Has anyone made Automatic Virtual Self-Optimization for their robot? - page 3
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the only normal way to test a strategy on history suddenly becomes "inherently unworkable" when you put it inside an EA? )
ok
in any machine learning program you can divide it by 100500 fouls and still end up with rubbish
If the TS is unable to adjust to a consistently negative spread, then self-optimisation should help - the TS should become profitable.
If self-optimisation when the spread is negative does not help, there is probably something wrong with the TS.
How to explain it... with a monotonically changing pattern, self-optimisation works. For example, if a straight line under a slope grows and for the TS you just need to update the data (parameters), recalculate for new values, and all that sort of thing
in the market it's a guessing game in any combination, because the patterns change by leaps and bounds and in a dramatic way
and if you've found a period for self-optimization, it means you've found cycles for parameter correction and you don't need a self-optimizer anymore
self-optimisation is the equivalent of a moving average
that patterns change in leaps and bounds and in dramatic ways
Jumps are not as bad as their frequency. That is, you need to make more money on the quiet stretch than you lose on the spikes. And for that you need the quiet stretch to be relatively long. The ability to squeeze a profit out of the quiet part is to a large extent the merit of self-optimization.
Quiet segments are often absent. Or they are quiet on a different time scale.
If the TS is unable to adjust to a consistently negative spread, then self-optimisation should help - the TS should become profitable.
If self-optimisation when the spread is negative does not help, there is probably something wrong with the TS.
How to explain is...
First of all, understand what you want to explain.
self-optimisation is analogous to a moving average
Yes, it's just part of the TS. The difference from EMA is that you can not change the TS code at all to enable self-optimisation. I.e. it is an independent block of TS. Approximately like many MM-modules.
Your system adjusts for negative spreads
I don't know what you mean. I try to make sure that optimising the TS on a negative spread gives the right result.
it is normal to first understand what you want to explain.
I am saying that self-optimisation is not necessary at the trading stage. Somehow it may be needed for parameter search
Surges are not as bad as their frequency. That is, you need to earn more on the quiet stretch than you lose on the surge. And to do that, you need the quiet period to be relatively long. The ability to squeeze a profit out of the quiet part is to a large extent the merit of self-optimization.
Quiet segments are often absent. Or they are quiet on a different time scale.
I see, it's like expecting sandcastles to be stable, without knowing what kind of sand they are made of and when they will all fuckin' fall apart. the hell out of it :)