Machine learning in trading: theory, models, practice and algo-trading - page 1597

 
Boris:

As for H1, everything is much sadder there

for example here without spread and commission

and now take into account the spread and commission


or here's WITHOUT

and now WITH the spread and commission


someone (market-maker) has long figured out this trick and is successfully using it.

etc.

and we cannot ignore spread + commission

If on the daily chart there is less spread and commission of just 2% of candlestick shadows, then on the H4 it is 6+% for the eurusd

So filter out the weak signals over the threshold
 
Maxim Dmitrievsky:
So, cut off weak signals over the threshold

And again we come to the question of overtraining

Wouldn't such a cutting off be overtraining?

If we cut it bravely, we can raise profitability up to 40% per annum, but

"I'm afraid, Slavik..." (С)

 
Maxim Dmitrievsky:
So filter out the weak signals over the threshold
It will be interesting to know your results and compare them
 
Boris:

and we come to the question of overtraining again

Wouldn't such a cutoff be overtraining?

If you boldly "cut off", then the profitability can be raised up to 40% per annum, but

"Slavik, I'm afraid..." (С)

It's not retraining but a selection of signals that produce a profit. Not all returns deviate significantly from zero. My results are in the article. I do not know where 40% of your results come from, it is a matter of money management.
 
Maxim Dmitrievsky:
It's not retraining but a selection of signals that give profits. Not all returns deviate significantly from zero. My results are in the article. I don't know where the 40% is taken from, it's a matter of money management.


The method of choice and can be overtraining

 
Boris:

way of choosing and could be overtraining

I don't understand these definitions. You need to beat the spread and the commission, so you set a higher threshold. The distribution of the other patterns does not change in any way.
 
Maxim Dmitrievsky:
My results are in the article. I don't know where you got the 40% from, it's a matter of money management.

I took the maximum drawdown of the balance, multiplied by 6 (drawdown = 1/6 of the deposit), the average annual revenue divided by the deposit size and voila

 
Maxim Dmitrievsky:
I do not understand these definitions. You need to beat the spread and the commission, so you set a higher threshold. The distribution of the other patterns does not change in any way.
Selecting only the inputs you like among all of the available inputs, which are given to you by the pattern you identified, is retraining.
 
Boris:
Choosing among all the available inputs that you are given by the pattern you have identified, only those that you like, is overtraining

The correlation between the current and lagged returnee does not change, we just select those increments that are larger than the spread

you can see there on the jinnplots. We can make a separate study for this subsample, of course. I do not have time yet, but I already have an idea for a new article.

By the way, it is an excellent idea to first exclude the returns less than the spread and then to look at dependencies only for them

 
Maxim Dmitrievsky:

The correlation between the current and lagged returnee does not change, we just select those increments that are larger than the spread

you can see there on the jinnplots. We can make a separate study for this subsample, of course. I do not have time yet, but I already have an idea for a new article.

By the way, it is an excellent idea to first exclude the returns with a smaller spread, and then look at the dependencies only for them

communication is the greatest value!


it has been noticed that some pairs already show a "slide", i.e. the presence of a local maximum after which the balance curve starts to look down

The fate of the remaining equations is similar to that of some other pairs, i.e. they have already started to control the process

in this regard, it is better to look for solutions that do not have a "slide", but do not put them in the public domain

Reason: