Stable MTS - page 8
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Yuri, I would probably agree with you, but then the question is: "can you design like that?" Any examples?
In general, yes, I can. That's exactly how I design. My last such TS on FORTS passed away after the Olympics for good reason. The principles on which it was built largely failed to work. The system, even with autoregulation, can work adequately only in a certain range of input conditions. The TS did not begin to drain, just a significant drop in profit, and its further operation became unprofitable.
There is no new, working one yet. But I believe a new one is on its way - sometime in the autumn.
As an algorithm that earns a little bit, the main thing is that the drawdowns should be non-catastrophic (within 10%). I've heard stories about them, I've seen pictures of capital charts, but I've never managed to test one.
Ok, I'll ask a more specific question, has anyone seen here in Market an algorithm that, when tested, is at least a little closer to the ideal, with a max. drawdown <10%, and a recovery time after DD of at least 3-4 months.
I don't understand the philosophy of 10% drawdown. I can understand 10% at a time (accumulated stops or position accumulation), but as an all time limit... Then why does the investor give you the rest of the money, because it is better to put it into a bank at 12% p.a. and allocate the annual interest for investment at once, which protects the investor from losing 10% of the deposit. Structured products are built on this principle. I personally say that there is always a deposit loss and one should only risk the amount that one is not afraid of losing, i.e. the amount the loss of which would not change the investor's life style.
I trade packs of ten Expert Advisors on different currency pairs - it's actually a grid by the channel with position accumulation. The aim is withdrawal of initial funds (100% p.a.) and partial reinvestment - horizon is a year. I am trading since 2013, I am constantly working out new tricks - to test my ideas. I have 4 computers working 24 hours a day for optimization. Tested ideas are traded on a demo account - I make corrections if necessary, and only after that on a real account. Generally, from an idea to its launch in trading, on average 3 months are needed (I'm not talking about creating an EA from scratch, but about introducing new ideas (capabilities)). The more power and people working on the project, the less time to success, but creating a team to work on the project is very difficult, especially if you can't guarantee a stable income. That's why solo traders seldom succeed - for me it's just not enough time (I'm currently working on ATS only).
I don't understand the philosophy behind a 10% drawdown.
What is there to understand? Trivial school arithmetic and no philosophy.
To come out of a 10% drawdown, you need to increase the deposit by 11.1% (1 / 0.9 = 1.11111111). To come out of a 20% drawdown, you need to increase the deposit by 25% (1 / 0.8 = 1.25). And so on.
I.e. the bigger the drawdown, the harder it will be to recover from it.
What is there to understand? Trivial school arithmetic and no philosophy.
The deposit has to be increased by 11.1% (1 / 0.9 = 1,11111111) to leave 10% drawdown. To increase deposit by 25% (1 / 0.8 = 1.25) to come out of a 20% drawdown. And so on.
I.e. the bigger the drawdown, the harder it will be to recover from it.
Percentages are relative... If conditions are stable, the lot is doubled, we will obtain a 20% drawdown and the profit will be doubled, while the recovery factor will remain the same, which, for me, is one of the key performance indicators of a trading system.
If a drawdown is more than 10% is unacceptable, then why freeze money on interest-free deposit with DC - that is the question.
There will be a hundred pages. Because the question - I showed an analogy.
The "universality" of the trading algorithm is understood by all these "smart guys" as the POSSIBILITY of its use on different pairs. And not as a guarantee of profit.
As far as I understand you want a guarantee of profit at ANY symbol at ANY time - this cannot be true, because different instruments behave differently at different moments. And this behaviour also changes over time.
The techniques themselves are well known, they are all represented in the code base. The trader's task is to use those that are working at the moment for the instrument, and to exclude from trading those that are not working at the moment for the instrument. So, here you have a "universal robust trading algorithm".
The question could be put another way, why investors if the advisor is going to make money? To be a do-gooder? they won't appreciate it! If you have such an advisor, sit back and enjoy life. And fuck off, those investors, nishezbrod.
How much are we talking about?
Probably the kind that would make a trader look bad if he were to lose them? Otherwise, why would the topickeeper squander investors for competitors?
if the conditions are stationary,
If only it were...
-Aleks-:
If a drawdown of more than 10% is unacceptable, then why freeze money on an interest-free deposit with a DC - that's the question.
Because at suspiciously high volatility brokers and kitchens have a habit of reducing leverage.
With that kind of situation and large drawdown, not to mention the increased volatility, getting a margin call is like having one's finger on the pavement. Do investors need it?
Interest is a relative indicator... If the conditions are stationary, then doubling the lot will produce a 20% drawdown and double the profit, while the recovery factor will be the same, and that, for me, is one of the main indicators of the effectiveness of the trading system.
If drawdown is unacceptable above 10%, then why freeze the money on interest-free deposit with DC - that is the question.