Difference calculus, examples. - page 13

[Aleksey Panfilov]

Let's simplify the expert. We will take values from lines that have already been constructed by extrapolation (which are not redrawn).

At each timeframe we will shift the line to the right by two different values.

// Пересечение двух линий индикатора на среднем таймфрейме зона основного сигнала.
input        int L1_1_line_power =3;
input        int L1_1_leverage = 67;
input        int L1_1_line1_SHIFT = 10;
input        int L1_2_line1_SHIFT = 30;

   Handle_4P72_L0_1=iCustom(NULL,0,"2018_02_15_4P72.ex5",L0_1_line_power,L0_1_leverage,L0_1_line1_SHIFT);
   Handle_4P72_L0_2=iCustom(NULL,0,"2018_02_15_4P72.ex5",L0_1_line_power,L0_1_leverage,L0_2_line1_SHIFT);

And we will make optimization as in message 112. We will close each transaction with a reversal. All the time in the market.

[Aleksey Panfilov]

Tell me, am I the only one who is surprised by such a distribution of MAE and MFE?

It turns out that with any result of the position, the movement both in plus and minus are fixed strictly certain values.

Maybe there is a bug in the results display? Check it, huh?

I will not be able to check it myself in the near future. But if we believe the MFE chart, without SL with TP = 2450 (in five digits) we may gain many positions.

True, the Expert Advisor should be with the switch, as in message 120.

I have attached the "with switch", default values for EURUSD, the last two years before February 14.

[Aleksey Panfilov]

Aleksey Panfilov:

Do you know, am I the only one who is surprised by such a distribution of MAE and MFE?

But if we believe the MFE chart, then without SL with TP = 2450 (in five digits) we can get a lot of positions.

True, the Expert Advisor should be with the switch, as in Message 120.

I have tested the Expert Advisor with the mentioned TP, the increase is about 200 points, most likely just for a couple of selected deals. And viewing the trades on the chart does not imply such a clear distribution.

Therefore, the question and misunderstanding remain. Perhaps the algorithm with the reversal itself forms such a distribution, why?

[Aleksey Panfilov]

Three layers, four years, genetic algorithm. Below expectations, but I won't throw it away just yet.

[Aleksey Panfilov]

On a small interval (1 month) the indicators are more attractive. ))

[Maxim Dmitrievsky]

Well, this is the usual curvafitting

What if in the previous month with the same set?

[Aleksey Panfilov]

Maxim Dmitrievsky:

Well, this is the usual curvafitting

And if in the previous month with the same set?

In general I agree, and I don't like the word. )))

The picture appeared during testing docking of two Expert Advisors on different indicators:

There are only eight parameters involved, I think we can reduce it to 4 without much loss. I have "thought" about it, as one of the directions, to review the monthly dynamics of changes in the most profitable parameters. Maybe, someday we will be able to look at it from this direction, too.

Maybe machine learning algorithms can give this picture almost automatically, without loading me or my computer too much? )))

[Maxim Dmitrievsky]

Aleksey Panfilov:

I generally agree, and I don't like the word. )))

The picture appeared during testing docking of two Expert Advisors on different indicators and at the same time:

There are only eight parameters involved, I think we can reduce it to 4 without much loss. I have "thought" about it, as one of the directions, to review the monthly dynamics of changes in the most profitable parameters. Maybe I will be able to look at it from this point too, someday.

I would need some hyperparameter that would change the settings in a batch...

I sometimes think about it myself and even try to do something about it :)

[Maxim Dmitrievsky]

Aleksey Panfilov:
Maybe machine learning algorithms can give this picture almost automatically, without loading me or my computer too much? )))

yes, see my article on fuzzy logic, for example

there are only 2 main ones, you can reduce it to 1 and get the same picture in a month, or better

[Aleksey Panfilov]

Maxim Dmitrievsky:

You need some kind of hyperparameter that will batch change the settings...

I sometimes think about it myself and even try to do something :)

I have some experience with the balance indicator, will it come close to creating a hyperparameter?