Optimal values of SL and TP orders for an arbitrary TS. - page 15
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Vitya писал(а) >>
Ветка очень интересная, вот если бы ещё результаты в виде кода оформлялись проще было бы понять как всё это можно применить.
This branch is intended for (sometimes deceptive) thinking with one purpose - to significantly reduce the phase space of parameters that may describe certain phenomena in the market, and as a consequence, to make coding itself meaningful (not the dumb search of some parameters in the tester for weeks).
Therefore, you're unlikely to find ready-made Expert Advisors.
P.S. Completed my previous post.
так не нужно готовых, хоть пару строк...))
Oh-oh-oh, there's a good hundred lines of that "goodness" in Codebase!
Here's what's interesting. When constructing the general view of OTC Frame and the functional describing the analytical form of TS operation, I used the most general properties of price series and basic common sense, taking care not to inadvertently attract extra content. It so happens that we don't have time explicitly present anywhere. Is it an accident? I don't know, but general view of FR is wonderfully described in terms of price levels. Above I showed that there is a statistical relationship between these two price series parameters - time t and amplitude V(t):
Thus, all the analytical material in this thread can be represented in two ways, through the parameters as functions of time and/or as functions of price. Let us look again at the FR of an arbitrary TS with argument h (Fig. in red) and at its appearance when time was used as an argument (in blue):
We can see that the use of variable h as an argument allows us to have more strict boundaries of the FR and, consequently, such representation is easier for analysis. The temporal representation, on the other hand, requires analysis of averages, etc., which is not good. But, of course, you can argue that this attractiveness cannot be an argument when choosing a trading style - there are a lot of useful and profitable things in time... Anyway, I don't know how to answer that yet. Maybe, but it has all been accounted for in FR of h. Let me point out that the number of tractions in these two cases is not the same, but it doesn't affect the general view. I only wanted to emphasize the widening of the boundaries.
In general, I will further stick to the price representation of arguments in the analysis. It is easier and more evident to me. The resulting system fully describes the object under study in these terms and it seems an unreasonable luxury to involve an additional redundant parameter.
Sergey, how did you get the blue curve? And why is the SL smeared out there?
By the way, the red one is not clear either, if you cut profit manually at Hort(But for the right edge we can change the shape and we have a certain degree of freedom. Obviously, it is connected with the fact that we have the right to choose when to close the profit trade), it would seem that the ear should grow there.
And I closed exactly on time :-) Well, I tried to be punctual - I defined SL and replaced it by the time during which the price had to close in pips on the average. So it has worked on the "average".
Well, yes, of course I overdid it with visualization. In short, I just wanted to emphasize that replacement of "strict" trading when the price reaches certain levels by the holding time trading will result in the blurring of clear boundaries in the TP.
Do not poke at the figure, it is illustrative!
Есть у меня подозрения, что "обрезание сделок по времени" ведёт к появлению небернуллиевости, если эта самая бернуллиевость присутствовала ранее, конечно. Понятно, что если это так, то вся конструкция и все формулы лежащие в основе, а они основаны на предположении о бернуллиевости, - начинают "плыть".
And what kind of non-bernoulliering exactly? Correlation between the increments?
А какого именно рода небернуллиевость? Корреляция между приращениями?
I think HideYourRichess was referring to the operation of TC with fixed stops, when TP=k*SL, where k is a constant. He considered MM for this case in his article. Let me remind you that we study MM for the most general case when the area where the values that take TC bribes are defined are natural numbers from minus to plus infinity.А какого именно рода небернуллиевость? Корреляция между приращениями?
If only. Roughly speaking, a slender and predictable Bernoulli scheme turns into something chaotic and unrobust. But again, this is at the level of observation and feeling, I have no proof yet.