Machine learning in trading: theory, models, practice and algo-trading - page 3221

[Maxim Dmitrievsky]

fxsaber #:

Timestamps do not match the original timestamps. MQ-demo is not interesting.

https://disk.yandex.ru/d/Rc3uOON6M_IAYw

[fxsaber]

Maxim Dmitrievsky #:

https://disk.yandex.ru/d/Rc3uOON6M_IAYw

2023.03.01,00:00:00.800,6.001640530494182

If it is an increment, in what units?

[Maxim Dmitrievsky]

fxsaber #:

If it is an increment, in what units?

This is already converted back to prices

I added a positive number to the whole series (+6.0) to make it greater than zero. It seems custom symbols don't digest negative values

Don't pay attention to "close" on the screen, it's ticks.

[Maxim Dmitrievsky]

I don't know how it happens that random series often show ordered structures like penta-waves, with nested inside also penta-waves, as on the screen above. Then we can reject the whole Elliott theory :)

Self-similarity in Brownian motion?

The same with "levels"

[fxsaber]

Maxim Dmitrievsky #:
I don't know how it happens that random series often show ordered structures like five-wavelets, with nested five-wavelets inside, as on the screen above.

You must have seen the patterns in Soviet TV sets without antenna.

[Maxim Dmitrievsky]

fxsaber #:

You've probably seen patterns in Soviet TVs without an aerial, too.

Nah, only on the carpet

[fxsaber]

Maxim Dmitrievsky #:
This has already been converted back to prices

#property script_show_inputs
#property link "https://www.mql5.com/ru/forum/86386/page3220#comment_49180634"

// https://www.mql5.com/ru/forum/86386/page3216#comment_49148211
input string inFileName = "Ticks.bin";

// https://www.mql5.com/ru/forum/86386/page3220#comment_49180488
input string inFileNameGenerator = "TicksGM1.csv";

void SetAvgPrice( MqlTick &Tick, const double Price )
{
  const double Spread = (Tick.ask - Tick.bid) / 2;
  
  Tick.bid = NormalizeDouble(Price - Spread, 5);
  Tick.ask = NormalizeDouble(Price + Spread, 5);
}

void OnStart()
{
  const int Handle = FileOpen(inFileNameGenerator, FILE_READ | FILE_ANSI);
  
  if (Handle != INVALID_HANDLE)
  {
    MqlTick Ticks[];
    const int Size = (int)FileLoad(inFileName, Ticks);

    int Amount = 1;

    while (!FileIsEnding(Handle))
      // https://www.mql5.com/ru/forum/86386/page3220#comment_49180613
      SetAvgPrice(Ticks[Amount++], (double)StringSubstr(FileReadString(Handle), StringLen("2023.03.01,00:00:00.800,")));
      
    FileClose(Handle);
    
    Ticks[0] = Ticks[1];    
    ArrayResize(Ticks, Amount);
    
    FileSave(inFileNameGenerator + ".bin", Ticks);
  }    
}

Added the real spread.

[Maxim Dmitrievsky]

fxsaber #:

I added real spread.

I can upload other generations later, if necessary, with other parameters.

[fxsaber]

fxsaber #:

Added a real spread.

Optimisation result.

Compare with the original. In general, it didn't work here.

ZЫ Interestingly, the optimisation chart is close to the H2 timeframe shown above.

[fxsaber]

Maxim Dmitrievsky #:
I can upload other generations later, if necessary, with different parameters.

I have published the scripts, so you don't need to invent anything yourself to try new data.