Discussion of article "Optimal approach to the development and analysis of trading systems" - page 4

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Denis Kirichenko:

I.e. 12 lines of code are meaningless. This is to the question of efficiency and optimality :-)

.....

Eugene, by the way, there is such a function CopyRates().

i.e. if you write the code above as follows:

bool CalcAllMQL5Values(const int CandlesE,MqlRates &data[] )//array recalculation
  {
     return(CopyRates( _Symbol, _Period, 0, CandlesE, data)>0);
  }

then the maths of the author of the article will be correct (less code = more profitable TS)

;)

SUS: variable names should be short too, it will increase efficiency.....


I'm leaving now, in the terms of the author of the article - hating the topic, I think that's what it's called, I'm not sure if that's what I wanted to do.

 
Igor Makanu:

i.e. if we write the code above as follows:

then the author's maths will be correct (less code = more profitable TS).

;)

SZY: variable names should be short too, it will increase efficiency....


I'm leaving, in the terms of the author of the article - hating the topic, I think that's what it's called, I'm not sure if that's what I wanted.

You just don't understand the point of the article, it's not about programming, I meant the lines of code that are not duplicated. Tell me why do I need to fiddle and invent a bicycle where everything works? You are missing the fact that it is all within the framework of tester strategies where there is no sense in wising up, and all your checks, well, you will do them, so what? Instead of 20 points of expectation matrix you'll get 19. Is it really that important to you? You're not making any sense.

 
What do you want from the article, do you know what you want? Answer this question, please. Since we're having this conversation, let's reason.
 
Aleksey Vyazmikin:

The formulas themselves have not been analysed or checked for correctness of construction.

As for the logic for their construction, I have already written earlier that this is an approach that has a right to life, if its applicant has the ability to generate new ideas.

Of course, any Expert Advisor has its own logic, a set of functions that pass from one Expert Advisor to another and they are constants, but the additional logic that generates market entry can be different, and I agree that if it brings profit at the initial stage with simple rules and a sufficient number of entries, the chances to squeeze more profit out of it will be greater with the same number of additional inequalities (lines of code) to the basic strategy. This genetic selection of ideas simply does not mean that the discarded ideas are bad, it means that it will take more time to develop (evolve) them, while humans have a limited supply of it.

Alexei got it right. Glad there are such people

 
"For example, what is K?" - Denis, especially for you, K is the coefficient of your speed of hitting the keys. It's hard to take everything into account and chew it all out. If you have any questions, I'll answer any of them. I am not avoiding answering, I am ready to answer any question. You can write another way: K = 1/K0 , where K0 is an analogue of K, with the only difference that the more K0 the less K, the less the final time. These are skills that cannot be taught. It is the level of your mastery of mathematical apparatus and your ability to analyse data, turn it into formulas and check them in practice. In fact, they teach a lot of things in institutes, but I'm not writing a book yet. I will describe everything in much more detail as the need arises.
 

Eugene, you seem to be a techie... so, on the subject of optimisation... a few thoughts of my own...

The most visual thing is a graph. We see curves, we see dependencies, we see areas, what and where we need to optimise... It's a pity that your material didn't have that....

But of course, to do that, we need to get a view of the curve describing the kind of linkage law we are interested in...

My rough estimate of the resource costs for searching and refining a profitable strategy: most likely we are dealing with a logarithmic law.




On the X axis are all labour costs, on the Y axis are the returns of the strategy.


The question then is. What point should we stop at [x,y]? Interesting opinion of interested developers...

 
Denis Kirichenko:

My rough estimate of the resource costs of finding and refining a profitable strategy: we are most likely dealing with a logarithmic law.

On the X axis are all labour costs, on the Y axis is the strategy's return.


The question then is. At what point should we stop [x,y]? Interesting opinion of interested developers...

I have been on a plateau on some types of TCs for a long time. However, some types of TCs I haven't even tried. Perhaps it is useful to switch to the unknowable when there is no progress in the previous directions.

 
Denis Kirichenko:

Eugene, you seem to be a techie... so, on the subject of optimisation... a couple of thoughts of my own...

The most visual thing is a graph. We see curves, we see dependencies, we see areas, what and where we need to optimise... It's a pity that this was not present in your material....

But of course, to do this, we need to get a view of the curve that describes the law of relationships that we are interested in...

My rough estimate of the resources required to find and refine a profitable strategy: most likely we are dealing with a logarithmic law.




On the X axis are all labour costs, on the Y axis is the strategy's return.


The question then is. At what point should we stop [x,y]? Interesting opinion of interested developers...

You don't need the first and second derivatives here, they won't give you anything. They would help if your first derivative had zeros, but here the sign does not change. The first one will help you find extrema, the second one will help you find the type of extremum (trough or peak).There are 3 options in my opinion.

  • 1) You proceed from the minimum acceptable return and just stop at the variant with the minimum return, at the minimum a=a(X0). X0 is the argument of your function at the first found minimum value.
  • 2) Look for the extremum of the combined index, say A(x)=a(x)/x , which reflects essentially the efficiency of your time utilisation. The extremum should be in the interval [X0,X1]. X1 is the maximum available for you labour input for 1 trading system. That is, you have an interval of values of the argument, in which you should look for the maximum A(x). (already a combined index, not the initial one).
  • 3) You proceed from a comfortable for you return Say a=a(X2), where you will not have any doubts that trading will be comfortable and not risky and when this indicator is reached you just take X2. X2 is the argument of your function at the nearest comfortable performance indicator

Personally, I would choose the 2nd option if I value my time, and it is very valuable.

 
fxsaber:

I have been on a plateau for a long time on some types of TCs. However, some types of TC have not even been tried. Perhaps it is useful to switch to the unknown when there is no progress in the previous directions.

You are right in your thinking). It is even more of a philosophical question ). If you don't succeed, try something new, of course it doesn't always happen, but usually there is a feeling in your subcortex that you are just wasting your time.

 
You strangely ignored the letter from 20.09.2020 to personal mail . You could have at least just two words - your opinion.
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