Activity Spectrum and AFC of MTS using the Moving Average advisor as an example - page 5

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jartmailru писал(а) >>

I.e. the results of the original EA are taken, the filter is built on them.

And then, knowing a priori the distribution of trades, the result is obtained?

How is it different from gathering statistics on the number of copies

in a series of successful and unsuccessful trades?

The frequency filter is calculated for the period from 2006 to 2008, while the Expert Advisor was tested in 2009.

 
DC2008 >> :

The frequency filter is for the period 2006 to 2008 and the EA was tested in 2009.

Fair enough.

That's why the result is not perfect :-).

Well, I wonder how it works.

The Expert Advisor makes trades - and then you analyse the equity graph spectrally?

 

Another test: the lot is chosen in proportion to the quantum frequency. For example: frequency=357 so lot=35.7

Strategy Tester Report
Moving Average
(Build 225)


Symbol EURUSD (Euro vs US Dollar)
Period 1 Minute (M1) 2009.01.02 05:01 - 2009.10.09 11:49 (2009.01.01 - 2009.10.11)
Model All ticks (most accurate method based on all smallest available timeframes)
Parameters Lots=51.1; MaximumRisk=0.02; DecreaseFactor=3; MovingPeriod=12; MovingShift=6;
Bars in history 262484 Modelled ticks 8743398 Simulation quality 25.00%
Chart mismatch errors 0
Initial deposit 1000000.00
Net profit 417014.50 Total profit 1529236.10 Total loss -1112221.60
Profitability 1.37 Expected payoff 2356.01
Absolute drawdown 124354.40 Maximum drawdown 173493.60 (16.54%) Relative drawdown 16.54% (173493.60)
Total trades 177 Short positions (% win) 73 (45.21%) Long positions (% win) 104 (54.81%)
Profitable trades (% of all) 90 (50.85%) Loss trades (% of all) 87 (49.15%)
Largest profitable trade 127898.40 losing transaction -96696.60
Average profitable deal 16991.51 losing transaction -12784.16
Maximum number continuous wins (profit) 7 (108882.80) continuous losses (loss) 5 (-74088.30)
Maximum Continuous Profit (number of wins) 228748.80 (2) Continuous loss (number of losses) -113626.80 (2)
Average continuous winnings 2 continuous loss 2

The lot volumes are not visible, so I will add a screenshot.

 
Why change the lot? By the eye, the lot changes by a factor of 4 to 10. Is there a lot to run with a fixed lot? :-)
 
jartmailru писал(а) >>
And why change the lot? To the eye-there the lot varies by a factor of 4 to 10. Is there a run with a constant lot? :-)

To visualise frequencies, and the first test is just with a constant 0.1 lot.

 
DC2008 >> :

To visualise frequencies, and the first test is just with a constant lot 0.1.

It's not clear to me what kind of spectrum to build and how to filter it :-) -

But it's ok! Congratulations!

And of course, the name "quantum method" sounds suspicious to me personally.

It is most likely a spectral method in principle, though.

 
jartmailru писал(а) >>

It is not clear to me what kind of spectrum needs to be built and how to filter it :-) -

Building the spectrum and the AFC is only a preparatory step for quantum analysis. Although even these results are already enough to turn any merger into a pseudo-Graal.

===

All details in private.

 
Will you share the method out loud?
 
It's interesting to try it with your 'plumers'...
 

How do you envisage it?

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