Machine learning in trading: theory, models, practice and algo-trading - page 2071

 
Aleksey Vyazmikin:

This is not the worst possible option :)))

I would have turned it off in a month. It will be boring.)
 
elibrarius:
I would turn it off after a month. It would be boring)

I'm training myself not to touch the TC - very difficult.

 
Evgeniy Chumakov:


Not an answer, just a topic about patterns.

I made Morse-like ZigZag patterns (long - short, etc. I got 54 patterns).

Sometimes you can see how the same letter combinations alternate in a row.

And this is a histogram of the event frequencies of the long and short arm of the ZigZag (long with a + sign, short with a - sign). By the way, pattern X has long been the maximum among the 'long', and among the 'short' most often L and P.

Ok, if everything works for you.

I've been looking for a connection between the pattern and making a decision after detecting it - I've found that further decision to buy or sell is still 50/50,

I tried with short stops, in principle I got more in the plus than in the stop loss trades, but the amount of trades is very, very small, if I remember correctly - about 10 a year - I think the results are not statistically good, when 3-4 out of 10 trades are lossy, the rest are profit


ZZY: I tried to search for patterns (combinations, as you said Morse code) by Renko, even worse than by ZigZag, probably because Renko adds a lag to the already delayed decision making after finding a pattern

 

Igor Makanu:

that the further decision to buy or sell is still 50/50,


I wasn't looking for buy or sell, but for the condition that the current knee is bigger than the previous one.

 
Evgeniy Chumakov:


I was not looking for buy or sell, but the condition - the current knee is larger than the previous one.

I test everything with the MT strategy tester - you get the result right away (or rather not)

 
Aleksey Vyazmikin:

So who will teach this strategy, he can earn, I think so :) I can pour a sample - to try my forces, if you can teach and share the secret - I will share the strategy in the code!


Basically on 1 indicator.

Show me this information


I've tried to use the history from Saber's article where I know the minimum expected payoff and time with currency - the result is zero. So far the classical systems are winning over the MO
 
Aleksey Vyazmikin:

So who will teach this strategy, he can earn, I think so :) I can fill a sample - to try their forces, if you can teach and share the secret - will share the strategy in the code!


Basically on one indicator.
So what? Will you throw the code? Or at least a sample.
 
Evgeniy Chumakov:

Not an answer, just a topic about patterns.

I made Morse-type ZigZag patterns (long - short, etc. I got 54 patterns).

Sometimes you can see how the same letter combinations alternate in a row.

And this is a histogram of the event frequencies of the long and short arm of the ZigZag (long with a + sign, short with a - sign). By the way, pattern X has long been the maximum among the 'long', and among the 'short' most often L and P.

Nice work, you did a great job.

I think it is better not to look for a pattern after a pattern, but to look for a rebound price related to this pattern, it is much harder to formalize, but it seems to me to work better...

It is like teaching the algorithm to place orders at some prices, depending on the current pattern

 
Rorschach:

Show this information


I tried to train by the story from Saber's article, where both minimum expectation and time with currency are known - the result is zero. So far the classical systems are winning the MO
Strategy Tester Report
Open-Broker (Build 2666)

Broker: JSC ''Otkritie Broker''.
Currency: RUR
Initial deposit: 1 000 000.00
Leverage: 1:1
Results:
Story quality: 56%
Bars: 1300167 Tics: 5196255 Characters: 1
Net Profit: 28 280.00 Absolute balance sheet drawdown: 45.00 Absolute drawdown of funds: 56.00
Total Profit: 168 573.00 Maximum drawdown on balance: 2 010.00 (0.20%) Maximum drawdown of funds: 2 044.00 (0.20%)
Total loss: -140 293.00 Relative balance sheet drawdown: 0.20% (2 010.00) Relative drawdown in funds: 0.20% (2 044.00)
Profitability: 1.20 Expected payoff: 3.85 Margin Level:
Recovery Factor: 13.84 Sharpe Ratio: 0.06 Z-Score: 3.41 (99.74%)
AHPR: 1.0000 (0.00%) LR Correlation: 0.97 OnTester Result: 0
GHPR: 1.0000 (0.00%) LR Standard Error: 1 834.06
Total trades: 7345 Short trades (% of winners): 3650 (32.85%) Long trades (% of winners): 3695 (29.91%)
Total trades: 14690 Profitable trades (% of all trades): 2304 (31.37%) Loss trades (% of all): 5041 (68.63%)
Largest profitable trade: 639.00 Biggest losing trade: -227.00
Average profitable trade: 73.17 Average losing trade: -27.83
Maximum number of consecutive wins (profit): 8 (360.00) Maximum number of continuous losses (loss): 23 (-565.00)
Max. continuous profit (number of wins): 1 014.00 (6) Max. continuous loss (number of losses): -685.00 (17)
Average continuous winnings: 1 Average Continuous Losses: 3


 
Evgeniy Chumakov:


Not an answer, just a topic about patterns.

I made Morse-like ZigZag patterns (long - short, etc. I got 54 patterns).

Sometimes you can see how the same letter combinations alternate in a row.

And this is a histogram of the event frequencies of the long and short arm of the ZigZag (long with a + sign, short with a - sign). By the way, pattern X has long been the maximum among the 'long', and among the 'short' most often L and P.

How do you determine long and short shoulder?

Reason: