Discussion of article "Comparative analysis of 10 flat trading strategies" - page 2
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Dear Vasily!
The process of price movements of financial instruments, in general, is non-stationary. Within the framework of the impulse equilibrium theory, we have identified a structure that is constantly repeating (not just periodically, but constantly and continuously - only the parameters of this structure change). That is why it is possible to determine the period value (or frequency as an inverse value). This is absolutely impossible within the framework of traditional types of analyses (precisely because there is no mechanism for identifying such a structure).
As for your statement that "phase is a deviation from the equilibrium position" and your suggestion to use a demodulator (and even an amplitude-phase demodulator) - these are rather strange statements, especially when applied to charts of financial instruments prices (i.e. to non-stationary processes). And "in two steps", as you say, the analysis of such a complex (non-stationary) process cannot be solved. It goes like this.
1. "a structure is identified", but "there is no mechanism to identify such a structure" - like there are aliens, but there is no mechanism to prove it.
2. at the same time "it is possible to determine the value of the period" - we know how aliens look like, but we cannot draw them.
3. "within the framework of traditional types of analysis it is absolutely impossible" - it is possible, but you are engaged in synthesis, not analysis.
Hello Alexander, great article!
Can you explain about the optimization, like what time range did you use (what split In-Sample Versus Out-of-Sample; any overlappings)?
Another thought: because of the smaller than 1y period used here, what do think of applying a Walk-Forward optimization towards these strategies?
Thanks, Martin.
Very good article.
Comparisons or tests of different trading strategies are especially valuable for every trader. I do not have to test everything myself and that saves me a lot of time.
I like to read such strategy comparisons, because I can analyze many results to further improve my own trading strategy.
I can put a lot of ideas for my own system on the page without having to test it myself. That saves me a lot of time and risk.
I wish there were more articles on mql that compare different trading strategies and trading systems and find out the profitability.
Very good article. Thank you Alexander for your work!