The market is a controlled dynamic system. - page 45
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Read on. The beginning of the thread was interesting. I got my popcorn on, plumped up in my easy chair, got my pen and paper ready. I thought I'd be taking notes on clever ideas, and I'd understand every detail. But then I was quickly disappointed. Nothing is explained apart from the introduction. Why does one need the X signal? How to trade by it? By the intersection of X and Y or what? How are the W(s) structures selected? Is it a breakout and an error? What is the market sense of X and W?
Here's a pressing problem from my area. We have a radio receiver. It receives a useful signal X with noise F. We know in advance that the spectrum of the signal is at [f0-b,f0+b]. Our task is to decode the signal X. All this is similar to the problem posed here of finding the control signal X in the market quotes. The radio receiver problem can be simplified by shifting the signal spectrum by a mixer to [0,b] and then filtering it by a low-pass filter with cut-off frequency b. The result is a signal + noise in the [0,b] frequency range. Here is an unsolved problem: how to separate the signal from the noise in this range? The greater the noise, the greater the signal decoding error. As I understand it, you are trying to find the signal X
- without knowing its maximum frequency b
- without knowing its statistical characteristics
- without making any assumptions about the distribution of the noise.
How is that possible? And if it is possible, then let's patent a radio receiver in which the signal is separated from the noise without knowing anything about both. Why do you think X is the control signal and not F noise. What are your criteria for a signal?
I spent a lot of time and effort creating this system, even more time and effort spent testing it in real time (not in the tester) - it works, and there is real evidence of that. You have deigned to spend an hour and an hour digging for clever insights and haven't found them. Do you think you will have any desire to explain anything in such a tone?
Oleg, without at least a brief explanation of how the system works, this thread looks more like an advertising thread. Your diagrams and drawings with formulas from TAU without any clarifying comments looks like an attempt to justify a not very successful result.
The system does not look like a full automaton (although you don't seem to have stated that). All trades are short and all are profitable. It is very likely that there are no stops (or they are so far away that they allow stop-out).
The maximum drawdown of equity to balance is about 59%. I wouldn't be surprised if monitoring becomes unavailable at some point (it's not exactly open even now).
Do you think there is a great desire to spend a lot of time trying to get out clever thoughts with such a more than modest result?I had a personal conversation with Oleg. He told me a lot - but only what I already knew before (my specialty is production automation) - thank you for refreshing my knowledge.
But when it comes to the control signal - wall. It's deafening. Silent. Well, it's his right not to tell.
So far, what I see for myself is a system based on crossovers without any stops. Hence the monstrous drawdowns. Part of the drawdown is compensated for by hedging with a few pairs. That's the whole ASATP (Automatic Trading Control System).
So far, what I see for myself is that we are seeing a system based on crossovers, with no stops. Hence the monstrous drawdowns.
For the explanations, in principle I started my MTS with the same theme, it turned out more efficient to analyze the MAC increments in % ratio, then the drawdowns are minimal when entering the market, but the system needed frequent adjustments, so I gave it up for now.
SZZY: speciality: "Computerized Control Systems and Automatics" (code 6.0914) ;)
Alexei, what's my hurry... Let's wait at least six months for the results, and then we'll talk about the results - more or less modest.
Once again, this is an experiment. Its duration is one year.
All you need to understand the idea is in the beginning of this thread -- but of course, not for plucking clever ideas -- to master it, you will need to open the book (and not one) to clarify obscure points.
Well, and to avoid me (once again) being accused of advertizing this branch -- (I do not need anything from any of you, I can give money myself) -- I suspend for this time any publications in this branch.
To questions on the merits, I will answer, I will explain -- it is more convenient to use Skype for that. I will simply ignore the womyniks from now on so as not to spoil my nerves.
avtomat: Всё необходимое для понимания идеи есть в начале ветки -- но конечно, не для наскоком выдёргивания вумных мыслей -- для освоения понадобится открыть и книгу (и не одну) для прояснения неясных моментов.
I don't think your system is so unbearable for others that it cannot be explained in a few sentences without referring to several books.
By the way, from the balance/equity chart you can roughly estimate drawdown distribution - and then check the probability of drawdown exceeding some critical value (say, 90%) at least once during three series, each of which will be about 222 trades. That's a pretty good probability...
P.S. And one more thing: nobody forbids you to put link to monitoring in your profile. Let it hang. Who needs -address in person. But if you do just for the sake of it a whole branch on the forum, deliberately nothing to explain - this is called advertising.So far, what I see for myself is that we are seeing a system based on crossing of the wagons, with no stops.
I, too, have the impression that the automaton system is similar to a waveform crossing. Only one of the dummies(control signal X) is calculated intricately, on the principles of a controlled dynamic system. But that doesn't change its essence - it's a filter of already existing Y quotes. I tried to get a simple answer from the automaton as to why it considers that X is a "hidden control signal" and not a filtered noise? And it gets offended, "what's the question, is the answer". There have been no answers at all in this thread. One foreplay and a long way from orgasmic.
1) I had a personal conversation with Oleg. He told me a lot - but only what I already knew before (my speciality is production automation) - thanks for refreshing my knowledge.
2) But when it comes to the control signal - wall. It's deafening. Silence. Well, it's his right to understate, of course.
3) As of today, what I see for myself is that we are seeing a system based on crossovers of swipes, with no stops. Hence the monstrous drawdowns. Part of the drawdown is compensated for by hedging with a few pairs. That's the whole ASATP (Automated Trading Control System).
1) It was a misconception.
2) I'm just not up to date on the BIT at the time of writing the post.
3) It was an erroneous opinion.
Thank you, Oleg.
Glad. But there's still a long way to go - and it's an interesting journey in itself, as a path of research, exploration and discovery.
.
Hereby -- back to my cave of silence and silence -- for it will be considered advertising! :))))))
1) It was an erroneous opinion.
2) I just hadn't gotten to the point at the time of writing the post.
3) It was an erroneous opinion.
Thank you, Oleg.
Now you have the right to hold back too. Congratulations! You've already got a sect of intrigue there.