Optimal values of SL and TP orders for an arbitrary TS. - page 13
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Более того, для реальных систем у которых время в позиции заранее неограничено, использование TP вообще нецелосообразно. Примером тому трендследящие системы и правила "дай прибыли расти". имхо
I would not be so categorical in stating this. For example, for a TS with an infinite tail in the right (profitable) distribution area, a typical phenomenon is "tightening" of an open position and it is often much more effective to reopen this position with capital reinvestment. The role of such a "dog" is performed by a TR.
Well this, of course, is the subtleties of the TS-MM and requires a fine study of the obtained functionalities for a particular TS.
я считаю, что причина то как раз для большинства систем именно в оптимальном времени удержания позиции, а SL и TP это следствия из него.
I was just trying to stick to the author's definition of the problem: TC has its regular inputs and outputs, and the output by SL and TP is an emergency. If pulling up stops and TPs is one of the regular exit methods (and that's how it de facto works with pulling up), then the logic will be different.
I would not be so categorical in stating this. For example, for a TS with an infinite tail in the right (profitable) distribution area, the typical phenomenon is "tightening" of an open position and it is often much more effective to reopen this position with capital reinvestment. The TR will play the role of such a dog.
Well this is of course the subtleties of TS-MM.
Re-closing is related transactions. They cannot be considered separately.
перезакрытие это связанные сделки. Их нельзя рассматривать отдельно.
Also true...I was just trying to stick to the author's definition of the problem: TC has its regular inputs and outputs, and the output by SL and TP is an emergency. If pulling up stops and TPs is one of the standard ways of exit (and that is how it de facto works when pulling up), then the logic will be different.
How can an exit by TP be an emergency one? TP is the level, after reaching which the stat advantage at a certain time horizon is lost (more precisely, it's maximal at the TP level). This time horizon may be defined implicitly by other exit rules. But it is there, and the TP level is dictated, in addition to aspects of TA, by the time horizon for holding the position.
So I think the problem statement at the outset is narrow in the narrowest sense of the word. It seems to me that it has nothing to do with the general case. :o( But maybe I'm wrong.
This example is not very correct, because we have to use the obvious properties of price series in our analysis. These are closest described by the random Brownian motion and the property of martingale. What cannot be said about a harmonic series like cos(x).
We, ystr, are talking in terms of averages. Using this approach, my statement that the price travels a path V in time t is quite correct and provable strictly. Let me remind you that I'm not talking about the average of the points the price has traveled (that's zero), but about the average of the distance modulus in points that the price has gained (traveled). Different things.
I guess I was alerted to the fact that your definition for an optimal TS contains the phrase "that averages out the maximum number of pips per unit time". In the case of the function of price changes per unit of time (even if it is a random Brownian motion) has a range of price changes above the starting price that is equal to the range of price changes below the starting price, then in this unit of time such an TS "will bring" 0 points. At the same time the amplitude in a unit of time will be equal to "2 * range of price changes".
If we consider that "for an ideal TS all directions can be guessed", then it should be noted that such a system is practically difficult to implement. And if we suppose that "the range of price changes" is within the spread, then it can't be implemented at all.
как выход по TP может быть аварийным?
Well of course in relation to the tee, this word is a bit tense, you could replace it with "forced", for example. Example? Well, there was a breakout that far exceeded the planned TP. In a half of cases it will be a breakout and there will still be time to close; in the other half it will be a spike and we will not be able to catch it in any other way than a forced exit. Moreover, the position after that can end up closing in the red. Of course, one can retrace a stop loss, but the profit will be smaller, especially during such moments when the servers are often overloaded.
This is of course only an example, say the same context analysis may enable a more differentiated approach to the situation.
But pulling stops by toptopos will have an effect similar to the forced closing of a position by toptopos, i.e. the average time of position holding will be less than toptopos. By the way, forced closing by time often ends up having a positive effect on balance :)
Well of course in relation to the tee, this word is stressful, you could replace it with "boosted", for example. Example? Well, there was a breakout, which far exceeded the planned TP. In a half of cases it will be a breakout and there will still be time to close; in the other half it will be a spike and we will not be able to catch it in any other way than a forced exit. Moreover, the position after that can end up closing in the red. Of course, we can cut the stop loss, but the profit will be smaller, especially during such moments when the servers are often overloaded.
This is of course only an example, for example, the same analysis of the context can provide a more differentiated approach to the situation.
And pulling up stops by toptopos will have an effect similar to forced closing of a position by toptopos, i.e. the average time of position holding will become less than toptopos. By the way, forced closing by time often has a positive effect on balance :)
all true. But the planned TP depends on the time horizon in many ways.
An abstract example: a coin with a bias in our favour (0.55/0.45), consider a cumulative SB. Betting. Let's say you are allowed to bet TP and SL. Where will you bet them? If we know beforehand that the rolls will be 100, for example, we can calculate the optimal TP level from the point of view of maximizing the profit of the "reporting" period. If the game is unknown how many rolls will last, or the range is too big (e.g. from 10 to 1000), then there is no level at which it would make sense to set TP. It is more effective to obtain the winning at the end of a series - "go to market".
The third variant - we have a permission (for example, after 10 rolls) to periodically revise TP and the length of the series is known in advance like in the previous variant. The optimal variant is TP revision from the last price depending on the remaining number of rolls in the series.
SL makes no sense here because the distribution is stationary and always has positive mo.