Don't tell me then that TA doesn't work - page 13

[hrenfx]

Reshetov:
Figured it out on the whole.

Posted an EA last night, didn't comment right away. I've never written NS, so my amateurish bicycle:

1. Weights are first normalized so that |X[1]| + |X[2]| + |X[3]| + |X[4]| = 1. During optimization X[i] can take all values from the interval [-1, +1].
2. Parameter Smoke <= 1.
3. In the perceptron the price data is given as relative returns: D[i] = Open[(i - 1) * shift] / Open[i * shift] - 1.
4. Before calculation (implicitly by code), the price data(D[i]) is normalized so that |ResX| = |X[1] * D[1] + X[2] * D[2] + X[3] * D[3] + X[4] * D[4]|= 1, and there is always a set of weights {Y[1], Y[2], Y[3], Y[4]}, |Y[1]| + |Y[2]| + |Y[3]| + |Y[4]| = 1, for which |ResY| = |Y[1] * D[1] + Y[2] * D[2] + Y[3] * D[3] + Y[4] * D[4]| = 1 (maximum possible).
5. The signal strength Res = X[1] * D[1] + X[2] * D[2] + X[3] * D[3] + X[4] * D[4] is compared to Smoke: |Res| < Smoke - CLOSE, Res >= Smoke - BUY, Res <= -Smoke - SELL.

With this scheme there is a possibility to go from (+1, -1, 0) to MM, because Res is an implicit position volume. I will make such variant later.

[hrenfx]

Expert Advisor according to the MM scheme.

This is the rare "correct" case when the signal contains not only the direction of the position, but also its volume. For example, if the signal is weak, the volume is small, strong - large. In this case at each point of time the net position is "floating".

[Igor Makanu]

hrenfx:
During optimisation X[i] can take all values from the interval [-1, +1].

1. Parameter Smoke <= 1.

If you don't mind, please tell me how to perform optimization for your code, I don't have time to understand it, but I'd really like to take a look at it, thanks.

[[Deleted]]

IgorM:
If you don't mind, please tell me how to optimise your code, I don't have time to look into it, but I'd really like to take a look, thanks.

Here https://www.mql5.com/ru/forum/131739 explains it all - Reshetov's first post.

In the same thread Reshetov simply offered a program to automate the process described here https://www.mql5.com/ru/forum/131739.

Apparently people were too lazy to understand it here https://www.mql5.com/ru/forum/131739, so the man tried to clearly demonstrate

The real efficiency of this process https://www.mql5.com/ru/forum/131739.

[Yuri]

It's really like you can't change the testing period, it starts in August and that's it.

[Олег]

yuripk:
It's really like you can't change the testing period, it starts in August and that's it.

Is there a history of quotes?

[[Deleted]]

Ну и дела !

I took Reshetov's Expert Advisor and processed/optimized it using Reshetov's program on the period 2010.08.22 - 2011.02.22

I ran the Expert Advisor through the parameters obtained using this optimization on the period2009.01.05-2009-12.31, with an initial deposit of 1000 and 0.1 lot:

And I have not inserted or corrected anything anywhere !

Strategy Tester Report

gold-dust

Alpari-Demo (Build 226)

Symbol		EURUSD (Euro vs US Dollar)
Period		1 Hour (H1) 2009.01.05 00:00 - 2009.12.30 23:59 (2009.01.05 - 2009.12.31)
Model		By open prices (only for Expert Advisors with explicit bar opening control)
Parameters		x11=197; x21=19; x31=190; x41=79; x12=86; x22=66; x32=193; x42=43; p=51; sl=630; pass=3; lots=0.1; moneymanagement=0; risk=0; mn=888;
Bars in history	7113	Modelled ticks	13222	Simulation quality	n/a
Chart mismatch errors	0
Initial deposit	1000.00
Net profit	1892.60	Total profit	17280.60	Total loss	-15388.00
Profitability	1.12	Expected payoff	3.64
Absolute drawdown	129.60	Maximum drawdown	962.14 (26.06%)	Relative drawdown	28.96% (600.02)
Total trades	520	Short positions (% win)	267 (54.68%)	Long positions (% win)	253 (52.96%)
		Profitable trades (% of all)	280 (53.85%)	Loss trades (% of all)	240 (46.15%)
Largest		profitable trade	61.80	losing transaction	-65.40
Average		profitable deal	61.72	Deal loss	-64.12
Maximum		continuous wins (profit)	9 (555.90)	Continuous losses (loss)	6 (-385.51)
Maximum		Continuous Profit (number of wins)	555.90 (9)	Continuous loss (number of losses)	-385.51 (6)
Average		continuous winnings	2	continuous loss	2

[artikul]

more:

I have not inserted or corrected anything anywhere!

How was it? ))) Do you like it? )))

[[Deleted]]

artikul:
How was it? ))) Do you like it? )))

So far I'm in shock ! Don't know what to say. Apparently there are adjustments to some universal patterns going on.

[artikul]

more:
So far I'm in shock ! I don't know what to say. Apparently there are adjustments to some universal patterns going on.

I'm shocked too )))) Probably because TA doesn't work after all ))))