Application of mathematical analysis and higher mathematics - page 9
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Heh... By the way, that's a good idea! And there is something to optimize. Namely, the opening level, Take Profit, Stop Loss, Trailing parameters, if any, and parameters for cutting off losses... And the system is simple and clear to the point of stupidity...
And the issue of market phase separation... I don't know how it's solved, but I know what it's called. It's called the Grail... And everything we do here is basically an attempt to solve it with varying degrees of certainty...
Takeprofit was small, about 30. And the moose was 300. The catastrophe of this system came in the guise of the drunken jerk and debauchee Kolya Marjoff, with a swollen face and dirty fingernails. And it was long, long after the most murderous positions for the system had been opened. And all the time, the system has been working perfectly honestly, with insane returns... To be honest, I wonder if I should resurrect it in this thread as a test monkey?
Good system, though... Take profit 20, elk 300. Once again, a disasterof a system, a system!Our catastrophes differ significantly, as yours isan objective transition of the market to another phase (from trend to flat or vice versa), while mine is a collapse of the subjective model as a whole (fuck everything - both on the flat and on the trend). I don't think the crash should be as frequent as yours - although the idea is not without merit... I think that the first attempts to build such systems should not be difficult to implement, and catastrophes as such should be rare. And I'm sure a couple of dozen programmers hired by a serious firm have implemented this a long time ago, hehe...
Mathemat, what does Konyachinsky have to do with it? Separation of market phases is really the Grail... Think about it. The rules of trading for trend and for flat are well known. The only problem is that we can't tell which is which. Trading is the task of determining the phase of the market, no more and no less. If you dispute this, argue it please :)
Here I totally agree with Eugene. The separation of market phases is indeed a fundamental task. But it can be solved in different ways. One can use the level of the general market theory (or relativity :-), or one can use the level of phenomenology. That is, it is enough to find a relatively acceptable indicator of this phase in order to use it. It may have a lag, it may have some parameters like the measure of channel breakout, it may have its own probabilistic estimation of reliability - all these technical details that make its value and readings reliable in the probabilistic sense only. But it can be worked with and can be done, I'm sure of it.
And then it's just a question of combining it and consistency with other technical means.
Just an indicator is some function of the price range. Several indices are several such functions. We count them all, and make some kind of decision based on that. Nevertheless, it's just a way of dividing the task into some observable chunks. In fact, I find it difficult to imagine a situation when, for example, the volume increases and stochastic does not react at all. For the indices are not independent by definition! And at the end of the day we are faced with the task of understanding what we have written ...
If all the indices are defined on the price value space, i.e. have a common argument, it does not mean that they are all dependent. There is a mathematically strict definition of orthogonality of functions. It is enough to calculate the correlation of any two indices to get numerically how independent they are, that is orthogonal. You, Eugene, with a certain accuracy can do it by hand in Excel.About the sashken. What does his trading signal mean ? Very simple. The fast one crossed the slow one from bottom to top. During the time of the delay, the up portion of the flat changed to a down portion. It means it's time to sell. Thus, this signal implicitly includes such a parameter as flat period. As you see, it's not so simple... As far as trading efficiency is concerned, he didn't convince me either. I had only 3 profitable trades in total. And the last one was in deep drawdown for a long time... Alas, with all my respect towards Sasha, I'm afraid his EA contains no ideas that would make sense to develop...
You are judging the EA by its results, while I am judging it by its idea. I had formed my opinion of it since the first week of the Championship when I had visited the source code. The idea is there and I have formulated it, and I have already written about other parameters = issues to be solved when working on it. And that, in particular, the period and amplitude of oscillations. That's great! There is a field for adaptation. After all, these parameters can be adjusted directly in the course of the process, instead of setting a rigid TP.
If you don't solve small problems, firstly, you won't learn how to solve large ones, and, secondly, when a large problem is just around the corner, not only will you not see it, but you won't even understand it.
As a small task, I place here the slightly modified Kaufman-style indicator from klot. It's a fuzzy based on Fourier Transform, and needs FFT library of the same author 'Fast Fourier Transform Functions Library FFT'.
What's good about this tool is that it's completely self-explanatory, unlike Kaufman's FRMA and the like.
Eh, I'll try to answer point by point.
1. Mathemat, what has Cognacian got to do with it ??? Separating market phases is indeed the Grail... Trading is the task of determining the phase of the market. If you dispute it, argue it please :)
What's there to argue for if the adaptive MAs do exactly that? On a flat, they are horizontal, and on a trend, their smoothing period is almost equal to 1, i.e. they are inclined? Have you ever tried these AMAs to judge them?
Not really. My disaster is the collapse of a trend strategy when the trend ends, and vice versa. And if yours is a "collapse of the subjective model as a whole", then after that no one is alive and neither is the EA. No need to adjust any parameters anymore - the model doesn't work.
Well, why doesn't it work... It does, but you need different parameters... Why push a strategy away on the grounds that its parameters don't work at the moment?Although of course the 1:10 ratio is a total f... I mean p... ...ppppppriyateli :) Nevertheless, both systems with tp > sl and systems with tp < sl have the right to live. The difference between them is the difference between the market phases. The first ones are trendy, the second ones are flat.
Yes, exactly, it's fucked up. I don't know any working strategies so far, where stop-losses can be 20 and 300. A stop loss of 300 is justified only if my take is at least that value.
Yes, I see strategies in the Championship where TP < SL. But the difference is not as big as yours...
Mathemat, alas, adaptive mash-ups and any other methods do this well on history. In real time, alas and ah, the task of determining market phase is a prediction task... With all that implies... .
By the way, here's an idea on how to make GAs work as well. But it's not the usual GAs...
In general, I think it is time to stop idle talk about nothing and start doing something.