MetaTrader does not reflect reality ! How can I fight this ? - page 20
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I'm beginning to seriously suspect that if someone finds a system that over 1000 trades (at least) shows a profit factor of 1.8 (at least), it will be a winner. Of course, I'm not talking about pips, martingaleurs and overcomers. The goal is certainly high, but it's something to strive for.
I'm beginning to seriously suspect that if someone finds a system that over 1000 trades (at least) shows a profit factor of 1.8 (at least), it will be a winner. Of course, I'm not talking about pips, martingaleurs and overcomers. The goal is certainly high, but it's something to strive for.
It is not a fact that it can happen, and even if it does, it is not a fact that we will find out about it. Especially, that in any case, these 1000 trades will expire at some point and we will have to search for a new TP and it is not certain that we will find it, or re-optimize this one, but again, not certain that it will give the same 1000 trades again. Therefore, I believe that one should not chase the cranes in the sky, it's better to have a bird in the hand. Besides, there are too many external factors influencing market every day, each time changing it little by little and as the result it changes drastically. So is it not better to get into a car with a petrol or diesel engine and drive than to invent a perpetual motion machine and stand still? Especially as it turns out it won't last forever anyway....))))
It is not certain that this will happen, and even if it does, it is not certain that we will find out about it. Especially, that in any case, these 1000 trades will run out at some point and we will need to find a new TS and it is not certain that we will find it, or re-optimize this one, but again, not certain that it will produce the same 1000 trades again. Therefore, I believe that one should not chase the cranes in the sky, it's better to have a bird in the hand. Besides, there are too many external factors influencing market every day, each time changing it little by little and as the result it changes drastically. So is it not better to get into a car with a petrol or diesel engine and drive than to invent a perpetual motion machine and stand still? Especially as it turns out it won't last forever anyway....))))
That's right, LeoV.
The search for a perpetual motion machine has led me to the realization of the old truth - everything flows - everything changes.
That's right, LeoV.
The search for the perpetual motion machine has led me to realise the old truth - everything flows - everything changes.
It's just that it all started with a discussion about drawdown. It was said that like over 40 pips drawdown is not real. I said that the drawdown is a matter of MM, it may be 1000 points, but then the profit should be adequate. I gave an example of a real TS where the drawdown was 700 pips. But then I was told that the trades on OOS should be not less than 300 pips. So I'm asking - isn't it too much of a limitation for profit? After all it is clear - limitation of losses leads to adequate limitation of profits. Or is it considered that restrictions affect only unilaterally? on losses and not on profits?
I'm beginning to seriously suspect that if someone finds a system that over 1000 trades (at least) shows a profit factor of 1.8 (at least), it will be a winner. Of course, I'm not talking about pips, martingaleurs and overcomers. The goal is certainly high, but it is something to strive for.
The system shows on several thousand non-overlapping trades with a constant lot a profit factor greater than 2. It's a long way from winning.
It's all understandable, but it's on a feeling level. I would like numbers, some maths, to formalise these feelings somehow.....)))))
A good criterion is the recovery factor... But there is a drawback, it takes high values for a small number of trades, leaving out equally (I would say more) workable options...
On the other hand, recovery factor may be rewritten differently, presenting profit in the form of product of number of deals and expected payoff.
Now, to compare the variants obtained after the optimization, let's multiply the recovery factor by the coefficient equal to the ratio of the number of deals of the selected variant and the maximum number of deals of the whole variant sample...
Thus, we find optimal values of the recovery factor and number of deals...
It just all started with a discussion about the drawdown. It was said that like more than 40 pips the drawdown is not real. I said that the drawdown is a matter of MM, it can be 1000 pips, but then the profit should be adequate. I gave an example of a real TS where the drawdown was 700 pips. But then I was told that the trades on OOS should be not less than 300 pips. So I'm asking - isn't it too much of a limitation for profit? After all it is clear - limitation of losses leads to adequate limitation of profits. Or is it considered that restrictions only unilaterally affect losses and not profits?
You can do without OOS if you have your own system.
For example, according to the tests your system shows 100% per week during last month. Then you put it on real account and watch, if the absolute drawdown approaches 50% - stop it. Then put it on real without any hesitation. Your gut will start to feel it.
You can do without OOS if you have your own system.
Agreed, but there is a danger of over-optimisation....
The system shows on several thousand non-overlapping trades in a constant lot a profit factor greater than 2. It's a long way from winning.
Oh, I haven't seen such a miracle yet. Can I see the header of the report with a picture - and do I have to cover the period of loss? Of course, the lot must be 0.1. And in general, you could share this miracle, to look at it properly? I need it only to clarify my statements in a future article, but not for trading...
It's all understandable, but it's on a feeling level. I would like numbers, some mathematics to formalise these feelings somehow.....)))))
Haven't dealt with it all the way through. I'm happy with my system, it's been smooth for a very long time, so I don't look at the optimisation graphs. Earlier I tried to formalize, but at a certain stage I understood that I need to use my eye, as the best option by profit during the optimization period turns out to be somewhere among the five best options at OOS. And there is no point in figuring it out clearly. Usually I do so, I divide the system into several subsystems with different sets of parameters, each of which shows the optimal variant according to my evaluation criteria.