Discussion of article "Risk Evaluation in the Sequence of Deals with One Asset. Continued"

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New article Risk Evaluation in the Sequence of Deals with One Asset. Continued has been published:

The article develops the ideas proposed in the previous part and considers them further. It describes the problems of yield distributions, plotting and studying statistical regularities.

Let us consider the simplest version of searching for deviations from a random walk. This will be a measure of how much the price moves in the gap direction until it gets filled. It is also possible to obtain an empirical distribution of this variable by the price history and compare it with the theoretical one. Some goodness-of-fit criterion can be used for comparing these two distributions.

Consider a model of a symmetric random walk with discrete time. Let large gaps be rare in it (as in real prices), and let the model be close to a walk with continuous time (Wiener process) in the intervals between the gaps. Introduce the notation: g — the gap size, m — the maximum movement in the direction of the gap before it gets filled. Then the random variable x=m/g will have a distribution function close to the function P(x) — such that P(x)=1-1/x if x≥1, and P(x)=0 if x<1. The Figure illustrates the introduced values:

Gap directed down.

Author: Aleksey Nikolayev

 

There is a design flaw (no highlighting part in one MQL code).

I would like a practical example based on formulas, with demonstration of the benefit of risk assessment.

 
Stanislav Korotky:

There is a design flaw (no highlighting part in one MQL code).

You are right. I did not know that after editing the code the highlighting is not set automatically.

 
Stanislav Korotky:

I would like a practical example based on formulas, demonstrating the benefit of risk assessment.

Risk (as defined at the beginning of the previous part of the article) is simply converted into transaction volume. They are directly proportional. If the optimal risk calculated by us is equal to ropt and if we lose a share of capital r0 when the stop-loss is triggered accurately, then the optimal volume will be equal toropt/r0lots .

In addition, we get an estimate of nmin for number of trades in the series, which is necessary to analyse the system.

 

Extended answer to the question about the application of the risk theory:
I have posted on the Market a script Volume Optimizer, which uses this theory. It determines the optimal trade volume based on the history of trades.

 
Aleksey Nikolayev:

Extended answer to the question about the application of the risk theory:
I have posted on the Market a script Volume Optimizer, which uses this theory. It determines the optimal trade volume based on the history of trades.

You were asked a specific question, although it sounded like a wish:

I would like a practical example based on formulas, with a demonstration of the benefit of risk assessment.


Where is the comparison between regular trading and trading using your method? What is the advantage of your method?

If there is no advantage, then you should write so:

Everything I've been doing is rubbish, don't do it.

Or show, visually, the advantage of your method.
 
Sergey Chalyshev:

You were asked a specific question, although it sounded like a wish:

Where is the comparison between conventional trading and trading using your method? What is the advantage of your method?

If there is no advantage, you should write so:

Everything I've been doing is rubbish, don't do it.

Or show, visually, the advantage of your method.

If Stanislav Korotky found my answer insufficient, he would have reported it here in the past 10 months and without your help.

If you want meaningful answers to your questions, then formulate them without rudeness and unreasonable demanding.

 
Aleksey Nikolayev:

If Stanislav Korotky found my answer insufficient, he would have reported it here in the past 10 months and without your help.

I said "I would like to" ;-) - I was just expressing a wish. I wish a lot of things - I realise it doesn't mean anything.

I do think that a comparison of trading with and without using the method - so to speak side by side - would be more illustrative and convincing.

Unfortunately, the MQ website and forum leave much to be desired (as well as many other things ;-), so I just didn't follow the "continuation of the banquet" 10 months ago.

 
Stanislav Korotky:

I said "I wish" ;-) - I was just making a suggestion. I would like a lot of things - I realise it doesn't mean anything.

I do think that a comparison of trading with and without using the method - so to speak side by side - would be more illustrative and convincing.

Unfortunately, the MQ website and forum leave much to be desired (as well as many other things ;-), so I just didn't follow the "continuation of the banquet" 10 months ago.

Your post, in part, looks like an excuse for this mate's rudeness. It's not clear why that's necessary. Perhaps you just don't care about rudeness directed in a direction other than your own. Then this is a completely wrong position. Rudeness has a property of unlimited expansion like a gas and if it is not limited in time, sooner or later it will turn against you.

Nevertheless, the question raised by you and your rude astrological associate, undoubtedly, has sense. Next post here I will express myself on this topic.

 
I will try to describe the practical benefits of the article. If we do it very briefly, there is nothing more practical than good theory. Now more detailed. Risk in a trade is a very important value. Too big will ruin the deposit even for a profitable strategy, because losing trades happen even in this case. Too small - will not give an opportunity to make profit for the time of strategy work, which is not infinite due to market volatility. What methods are commonly used to determine risk?
1) With reference to some "experienced traders" they name a specific percentage of the deposit. Most often in the region of 1-3%
2) The theory of optimal f Ralph Vince
The first option gives a more or less meaningful value on average, but has no justification and does not distinguish between systems, which can be very different. The second one is simple and reasonable, but usually overestimates the risk and, as a consequence, gives a large drawdown. The third option also overestimates the risk, but in different ways, depending on the optimisation criterion.

These two articles describe a method that gives an adequate and reasonable value for risk in conditions of uncertainty, which is always inherent in the market. At the same time, the value of this risk is determined based on the history of the Expert Advisor and the trader's preferences in terms of profitability, drawdown and riskiness in trading. Thus, this theory is a clear step forward compared to the above-mentioned theories. That is why it is practically useful. Also, its study will help to increase the level of understanding of probability theory, which is also very useful.
 
Aleksey Nikolayev:

Your post, in part, looks like an excuse for this mate's rudeness. It's not clear why that's necessary. Perhaps you just don't care about rudeness directed not in your direction. Then this is a completely wrong position. Rudeness has a property of unlimited expansion like gas and if it is not limited in time, sooner or later it will turn against you.

Nevertheless, the question raised by you and your rude astrological associate, undoubtedly, has sense. The next post here will speak on the subject.

I was not making excuses for anyone. I wrote on the topic. Responded only to you. No rudeness allowed. I even put a smiley face. And what your perception is is a separate issue. It kind of diverts from the topic and gives not quite constructive approach, so I stop further participation in this "discussion".

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