Market etiquette or good manners in a minefield - page 7
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Yes, anything is possible. But this is the best lot size calculation I've seen. Not just 5% of the deposit, but optimal. And it shows what is important in the TS, what parameter is important, what to look for, what to aim for.
There is another important parameter: variance p. Especially when reinvesting.
A system with 1/2+p = 0.49-0.53, i.e. average p=0.01
may be more optimal than system 0.43-0.63, i.e. average p=0.03.
Vince takes this into account when calculating the optimal MM. True, his solution is not analytical, it is strange even for such a guru.
Yes and the calculation by parametric method it seems to him erroneous.
Who will understand the book, see my file above, maybe it will help.
Yes, anything is possible. But this is the best lot size calculation I've seen. Not just 5% of the deposit, but optimal. And it shows what is important in the TS, what parameter is important, what to look for, what to aim for.
That may be so. But for a more accurate assessment the effectiveness of TS must be somehow evaluated. For example if ratio of profitable/lossmaking trades decreases we need correction for p or TS readjustment.
I didn't quite understand your build regarding "the first row with no consideration and the second with consideration...". Tricky. If you can disregard the spread when estimating p, why do the second action?
To simply use your formula Lever=2p/<|x|>, where p is including the spread, i.e. from the tester, to find Lever. I.e. in your formula without spread, I will substitute all the values already taking into account the spread.
This may be the case. But for a more accurate estimation you need to estimate somehow the effectiveness of the TS. For example if ratio of profitable/lossmaking trades decreases we need correction for p or TS readjustment.
There was already a conversation on this subject. The mathematician is just writing an article.
Everything would be fine if the p parameter for TS would not change together with the market. And in this static form this model will only work for a short time interval, as long as the TS is effective.
This may be the case. But for a more accurate estimation you need to estimate somehow the effectiveness of the TS. For example, if the ratio of profitable/lossmaking trades decreases, correction for p or readjustment of the TS is needed.
You are right. And in the limit, the MTS must analyze, in a separate unit, the history of transactions in order to continuously monitor the market efficiency (parameter p), in time readjusting with changes in market conditions. Here we are not talking about a bunch of trend-flat, but about a change in the hidden patterns of the market and buried in the price series itself.
To simply use your formula Lever=2p/<|x|>, where p is inclusive of spread, i.e. from the tester, to find Lever. I.e. in your formula without spread, I will substitute all values that already take into account the spread.
Erics, I apologize for the minor typos on my part, I'm afraid they are inevitable with this style of presentation. Here are complete formulas for an optimal MM:
It shows the dependence of the deposit size on the time in the market t. Quantum of this time is measured in characteristic times at which the given pair has the RMS of the amplitude - sigma. S is the deposit price in points.
The optimum average size of bribes is determined as follows:
The inequality has by its nature, the assumptions accepted when solving the problem concerning the smallness of the parameter p . With the accuracy sufficient forapplied tasks we can suppose that
Optimal size of trading leverage:
The relation of the trading leverage Lever to the size of opened position Lot and to the size of deposit K, is given by the relation:
where stLot is the size of the standard lot for the selected instrument.
Considering the accepted assumptions the expression for the deposit growth at conducting an optimal MM takes the form
where p characterizes the predictive properties of the TS and is calculated as the ratio of successful trades to the full amount of transactions, when trading without spread, minus 1/2.
Hear that, Erics, no spread!
Writing. The spread is subtler here: monkeys play their part. And the system has to be Bernoullian in terms of transaction results. Otherwise the estimates will be inaccurate. But I haven't reached a purely analytical solution.
О! Alexei, hi. Good to see you.
You're busted. I've been meaning to ask for a long time, how will the parameter that takes into account the non-zero trades on the reals come into your system? And where is the spread thinner, you or me :-)
1. I don't know, Sergei, the question is very non-trivial. In my article on sandwiches, I identified a gold mine, which I have hit - Bernoulli systems. So I develop it, because I don't have enough brains for other things.
Try to analyze which of 408 trades made by Better on ATC-07 were dependent and which were not. Manual work turns out. I racked my brain on this one. But if you roughly divide all deals by three, you can get a lower estimate of the number of independent deals (sample). The number of deals is accordingly much less than four hundred. The sample volume is also smaller, which means that the strategy estimate will be more vague. The sample size is a critical parameter determining the accuracy of the estimate.
2. Oh, here we go again with the physiology. Ehh, there aren't enough girls here, they'd be inclined to do something more constructive...
If you remember, I wrote somewhere:
The independent trades are about 400 and the parameters of stop-loss trades are about the same as those of the ATC-07 winner. Well, this information really made me tense - regardless of spread thinness (no, better to thick) :) Yes, I understand that the number of independent trades was obviously less - but still.
probably the most powerful theme ;)
kudos to the author