Machine learning in trading: theory, models, practice and algo-trading - page 3224

[Maxim Dmitrievsky]

Now there is some correlation within the chains, 100 ticks long.

I can make it for another depth, if it coincides with the average life of TC positions, it should work, by idea.

https://disk.yandex.ru/d/PnU3K-tUgmu-oA

[fxsaber]

Forum on trading, automated trading systems and testing of trading strategies

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

fxsaber, 2023.09.06 10:50 AM

#property script_show_inputs
#property link "https://www.mql5.com/ru/forum/86386/page3216#comment_49148211"

input string inFileName = "Ticks.bin";

void OnStart()
{
  MqlTick Ticks[];
  
  const int Size = (int)FileLoad(inFileName, Ticks);
  
  if (Size > 0)
  {
    const int Handle = FileOpen(inFileName + ".csv", FILE_WRITE | FILE_ANSI);
    
    if (Handle != INVALID_HANDLE)
    {
      for (int i = 0; i < Size; i++)
        FileWriteString(Handle, (string)Ticks[i].time + "." + IntegerToString(Ticks[i].time % 1000, 3, '0') + " " +
                                DoubleToString(Ticks[i].bid, 5) + " " + DoubleToString(Ticks[i].ask, 5) + "\n");
      
      FileClose(Handle);
    }
  }
}

CSV: time bid ask.

There is an error in this place: it should be time_msc. But it has no effect on the results after the message.

Please restart so that timestamps are displayed correctly for the next generations.

[fxsaber]

Maxim Dmitrievsky #:

Now there is some interconnectivity within the chains, 100 ticks long

I can make it to a different depth, if it coincides with the average life of TC positions, it should work, in theory.

https://disk.yandex.ru/d/PnU3K-tUgmu-oA

.

[Rorschach]

You can try to make 3 distributions (only for bid, with ask you need more).

Take ticks for 1 hour of each day, build the distribution of lengths of the resulting pieces, this is the 1st distribution. Glue all the pieces into 1, look for the distribution of series in 1 direction in a row, this is the 2nd distribution. We get the increments, look for their distribution of amplitudes. And so on for each hour. Then we need to make a PRNG for each distribution.

[Forester]

Maxim Dmitrievsky #:

Now there is some interconnectivity within the chains, 100 ticks long

I can make it to a different depth, if it coincides with the average life of TC positions, it should work, in theory.

fxsaber #:

What do you do? Do you train on ticks or on mixed ticks?
0,07000 is the balance for 6 million trades? At 1.16 e-8 per trade?

[Maxim Dmitrievsky]

fxsaber #:

.

Well, it's gonna be hard to get into graality that way, I guess.

[fxsaber]

Forester #:

What are you doing?

Doing this.

The figure shows a slice of the optimisation using the methodology fromthis post. It was obtained as follows.

1. Real tick quotes.
2. Optimisation (MetaTrader 5) of the TS on the interval (on the screen it is between two vertical blue lines) - Sample was performed.
3. Optimisation was specially interrupted for 2000 passes of GA (genetic algorithm), so that among the best results there was a scatter in the cloud of input parameters.
4. The 20 best (MaxBalance criterion) variants out of 2000 were taken and for each one a backtest was performed on a wider interval. That is, the left and right of Sample contains OOS (Out-of-Sample).

The picture above and shows the final result. It seemed to me an opportunity to state that the TS is profitable. I.e., the criterion for differentiating between the OOS and OOS was supposedly found!

[Maxim Dmitrievsky]

https://youtube.com/shorts/Xg87PU4kG2U?si=rA4q6yE0Rf9dMpn0

[fxsaber]

Maxim Dmitrievsky #:
h ttps:// youtube.com/shorts/Xg87PU4kG2U?si=rA4q6yE0Rf9dMpn0

If anything, I have youtube disabled.

Perhaps this way of improving your results in algo-trading will help someone.

On a working computer in the file %WinDir%\System32\Drivers\Etc\hosts you should write such lines in the file %WinDir%\System32\Drivers\Etc\hosts:

127.0.0.1 youtube.com www.youtube.com
127.0.0.1 t.me

And then run the command.

ipconfig /flushdns

In some cases, such a strange, at first glance, method of artificially disabling Internet resources has a positive effect.

[Maxim Dmitrievsky]

fxsaber #:

If anything, I have youtube turned off.

That's too harsh an asceticism :)

Unfortunately, there is no direct correlation between effort and results in trading