a trading strategy based on Elliott Wave Theory - page 57
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Honestly, it's hard to answer your proposal because the topic you mentioned is very broad and only suggests some general statements about the nature of the market itself without creating an MTS. Indeed a variety of models can be applied to the market. In this thread we are trying to understand the technical implementation of the strategy based on the model proposed by Vladislav. If results of technical implementation of the proposed model prove to be convincing, it can be accepted as a trading model. I don't see any other way to determine if a market model works or not. That's why it would be more interesting to discuss ready-made strategies (or clear principles on which they are based) rather than general statements of what the market is by its essence.
Well, it's like no one disputes that the behavior of prices is random probabilistic in nature, that it cannot be predicted, the maximum prediction accuracy is 50/50. But if you find such moments when the prediction error entails a minimum fee and sufficient remuneration in the opposite case - is it not enough. If it turns out that the approach based on finding stable channels gives a profit - should we look for a fundamental basis for it or just be satisfied with practice?
IMHO, you have to look for a fundamental basis. Because:
1. If there is no such foundation, then there is no certainty about the sustainability of these methods. You can play like a casino for a very long time and your equity will be a random walk chart (or with negative MO). This is well described by Taleb I think.
2. There are no criteria for applying these methods to a specific instrument, as well as criteria for abandoning the system. IMHO, the main thing is to timely understand that the system is no longer stable and abandon it before it suffered critical drawdown. The drawdown itself is of course not the only criterion for the stability of the system.
IMHO, the system is just a tool that sometimes breaks down or has to be sharpened. There are no universal ones (that would be the IMHO Grail). You need to know where, how and when to use a particular tool. And in order to diversify, it is better to have several of them in different markets.
The need for an applicability criterion and a rejection criterion was felt on my own account. The very appearance of the equities or balance curve, as in the tester or the terminal statement, does not help much in this respect.
The first launch of the simplified realization of the "scheme" showed beautiful growth for me in half a year. And in 1.5 years the result turned out to be wandering "around zero".
Here are the results of its history run.
Have you used the ScreenShot() function in your Expert Advisor at the times of order opening and closing? It's interesting to see how the algorithm works in slow motion, especially when there are not so many trades.
If you are just interested in the channels at the moment of entering the market, then I simply do it in the script by defining a calculation bar for which the channel is to be calculated (no need in the ScreenShot() function). That is, I can see for any point in history what the channels were at that particular point in time. Also I can scroll through the built channels by time automatically by setting the start and end time period for which I want to build channels. In other words, I have a kind of slow motion movie where each next frame is the channels for the next bar. This allows you to see the moments of origination, development and disappearance of channels, which can be very useful in manual trading allowing you to feel the direction of the current trend.
I quite understand your humour :o)))! Indeed, setting this bar is a non-standard task and if the mechanism of comfortable bar setting is not worked out, it is not too easy to do. In fact, my trading approach as I mentioned earlier is based on averages from the channels. If you like, you can compare this approach to Bollinger lines. I draw a continuous averaged channel edges and use them to make my trading decisions. There is a script that draws these bounds on the price chart (I am not using this feature in Expert Advisors yet for the sake of speeding up the history run). Then, in my understanding of strategy, the centre line of the averaged channel will be that very quadratic function (minimum of potential energy) Vladislav mentioned but which no one knows exactly how to determine. That is, the central line of such an averaged channel shows the moving direction and the price moves around that line. The essence is the same as Bollinger's - the only difference is the approach to defining these lines.
I'll probably think about drawing the lines at once and in test mode since it won't require any additional calculations - you just have to take it and do it:o). Although, frankly speaking, with my trading algorithm it is not important - where and how exactly the price has crossed the boundary. I register only the fact of this crossing having taken place and then I make my trading decisions. That is why, in general, it did not even occur to me to draw these average lines on the chart during testing since when I work in real time, only the current optimal linear regression channels and parabolas will be drawn on the chart.