Yoghurt systems and canned systems or The relationship between trading tactics and the reliability of historical test results - page 6
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
"When you throw stones into the water, watch how the circles they make in the water, otherwise your activity will be useless" (Kozma Prutkov).
I am watching with great interest and pleasure. Please, tell me, if you are not too lazy.
What is a "pipsitter" and what is the sacred MM value that is often mentioned on this forum?
About MM already found.
1. First, you don't have to use stops (it depends on what kind of TS). The second part is difficult to answer unambiguously, because I have not tested it. Perhaps you are right and the value of stops should be varied, but it is again optimization... I need to think about it.
2. (sorry missed the "not") Can't be taken barehanded so it's perfect. Imagine the market as an adversary/opponent. If you assess him adequately, you will give him credit and recognise him as strong or even superior (so far) i.e. perfect. Having said that, he is not only fighting/competing with you. Like a grandmaster leading many games at the same time and still winning most of them.
You're probably right about that. Perhaps that is the key point. At least I haven't managed to find such a correlation yet. But it's still to come :-)
And haven't you tried to look for dependencies in indicators?
1. Stops are the most important part of TS and they cannot vary within any limits. If there are no indicators in TS, then the stops should be there at least. Otherwise it turns out some kind of fiction - without indicators, reversal TS without stops. I have not encountered such a thing. But even if I have one, it is rather an exception than a rule. That is why it is not quite correct to cite it as an example.
2. That's not what we mean. From a mathematical point of view - there is a lot of noise, so you can't take it with your bare hands so it's not perfect as you can't write a formula. And you mean from a competition point of view - you can't take him with your bare hands so he's a perfect competitor. But I don't see him as an opponent as I'm not trying to beat him and I'm not competing with him.
3. I'm trying to look for the profit, the rest is not interesting yet.
>> Pipsitter is an Expert Advisor, which has a profit of 1-5 pips.
1. Stops are the most important part of the TS and they cannot be varied within any limits. If there are no indicators in the TS, then at least there should be stops. Otherwise it turns out some kind of fiction - no indicators, overturning TS without stops. I have not encountered such a thing. But even if I have one, it is rather an exception than a rule. That is why it is not quite correct to cite it as an example.
2. That's not what we mean. From a mathematical point of view - there is a lot of noise, so you can't take it with your bare hands so it's not perfect as you can't write a formula. And you mean from a competition point of view - you can't take him with your bare hands so he's a perfect competitor. But I don't see him as an opponent as I'm not trying to beat him and I'm not competing with him.
3. I'm trying to look for profit, the rest is not interesting yet.
In my opinion, stops are not the most important part of TS. In my view it is only one of ways to exit a losing position, some take it as a way to limit the loss, which is also correct in principle, but not suitable for any TS.
If stops and takeoffs for all positions are equal, it is a linear exit from the market, so their use in TS is not always justified.
In my opinion their using is not always justified.
I have a non-syndicator system without stops and takeoffs - this is not an exception. if stops and takeoffs for all positions are the same - this is a linear exit from the market, so their use in TS, I think, is not always justified.
It's always better in the morning. I will try to make my point of view more coherent.
Suppose we have a TS (trading system) that has input parameters that we select using history in the hope to make the TS profitable.
Let's consider TP(profit taking level) and SL(loss limitation) most frequently used in TS.
TP - of course you can do by selection, but think really every time (in each transaction) this level should be exactly the same, say 40 points, but maybe now it is 43 or 24. It turns out (more logical) TP must be calculated each time you enter the market, but for this you need to have an appropriate block in the TS, which gives a forecast. Suppose the price reaches 1.9789 + - 5 pips by 12:00 + - 15 min Moscow time tomorrow. But during this time different news may appear, which will radically change your forecast, i.e. you should also have a block, which predicts news and also gives a forecast about the market reaction to it. Maybe theoretically it is possible, but practically I think it is unbelievable.
IHMO the market itself tells you when to enter and when to exit. I.e. with every new tick of TC you have to make a decision - sit back in the trade (it moves in our direction) or it's time to exit.
SL - it is nothing like an emergency exit from the building in case of fire, ie you have problems with Internet, TS can not receive information for analysis and therefore work correctly = exit the market itself, if your forecast is not justified (or you have reached the zone of uncertainty, where it will burst). The reasoning is almost similar to TR.
For further clarification I will take the example of a well-known MA
iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,0);
MATrendPeriod - let's say, an optimizer has been selected and we have a profitable TS since the time of King Gorokh. We got the value of 14. Is it really the best period at each point of time. Or maybe it should be larger on a calm market and smaller on a fast one? Here is one of the approaches to solve this problem ('Perry Kaufman AMA optimized'). The period is adapted to the RMS of the market (calculated, which is important, not set once and for all). This is adaptation in its pure form, a fast market period of averaging is small (a slow one is big), and you set the limits in which period should change.
MODE_EEMA - the reasoning is the same, why EMA, but not SMA, or may be the non-linear averaging is better...
PRICE_CLOSE - this is the most interesting part from my point of view. I think you have often thought about or tried to use not only Close, but various combinations of OHLC (like (O+H+L+C)/4). So what is the conclusion which is better ? Again, selection, fitting on history. Suppose we stopped at Close, but when do we know it? Only when a new tick has come (the old bar closes and a new one appears), i.e. you analyze an obsolete price, even if it is 1, 2...5 points obsolete. And what is more important than the tick, that came at the end of the day, i.e. at 23:59:59, when there isn't almost anyone on the market? Is this tick more important than the one next to it? And it is this tick that lies in the analysis and serves as the basis for the trading system?
Every tick is important, every price movement, and every time a new tick arrives, you need to analyse it to enter or leave the market. This is the only way, otherwise you will not have time, this is the age of speed. In the past, the market was slow, and you could make decisions after reading a newspaper (stock-exchange report) in the morning, now is not the time.
TS has to be adaptive, it has to calculate everything it needs, collect the data and take it into account. Optimization on history is evil and self-deception, as 90% of traders use it.
P.S. But as Marcus Anneus Seneca said "Errare humnnum est", maybe I am wrong.
What is it based on?
Bar ratio statistics(Body, Span, etc.). Entry on Open exit on Close.
Bar ratio statistics(Body, Span, etc.). Entry on Open exit on Close.
>> I see. Statistics over a period of time, perhaps? Then I recommend you to understand what you're talking about first and then write your thoughts before you join in the conversation. Not write a reply based on the last post.
I read and understood all the posts before answering. What's your point, specifically?
I read and understood all the posts before answering. What is your point, be more specific?
By the fact that if you take the statistics for an infinite number of years ago, or at least for 10 years, I think that your TS is unlikely to work well because the market rules (candlestick body, scope, volatility) have changed several times and the data for such a period is unlikely to be relevant today. But if we take these statistics for the past 2-3 months or a year (all depends on the TF in which the TS works), then I think the TS will work well, because these data are relevant to today's market. On the other hand, if you reduce this period to a few bars, then the TS will also work bad, because the data will not be enough for a complete picture. That's why your TS has a parameter - the period for which these statistics are collected. This parameter is very important for the TS. And it is impossible to say that your TS will work equally well with values of this parameter from - bezcon to + bezcon. That's actually what we were talking about.