ЗЕРКАЛЬНЫЕ ПАРЫ. АЛГОРИТМ «ЛИНЗА»

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<ul><li><p>35</p><p> 0,1 , , = 10% 0,2 = 20% 0,4 . </p><p>3. - - , ( ). - , = 0% (. . 1), - . = 20%. , - .</p><p>4. , I, II, I . - .</p><p>1 .. . , 1996. </p><p>2 .. // - : . . ., . , 1720 . 2006 . , 2006. </p><p>3 .4 .. . .5 .. . .6 .</p><p>.. </p><p> .. , 2007</p><p> , . , - , . ( ) , , 1. - - . 2, , . : , , , .</p><p> - - - . t1, t2, , tn . - Pt1, i, Pt2, i, , Ptn, i, Ptk, i i- ( ) k- ( , ; -</p><p>, , -, ); i , i = [1:m]. k = [1:n] : Pi, max = max(Ptk, i) Pi, min = min(Ptk, i). - Ptk, i, norm = 1 + 2(Ptk, i Pi, min)/(Pi, max Pi, min). , Ptk, i, norm [1, +1] . , , - i- j- : Di, j = |Ptk, i, norm Ptk, j, norm|.</p><p> Ptk, i, norm - , . , - , () () () -, .</p><p> . </p><p>.. </p><p> . </p></li><li><p>36 . 2007. 4 (54)</p><p>, - </p><p> , , - , . - , . . - , -, .. , - () , , . 3 .. - , - ( ) , .. Di, j - .</p><p> , - , , , .. - . EUR/USD USD/CHF, EUR/GBP GBP/CHF.</p><p>, , . (USD) . , USD - EUR/USD - USD/CHF. , - , (CHF) - (EUR), , EUR CHF. , , . .</p><p>, , - </p><p>, Di, j . - . , - sell ( ), buy ( - ).</p><p>, - , ( - , ) . , , MACD, ADX, 4, - - 5, . , . , ( ) .</p><p>, , - . - , , . - : (- ) -, , , - , -, .</p><p> - , -, .. - , .., </p></li><li><p>37 . 2007. 4 (54)</p><p>.. </p><p> - , .</p><p> - - , , - , - .. , - , .</p><p> (.. - ), - Pi, min Pi, max, history, . , - , , ( - ). - .</p><p> - Pi, min Pi, max. , , - , .</p><p> Pi, min Pi, max , -. . - 6. , , -. , Di, j - filter (entry). -</p><p> , .</p><p> , , :</p><p> . , -, - ( ), MACD ..7 -: , , ;</p><p> - : Ptk, i, norm &lt; &lt; Ptk 1, i, norm Ptk, i, norm &gt; Ptk 1, i, norm , .. Di, j ;</p><p> , .</p><p> - , . () -, . , . , , (buy, sell) (buy, buy) (sell, sell) . , - , .</p><p> trailing stop, , - :</p><p>1. Di, j - , filter (exit), .</p></li><li><p>38</p><p>, - </p><p>2. (Ptk, i, norm Ptk, j, norm) .</p><p>3. Di, j - () take profit .</p><p>4. -, take profit ( i-). (j-) - , ( , ), . buy, , sell , (.. ), (buy, buy) (sell, sell), . i- -, j- . - .</p><p>5. history , .. - Di, j . , - .</p><p> trailing stop , . , - .</p><p> - 2004 . , -, , --, - , : - , , - -. - , - , - 2 .</p><p>1 ., .. . ., 1999; . . ., 2003.</p><p>2 . . ., 2000. 3 . </p><p> . ., 1976.4 ., .. . .; . . </p><p>.5 .. -</p><p>. ., 1977. 6 ., .. . .; . . </p><p>.7 .</p><p>.. </p><p> , , </p><p> *</p><p>* -10 - ( 2.1.3.1419), (20062008 ). , 01.2.006 06902.</p><p> - , , .., </p><p> , - .</p><p> .. , , 2007</p></li></ul>

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