Optimal values of SL and TP orders for an arbitrary TS. - page 5
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I don't get it. If there is a TC, it has an input and necessarily an output. Reading the post one comes to the conclusion that there are two types of additional, more worthy outputs - SL and TR, which are somehow better than the output inherent in the TC. I.e. Immediately a defect in the TC is assumed, but we don't try to improve the TC, we keep it on the bench as a reserve for the commander-in-chief.
IMHO SL and TR are a remedy against formers. In all my more or less hysterical TC SL and TP only made results worse, hence the conclusion: find those values which do not make results worse, but are in a row, and put SL and TP.
Approach to SL and TP from the risk side is a problem of nerds with immense money. Everyone has a different risk - 2%, 10% or all 100%. Nobody expects to lose a solid deposit to zero having read Vince or any other shell game.
ИМХО SL и ТР - это средство против формажоров. Во всех моих более или менее истересных ТС SL и ТР только ухудшали результаты и отсюда напрашивался вывод: найти оптимизатором эти величины, которые не ухудшают результат, но находятся ряюом, и поставить SL и ТР.
That's just your point of view, Alex. Force majeure happens all kinds of things. Do you have a stable internet connection?
That's just your point of view, Alex. Force majeure happens all kinds of things. Do you have a stable internet connection?
Of course not. Force majeure is the Internet + otherworldly forces in the form of DC. Maybe something else. But it is not interesting: we put SL and catch up with slippage. Putting TR - the freeloader's dream.
Поехали! Потихоньку...
Is the value of f a constant (so far it reads that way) or will it still change. My understanding is that it is the equivalent of lots.
It seems to me to be anOptimal F.
And something about the spread not being involved in the calculations.
I agree with those in favour that there are no universal rules for choosing SL and TP. It all depends on the system.
Generally speaking, exit as well as entry is always by rule. Fixed SL and TP are very simple rules. And the rules should correspond to the regularities of price movement used and not be adjusted based on the maximization of profit or something else. So it's a matter of robustness in the choice of exit rules, which affects the robustness of the system as a whole.
Мне кажется, это из оперы "Optimal F".
А что-то спред в расчетах не участвует.
For 'initial simplicity', without losing generality and common sense, we can assume that spreads are 'hidden' in h(i) and just leave them out for now
Let's go! Let's take it slowly...
Let's start with algorithmization of the simplest arbitrary TS with capital reinvestment f
Sergiy, good day!
I am glad that interest in private correspondence turned into active discussion.
I think it would be wise to take a step back and DISCUSS the "designed device" concept, asSL is, imho, only one of its "nodes".
For example, when designing an F1 car, one does not discuss the means of lifting the body, as it is not needed. It is necessary, imho, to understand/define the INTENTION of the "knot" - and mutual clarity makes it easier to perform "folk dancing" :).
My opinion is this:
The Trading System is a 'vehicle' for:
1. preservation and
2. multiplying
Money by entering and exiting the Market.
Suppose SL is needed to implement the first task.
Then there is an understandable task - to specify SL parameters, basing on the parameters of capital preservation. Such parameters may be:
Who and how the value of this % is determined, imho, the subject of another interesting "TV show".
The probability of losses itself arises only at the moment of entry into the market. At that moment we assume that we know :) :
Suppose during semi-automatic trading our TS gives a buy signal and if the TS conditions need to enter only with SL, then we will be surprised to find that the value of SL is only affected by
i.e. SL will be somewhere in the range of
max % loss in pips >= SL >= random triggering in pips
We have obtained the limits of the "braking system" characteristic based on the "vehicle mass" for the cases of its min and max "speeds".
By such a long set of letters I have tried:
However, my reasoning may be flawed or incomplete if:
Hence, I suggest before we start designing once again to go back to the roots and discuss the concept of the TS itself and its nodes or clearly articulate them.
(Because it's a shame that even prediction accuracy doesn't affect the Lot :) )
Hence, I suggest we go back to the basics once more and discuss the concept of the TC itself and its sub-assemblies, or clearly articulate them, before we start designing.
Although my post was ignored, once again I insist that SL and TR have nothing to do with the TS. If it was possible to find a SL better than an exit by a trading system that makes decisions on current quotes, then there is a disadvantage to that TS compared to SL. SL TR is a reaction to extreme trading conditions in forex, for example, connection breakdowns.
Ничего не понимаю. Если имеется ТС, то в ней имеетс вход и обязательно выход. Читая пост приходишь к выводу, что существует два типа допонительных, более достойных выходов - SL и ТР, которые чем-то лучше выхода, заложенного в ТС. Т.е. сразу же предполагается дефект ТС, но не пытаемся улучшить ТС, а держим на скамейке запасных в резерве главного командования.
ИМХО SL и ТР - это средство против формажоров. Во всех моих более или менее истересных ТС SL и ТР только ухудшали результаты и отсюда напрашивался вывод: найти оптимизатором эти величины, которые не ухудшают результат, но находятся ряюом, и поставить SL и ТР.
Еще раз настаиваю, что SL и ТР не имеют никакого отношения к ТС. Если удалось найти SL лучше чем выход по торговой системе, которая принимает решения по текущим котировкам, то имеется недостаток этой ТС по сравнению со SL. SL ТР - это реакция на экстремальные состояния торговли на форексе, например, обрывы связи.
Everything is correct. Only this correctness must be proved, which we will do. My reasoning does not contain SL and TP orders now, it is not the time for their introduction yet. We will consider the most general case of a TS without protective orders which opens and closes positions by itself and its entire life, from the mathematical point of view, is determined by the distribution of h takings by absolute value and sign.
grasn wrote(a) >> is the value of f a constant (so far it reads that way) or will it still vary. My understanding is that it is the equivalent of lots.
Yes, while this value is fixed, but later we will turn it into a parameter and find the optimal value (as Vince did, only for an arbitrary TS and in an analytical form, not to spend days with the optimizer, but have a brief formula - substitute a quotient in it and obtain the optimal f).
M1kha1l wrote(a) >>
Sergei, good afternoon!
Glad that the interest in private correspondence turned into an active discussion.
Hi Michael!
Thanks for responding to my request to participate in the general discussion.
Of course, all that you have voiced in your post above is correct. But let's go in order (in my order :-) The fact is that the paths that lead to the truth - a lot, and all of them unfortunately we will not cover, and it is not necessary. Therefore, I will continue on the path that I have already outlined, taking into account only your critical remarks and omitting the details that we will be able to come back to later. Agreed? If you have ideas about this theme and you are ready to share them with the public, feel free to express them without waiting for my reaction. I'll be sure to respond when I get around to it.