Market etiquette or good manners in a minefield - page 3
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Hmm, curious. But, for the especially gifted, we need to add more to the transcription:
dS - price increment for the time of position holding in points,
Lever - trade leverage.
Only 1000 trades, if one trade per day, it turns out to be about 4 years. That said, a target of 40 pips is a very good target.
to HideYourRichess
Thank you. Fixed!
Isn't there any way to monte-map? Take, for example, ranges dS=5...100 and Lever=1...200, run each case on 100 realizations, average, build a three-dimensional picture and look at the resulting surfaces. It's a very interesting result. I can't say that the idea of the existence of an optimal lever is new, but I see it implemented in this form for the first time.
PS. I could certainly try it myself, but I don't understand everything, how and what works, that's why I ask such a question.
Why not? Before I posted the results here, I did a montecarrel test to see if the data were lousy. I drew confidence ranges by level 1/e and looked for more or less good agreement of experimental data with the model. I did not specially save the code.
Here' s the logic for deriving analytical dependencies. Look at it, it's pretty simple.
You can give 3D for the rate of return on the analytical expression given in the first post:
The optimum by two parameters dS and Lever is pronounced. This data is obtained for Spread=2 points and p=0.1
Here is the formula from the second page of this thread:
Looking at it you can see that in this case it depends on:
<|dS|> - price increment for the time of position holding in points,
1/2+p - share of correct predictions according to results of TS testing (0<=p<=0.5),
Lever - trade leverage,
Spread - commission for this instrument in points,
S - the symbol price in points,
I.e. 5 parameters in total. And as I understand the trading strategy quality is fully hidden in p . The sensitivity of dS and Lever to changes of p is interesting .
Apparently we need to look at "trading leverage Lever=S/Spread*p^2, levels of TP and SL or what is the same |dS| = Spread/p,".
If dS and Lever are replaced by these expressions in a long formula, then in general it turns out that everything depends on 3 parameters: S, Spread and p, in the best case. This is very unusual. I will have to try modeling it after all. This is all very unusual.
That's right. The only thing is that in pipsavers the parameter p reaches 0.2 and it changes the picture very much.
So, it makes sense to use the maximum leverage - 50-100.
.
To clarify.
As I said above, t0 is a characteristic time of holding an open position. It is correct to consider it as a characteristic time of price change by one pip.
P.S. I just now realized - in MathLab it's exactly the icon like this picture! They knew...
That's right. The only thing is that in pipsavers the parameter p reaches 0.2 and it changes the picture very much.
So, it makes sense to use the maximum leverage - 50-100.
If I understood the physical sense of p parameter correctly, it may be higher for scalpers.
That is, there are only five parameters. And I understand the quality of the trading strategy is completely hidden in p . What is interesting is the sensitivity of dS and Lever to changes in p.
Here is how the optimal leverage (blue line in the left figure) and optimal size of the average payoff (red) would look as a function of forecast accuracy, for a spread of 2 (solid line) and 8 points (dotted line).
To the right, the rate of profit per unit time as a function of p, if the TS is set to the optimum parameters is shown. The red line is for 2 pips spread and the blue line is for 8 pips.