Optimal values of SL and TP orders for an arbitrary TS. - page 11
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Interesting arithmetic. Would you mind showing us with what values of f and the average deal size h (which also takes into account loss trades) it is possible to increase the deposit 2 million times in 2 thousand trades. I hope you understand that the parameter f < c/K0, where c is the point value, K0 is the minimum depositary for one lot (for EURUSD it is f < 10/1500 = 1/150).
One more point. In reality the distribution g[i] is different from zero only on the finite interval. And in theory, if you don't make up nonsense, it decreases fast enough. Even if you're right and the ratio K[n]/K[0] can reach millions (i.e. ln(S) of order 6), even in this case ln(1+h*f) won't be too different from zero. So what's the problem ? Is it the accuracy of the representation ?
It should be understood that f is a fraction of capital involved in the transaction (which is how the author of the topic defined this variable). So the range of its definition is from 0 to 1 for arbitrary conditions (depo and point value).
My comments are primarily aimed at helping the author. I hope they will be useful to him.
Yes, that's what we're talking about. Of course they are!
In my version, f is the proportion of capital per point for the instrument on which we are working. So, one pip may account for a fraction of 1% of the deposit, or even less (to be realistic). For example, when trading EURUSD with 100 leverage and 0.1 lot ($100 deposit), per one pip movement of a quote there is $1, i.e. 1% of funds.
...In other words, by taking time intervals twice as long as the previous ones, we get amplitudes of price departure as the root of two times bigger. Taking this into account, we can determine the optimal size of the bribe H, which turns out to be equal to twice the spread for an ideal TS...
Please explain in more detail the logical reasoning/formulas preceding this conclusion.
Yes, that's what we're talking about. Of course they are!
In my version, f is the proportion of capital per point for the instrument on which we are working. So, one pip may account for a fraction of 1% of the deposit, or even less (to be realistic). For example, when trading EURUSD with 100 leverage and 0.1 lot ($100 deposit), 1 point of market price movement accounts for $1, i.e. 1% of equity.
The point is that the deposit changes on every trade, while f is a constant for all trades. Do you take this into account?
M1kha1l писал(а) >>
Remove the word similar from it and you get https://www.mql5.com/ru/forum/123072/page10#255957
There you go :) . It's quite usual for me to switch to HTML mode when replying, so I didn't look for other places with an anchor.
Дело в том, что депозит меняется в каждой сделке, а f - величина постоянная для всех сделок. Вы это принимаете во внимание?
Of course I do!
Please explain in more detail the logical reasoning/formulas preceding this conclusion.
Please.
So, we assume that our pricing process is random, i.e. similar to one-dimensional Brownian motion. According to Einstein's law (it can be derived strictly if you wish), the square of the projection of the point displacement on the ordinate axis is proportional to the time t. Then, the amplitude (without taking into account the direction) of the price V depends on the time of holding an open position t, the volatility of the instrument V0 at timeframe t0, as:
The profitability per transaction is determined by the difference between this amplitude and the spread (for the ideal TS all directions are guessed). Profitability is defined as the number of points per unit time:
This expression, as I said, has a pronounced maximum of profitability in terms of time of holding an open position:
It is not difficult to find it by taking the derivative of this expression by time, equating it to zero and solving it with respect to t.
We find that optimal time of position holding
Knowing this time, it is not difficult to find the number of points the price will work on average for the optimal time of keeping the position opened. To do it let's substitute the found optimal value into the first expression for the amplitude in place t. Let's obtain H=Vopt=2Sp.
What has to be proved.
Oh look - within a couple of years they had worked out what I was saying like a parrot, and I even remember making a special indicator. It's funny, and then M. remembered to be smart - like, what kind of nonsense. :) The topic was somewhere around "100 monkeys". :)
Progress is being made, though.
Дай направление на ближайшие пару лет6-)
Well... - You're kind of running out of safe word of mouth! :) But a couple or three people did catch them.
Reread the threads in that period, you'll understand everything. :) And the code of the indicator, in my opinion, even here remained. Or maybe I deleted it, I don't remember. :)
We get H=Vopt=2Sp.
For EURUSD at Sp=2 so we arrive at profit per trade = 2 or H=4.
i.e. we obtain the pipsator.
It seems to be very much true :)
It is confirmed by articles about high-frequency trading and by results of the last RTS contest (take a look at the winner's statement).
Sergey, let me express my impatience with the value of Sl and f :)