thu Sep 21 21:06:56 2017
• "bokchoy888" voted 涨 at Thu Sep 21 21:17:56 2017
• "oldwolf" voted 跌 at Thu Sep 21 22:18:56 2017
• "happymaker" voted 跌 at Thu Sep 21 22:51:57 2017
• "bucks" voted 涨 at Thu Sep 21 23:26:56 2017
• "tcm328pan" voted 涨 at Thu Sep 21 23:53:57 2017
• "Bencat" voted 跌 at Thu Sep 21 23:57:56 2017
• "itsme" voted 跌 at Fri Sep 22 00:18:56 2017
• "pll" voted 涨 at Fri Sep 22 00:44:56 2017
• "秋雨" voted 跌 at Fri Sep 22 00:47:56 2017
• "林中行" voted 跌 at Fri Sep 22 02:28:55 2017
  

===================================
There are 26 votes, in total, on Fri Sep 22 2017.
12涨: Elephant, QQQ?, angelecho, bokchoy888, bucks, pll, rightonmoney, tcm328pan, yanzi, ysc, 我是谁, 源济
14跌: Bencat, Jennyahwu, Scaling, coexist, goldbug, happymaker, itsme, littletiger, oldwolf, ranchgirl, shibainu, 恒一, 林中行, 秋雨
0平:
HI-MODEL supports 跌 (majority)

littletiger

xinxing 发表于 2017-9-21 11:07 AM
Development of a dynamic system forms a trajectory. After transient process, a trajectory settles  ...

XieXie. Could you please post some Poincaré map and help us how to interpret it (with different delay time)? thanks!

littletiger

xinxing 发表于 2017-9-21 11:07 AM
Development of a dynamic system forms a trajectory. After transient process, a trajectory settles  ...

quote from others on time series and choatic system
把随机过程   看成函数。实际上 是一个被用时间t “标记”的函数，完整写下来是，是所有整数（t 的集合）， 代表全体可能的集合。在实际中人们就把 缩写成了。这里的 其实就是上帝扔下的色子，这是一个维度极高，而且根本不可能观测到的“隐变量”，所以“随机变量” 实际上是一个把隐变量映射到实数的函数。而随机过程 是一个把 时间+隐变量的组合，映射到实数的函数。当 被固定住， 的全体轨迹也就被确定下来了。所以我们观测到实际的 （一个随机的结果，或者叫realization），其实是上帝确定下隐变量后， 作用在这个隐变量和所有整数（时间点）组合上的结果。所以，实际上 (这里我用了不同的写法，其实都是一个意思。）最后很容易说明  是一个线性函数。

作者：王相及
链接：https://www.zhihu.com/question/23325095/answer/113926891
来源：知乎
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源济

源济

如果持续押涨：

盈透阿狗

• "源济" voted 涨 at Fri Sep 22 16:14:41 2017
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• "shibainu" voted 跌 at Fri Sep 22 21:27:40 2017
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• "itsme" voted 跌 at Mon Sep 25 03:07:31 2017
  

===============================================
There are 23 votes, in total, on Mon Sep 25 2017.
13涨: Bencat, Elephant, QQQ?, Scaling, acoust, cw8888, pll, rightonmoney, tcm328pan, yanzi, ysc, 我是谁, 源济
10跌: bucks, coexist, goldbug, itsme, oldwolf, ranchgirl, shibainu, xinxing, 林中行, 秋雨
0平:
HI-MODEL supports 跌 (minority)

盈透阿狗

• "源济" voted 涨 at Mon Sep 25 16:05:22 2017
• "yanzi" voted 涨 at Mon Sep 25 16:06:22 2017
• "ranchgirl" voted 跌 at Mon Sep 25 16:14:22 2017
• "ysc" voted 涨 at Mon Sep 25 16:31:22 2017
• "coexist" voted 跌 at Mon Sep 25 17:46:22 2017
• "我是谁" voted 涨 at Mon Sep 25 17:50:22 2017
• "QQQ?" voted 涨 at Mon Sep 25 17:57:22 2017
• "pll" voted 跌 at Mon Sep 25 18:58:22 2017
• "rightonmoney" voted 涨 at Mon Sep 25 19:58:22 2017
• "bucks" voted 涨 at Mon Sep 25 20:18:22 2017
• "恒一" voted 跌 at Mon Sep 25 20:55:21 2017
• "shibainu" voted 跌 at Mon Sep 25 21:02:23 2017
• "Scaling" voted 涨 at Mon Sep 25 21:04:22 2017
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• "tcm328pan" voted 跌 at Mon Sep 25 23:21:21 2017
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• "oldwolf" voted 跌 at Tue Sep 26 01:01:21 2017
• "Bencat" voted 涨 at Tue Sep 26 01:06:21 2017
• "itsme" voted 涨 at Tue Sep 26 02:00:21 2017
• "林中行" voted 跌 at Tue Sep 26 02:20:21 2017
• "acoust" voted 跌 at Tue Sep 26 03:27:20 2017
  

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There are 23 votes, in total, on Tue Sep 26 2017.
13涨: Bencat, Elephant, QQQ?, Scaling, bucks, itsme, rightonmoney, sunset6, yanzi, ysc, 我是谁, 源济, 秋雨
10跌: acoust, coexist, oldwolf, pll, ranchgirl, shibainu, tcm328pan, 恒一, 林中行, 风行过
0平:
HI-MODEL supports 涨 (majority)

源济

盈透阿狗

• "源济" voted 涨 at Tue Sep 26 17:17:04 2017
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• "ysc" voted 涨 at Tue Sep 26 17:17:04 2017
• "yanzi" voted 跌 at Tue Sep 26 17:17:04 2017
• "QQQ?" voted 涨 at Tue Sep 26 17:24:06 2017
• "风行过" voted 跌 at Tue Sep 26 19:12:04 2017
• "bucks" voted 涨 at Tue Sep 26 20:14:04 2017
• "happymaker" voted 跌 at Tue Sep 26 20:19:04 2017
• "Scaling" voted 涨 at Tue Sep 26 20:47:04 2017
• "xinxing" voted 涨 at Tue Sep 26 21:08:04 2017
• "shibainu" voted 跌 at Tue Sep 26 21:50:04 2017
• "ranchgirl" voted 跌 at Tue Sep 26 21:58:04 2017
• "Elephant" voted 跌 at Tue Sep 26 22:22:04 2017
• "tcm328pan" voted 跌 at Tue Sep 26 23:04:04 2017
• "sunset6" voted 涨 at Tue Sep 26 23:05:04 2017
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• "pll" voted 跌 at Wed Sep 27 01:34:03 2017
• "acoust" voted 涨 at Wed Sep 27 03:21:03 2017
  

=============================
There are 21 votes, in total, on Wed Sep 27 2017.
11涨: Bencat, QQQ?, Scaling, acoust, bucks, itsme, rightonmoney, sunset6, xinxing, ysc, 源济
10跌: Elephant, happymaker, laolaoyao, pll, ranchgirl, shibainu, tcm328pan, yanzi, 秋雨, 风行过
0平:
HI-MODEL supports 涨 (majority)

源济

盈透阿狗

• "源济" voted 涨 at Wed Sep 27 16:06:05 2017
• "ysc" voted 涨 at Wed Sep 27 17:32:05 2017
• "QQQ?" voted 涨 at Wed Sep 27 17:52:05 2017
• "风行过" voted 跌 at Wed Sep 27 18:49:05 2017
• "Elephant" voted 跌 at Wed Sep 27 18:58:05 2017
• "bucks" voted 涨 at Wed Sep 27 19:02:05 2017
• "shibainu" voted 跌 at Wed Sep 27 19:30:05 2017
• "RespectRisk" voted 跌 at Wed Sep 27 19:36:05 2017
• "coexist" voted 跌 at Wed Sep 27 20:34:05 2017
• "Scaling" voted 跌 at Wed Sep 27 20:53:05 2017
• "yanzi" voted 涨 at Wed Sep 27 21:03:05 2017
• "novice_trader" voted 涨 at Wed Sep 27 21:05:05 2017
• "oldwolf" voted 跌 at Wed Sep 27 21:48:05 2017
• "rightonmoney" voted 涨 at Wed Sep 27 22:13:04 2017
• "我是谁" voted 涨 at Wed Sep 27 22:53:04 2017
• "Bencat" voted 涨 at Wed Sep 27 23:01:06 2017
• "tcm328pan" voted 涨 at Wed Sep 27 23:20:04 2017
• "sunset6" voted 涨 at Wed Sep 27 23:44:05 2017
• "itsme" voted 涨 at Wed Sep 27 23:47:04 2017
• "秋雨" voted 跌 at Thu Sep 28 00:23:04 2017
• "laolaoyao" voted 跌 at Thu Sep 28 00:32:04 2017
• "ranchgirl" voted 涨 at Thu Sep 28 01:39:04 2017
• "npnt" voted 跌 at Thu Sep 28 01:47:04 2017
• "林中行" voted 跌 at Thu Sep 28 02:46:04 2017
• "acoust" voted 跌 at Thu Sep 28 03:14:04 2017
• "pll" voted 跌 at Thu Sep 28 03:31:04 2017
  

===================================
13涨: Bencat, QQQ?, bucks, itsme, novice_trader, ranchgirl, rightonmoney, sunset6, tcm328pan, yanzi, ysc, 我是谁, 源济
13跌: Elephant, RespectRisk, Scaling, acoust, coexist, laolaoyao, npnt, oldwolf, pll, shibainu, 林中行, 秋雨, 风行过
0平:
HI-MODEL supports 跌 (balanced)

bucks

哈哈，俺竞猜10连中了！运气不是一般的好，是不是要金盆洗手，急流勇退啊

源济

盈透阿狗

bucks 发表于 2017-9-28 03:14 PM 哈哈，俺竞猜10连中了！运气不是一般的好，是不是要金盆洗手，急流勇退啊

恭喜 bucks 10次连续竞猜，10次全部正确 ， 了不起的高手，再接再厉，继续。。。
{:8_491:}{:8_491:}{:8_491:} {:8_491:}{:8_491:}{:8_491:}{:8_491:}

盈透阿狗

• "源济" voted 涨 at Thu Sep 28 17:06:29 2017
• "ranchgirl" voted 涨 at Thu Sep 28 17:06:29 2017
• "newyorker" voted 跌 at Thu Sep 28 17:06:29 2017
• "Elephant" voted 跌 at Thu Sep 28 17:06:29 2017
• "QQQ?" voted 涨 at Thu Sep 28 17:19:29 2017
• "coexist" voted 跌 at Thu Sep 28 17:20:29 2017
• "ysc" voted 涨 at Thu Sep 28 17:25:29 2017
• "我是谁" voted 跌 at Thu Sep 28 20:06:29 2017
• "yanzi" voted 涨 at Thu Sep 28 20:15:29 2017
• "Scaling" voted 涨 at Thu Sep 28 20:17:29 2017
• "oldwolf" voted 跌 at Thu Sep 28 20:29:29 2017
• "rightonmoney" voted 涨 at Thu Sep 28 20:33:29 2017
• "bucks" voted 涨 at Thu Sep 28 20:39:29 2017
• "shibainu" voted 跌 at Thu Sep 28 20:46:29 2017
• "novice_trader" voted 跌 at Thu Sep 28 20:47:29 2017
• "cw8888" voted 涨 at Thu Sep 28 22:50:28 2017
• "littletiger" voted 跌 at Thu Sep 28 23:22:28 2017
• "秋雨" voted 涨 at Fri Sep 29 00:09:28 2017
• "sunset6" voted 涨 at Fri Sep 29 00:17:28 2017
• "tcm328pan" voted 跌 at Fri Sep 29 00:18:28 2017
• "林中行" voted 跌 at Fri Sep 29 00:57:28 2017
• "Bencat" voted 涨 at Fri Sep 29 01:00:28 2017
• "itsme" voted 跌 at Fri Sep 29 02:04:29 2017
• "acoust" voted 跌 at Fri Sep 29 02:56:28 2017
  

======================================
12涨: Bencat, QQQ?, Scaling, bucks, cw8888, ranchgirl, rightonmoney, sunset6, yanzi, ysc, 源济, 秋雨
12跌: Elephant, acoust, coexist, itsme, littletiger, newyorker, novice_trader, oldwolf, shibainu, tcm328pan, 我是谁, 林中行
0平:
HI-MODEL supports 跌 (balanced)

盈透阿狗

bucks 发表于 2017-9-28 03:14 PM
哈哈，俺竞猜10连中了！运气不是一般的好，是不是要金盆洗手，急流勇退啊

九月份交易今天就要结束了，请大家先猜猜谁是胡同竞猜的第一、第二、第三？？？等今天交易结束之后，总结，公布。。。
希望成功者分享经验。向成功人士学习成功经验，比从失败中总结经验来得更直接，更好。

6th-Sense

哈哈。。。大家都来吃“猜”大盘； 我自己基本是短线操作。

坚强的蛋炒饭

6th-Sense 发表于 2017-9-29 08:18 AM
哈哈。。。大家都来吃“猜”大盘； 我自己基本是短线操作。

不妨把你的短线工具改造一下, 试试24 HR 或 5天的玩法. 说不定会有惊喜啊.  一起来玩玩吧.

6th-Sense

我只玩option