{"id":26322,"date":"2019-02-13T10:37:52","date_gmt":"2019-02-13T01:37:52","guid":{"rendered":"http:\/\/www.smallake.kr\/?p=26322"},"modified":"2019-02-13T10:37:52","modified_gmt":"2019-02-13T01:37:52","slug":"directional-change%ec%99%80-intrinsic-time","status":"publish","type":"post","link":"https:\/\/smallake.kr\/?p=26322","title":{"rendered":"Directional-Change\uc640 Intrinsic Time"},"content":{"rendered":"

1.
\nRichard Olsen\uc774\ub77c\ub294 \uc774\ub984\uc740 \uc0dd\uc18c\ud569\ub2c8\ub2e4. \uadf8\ub7f0\ub370 \uc774\ub825\uc740 \ubcf4\ub2c8\uae4c \uc5b4\ub5a4 \ubd84\uc778\uc9c0 \uc9d0\uc791\uc774 \uac11\ub2c8\ub2e4. Retail FX \uc2dc\uc7a5\uc5d0\uc11c \uc720\uba85\ud55c OANDA\uc758 \uacf5\ub3d9\ucc3d\uc5c5\uc790\uc774\uace0 \uc554\ud638\ud1b5\ud654\uac70\ub798\uc18c\uc640 \uad00\ub828\ud55c \ube44\uc9c0\ub2c8\uc2a4\ub97c \ud558\uace0 \uc788\ub294 Lykke Group<\/a>\uc758 \ucc3d\uc5c5\uc790\uc785\ub2c8\ub2e4. \ubb3c\ub860 \uad00\uc2ec\uc744 \uac00\uc9c4 \uc0ac\ub78c\uc740 \uc544\ub2d9\ub2c8\ub2e4. \uba87 \uc77c\uc804 Quantnews\uc5d0 \uc62c\ub77c\uc628 The Alpha Engine: Designing an Automated Trading Algorithm<\/a>\uc744 \uc77d\uc73c\uba74\uc11c \uc811\ud588\uc2b5\ub2c8\ub2e4. \ucd08\ub85d\uc744 \ubcf4\uba74 30\uc5ec\ub144\uc804\ubd80\ud130 \uc5f0\uad6c\ud574\uc654\ub358 \ud2b8\ub808\uc774\ub529\ubaa8\ub378\uc774\ub77c\uace0 \ud569\ub2c8\ub2e4. 81\ub144 \ubc1c\ud45c\ud55c \uc878\uc5c5\ub17c\ubb38\uc774 \uc2dc\uc791\uc774\uace0 1993\ub144\uc5d0 \ubc1c\ud45c\ud55c A geographical model for the daily and weekly seasonal volatility in the foreign exchange market<\/a> \uc5d0 \ubfcc\ub9ac\ub294 \ub450\uace0 \uc788\ub294 \ub4ef \ud569\ub2c8\ub2e4. The Alpha Engine: Designing an Automated Trading Algorithm <\/a>\uc5d0 \uc62c\ub77c\uc628 \ub17c\ubb38\uc911 Alpha Engine\uc774 \uae30\ubc18\ud55c \ubaa8\ub378\uc785\ub2c8\ub2e4.<\/p>\n

The building blocks of the efficient trading model include:<\/p>\n

– An endogenous time scale, also called intrinsic time<\/strong>, that dissects the price curve continuously and allows for determination of position sizes by identifying market activity that deviates from normal behavior. Rather that action based on a specific time, action is more accurately measured by events.
\n– Patterns, called scaling laws (also observed in physics, biology, earth and planetary sciences, economics, finance, etc.), that measure an immense number of natural processes and adjust for them.
\n– Skewing of cascading and de-cascading coastline innovation to mitigate the risk of large inventory size during trending markets.
\n– Introduction of asymmetric thresholds by eliminating static and rigid guide points that arbitrarily limit directional change thresholds.<\/p><\/blockquote>\n