Pair trading and multicurrency arbitrage. The showdown. - page 196
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It's not the same thing.
You've got it all mixed up in your head.
Well, it won't work without bruteforcing anyway. The problem, imho, is that the global extremum obtained during optimisation does not necessarily correspond to any real regularity, but rather it corresponds to some overfitting. And even if you apply a more complex optimisation scheme with metaparameters and crossvalidation, it will only add to the possibilities for misses (overfitting of metaparameters, for example).
Intuition suggests that the reason is the weakness of real-world patterns versus the seemingly random patterns sporadically occurring in any sample. Sort of like pyrite, "fool's gold", which gets in the way of finding real gold.
There was a thought in the MO thread that MO!=optimisation and it should be taken to its logical conclusion.
There was a thought in the MO thread that MO!=optimisation and should be taken to its logical conclusion.
and what are the differences?
Well, you can't do it without bruteforcing anyway. The problem, imho, is that the global extremum obtained during optimisation does not necessarily correspond to any real regularity, but rather it corresponds to some overfitting. And even if you apply a more complex optimisation scheme with metaparameters and crossvalidation, it will only add opportunities for misses (overfitting of metaparameters, for example).
Intuition suggests that the reason is the weakness of real-world patterns versus the seemingly random patterns sporadically occurring in any sample. Something like pyrite, the "fool's gold" that prevents you from looking for real gold.
There was a thought in the MO thread that MO!=optimisation and it should be taken to its logical conclusion.
GOLD.
I fundamentally don't care who I'm misunderstanding.
but there's a factotum you missed.
UNTIL YOU CHANGE YOUR LUDOMANIACAL MINDSET, YOU'LL NEVER CARE ABOUT ANYTHING.
Well, finally we have confirmed in the opinion that optimisation is only good for soothing the soul.
It should have been realised a long time ago, and that's just the first thing.
Number two. Any deal can bring both profit and loss on the initiative of the quoter. That is, the price will go where the quoter wants it to go by the movement of the quoter's mouse at the other end of the wire.
3е. The price in the medium term goes against the crowd, and in the short term - against the maximum risk, provided that the money of the risk taker will easily fall into the pocket of the quoter.
---
And to summarise, I think it's proven that:
- MO cannot be screwed in any way and nowhere, it is just as useless as any kind of analysis and processing of historical data in order to develop a trading signal.
- the presence of a stop is a voluntary drain, weakness and deficiency of the strategy.
1. The problem, imho, is that the global extremum obtained during optimisation does not necessarily correspond to any real regularity, but rather it corresponds to some overfitting. And even if you apply a more complex optimisation scheme with metaparameters and crossvalidation, it will only add opportunities for misses (overfitting of metaparameters, for example).
2. intuition suggests that the reason is the weakness of real-world patterns compared to the seemingly random patterns sporadically appearing in any sample. Sort of like pyrite, "fool's gold" that prevents you from looking for real gold.
3. In the MO thread there was a thought that MO!=optimisation and it should be taken to its logical conclusion.
1. Suppose that it is possible to obtain the result of absolutely all parameter variants, i.e. a complete enumeration. Do you have a way to unambiguously select a variant from the obtained full set of sets, provided that such a set will work in the future? If there is such a way, then there is a way to express FF so that it would be a global maximum and immediately search for it during optimisation. If there is no such a way, then there are complaints about the global maxima not working in the future.
2. Agreed.
3. Saying that "MO!=optimisation" is the same as saying "engine!=fuel". Of course not the same thing. But fuel is necessary for any engine, the engine itself without fuel is worth exactly as much as scrap metal from chegunina and non-ferrous, nothing more.
UNTIL YOU CHANGE YOUR LUDOMANIACAL MINDSET, YOU'LL ALWAYS BE FLAT.
If you can't answer a question, just say so, there's no need to caption it, "so and so, I can't do it, I can't, but I'm a dartan"...
or shut up, which is also reasonable.
If you can't answer a question, just say so, no need to say "so and so, I can't, I can't, but I'm a dartan".
or shut up, which is also reasonable.
IF YOU HAD DONE WHAT I ASKED YOU TO DO IN MY FIRST THREAD. YOU WOULD HAVE SEEN THE GRAIL.
What thread?
Give me a link or a title.
I'll read it.