The market is a controlled dynamic system. - page 493

 
Aleksey Nikolayev:

According to your method, if the first tick at the start is unprofitable, the drawdown on it as a percentage of profit will be minus infinity)

According to my method, profit and drawdown are taken over a certain interval, usually a year.
 
Aleksey Nikolayev:

In my opinion, it is easier and more correct to calculate the drawdown in the usual way (percentage of equity).

You may do it this way but the point is not the point. The point is that the indicative value is the ratio of profit to drawdown, and not a separately taken profit or a separately taken drawdown.
And not from the current equity, but from the initial deposit, because you don't know at what point there will be a drawdown, and you have to take the worst case - a drawdown right at the start.
 
Valeriy Yastremskiy:

UA was the motivator behind the work. Heron's fountain was also like a search for a perpetual motion machine. And only then did they understand what Mother Earth had to do with it).

By the way the market, equilibrium is certainly good. But just do not forget that the market is one of the characteristics of the state of society. Other characteristics are also important) Often, when solving a problem, you depart from the initial conditions.)

It is a coincidence :)

I was also looking at this fountain at night, I'll try to do it in the yard. Hadn't heard anything about it before.

 
secret:
We can do it that way, but that is not the point. The point is that the indicative value is the ratio of profit to drawdown, not a single profit or a single drawdown.

I believe this value is called the recovery factor and is also counted in the signal statistics. It is believed to be at least three. According to my estimation, this value (three) corresponds to 95% of significance level of equity difference from SB.

 
Aleksey Nikolayev:

I believe this value is called the recovery factor and is also counted in the signal statistics. It is believed to be at least three. According to my estimations, this value (three) corresponds to the 95% level of significance of equity difference from SB.

The most important thing in trading is the Tilt Factor = William Sharpe upside down 😀

 
transcendreamer:

The main thing in trading is the Coefficient of Thune = William Sharpe upside down 😀

Not a fact worth doing with an almost 90 year old grandfather) But if you shake him a bit while doing so, a Nobel Prize will fall out of his pockets and "financial engines" is one of the coolest consulting firms)

 
Aleksey Nikolayev:

Not a fact worth doing with an almost 90 year old grandfather) But if you shake him a little while, a Nobel Prize will fall out of his pockets and "financial engines" is one of the coolest consultancy firms)

Sharpe ratio for the consulting industry is probably one of the highest

In trading, the variation in returns is almost always markedly higher than the returns themselves, unlike working in a factory

 
Aleksey Nikolayev:

The economy seems to be recovering now, but it usually does so unevenly across countries, which should lead to trends that could disrupt return systems. This may not yet have time to manifest itself in the summer.

I see. In my imho, the big persistence, on all fumes, will start as early as summer. Maybe in the middle, maybe closer to August, due to rising inflation in the USA.

 
Aleksei Stepanenko:
All heated debates in this thread are about the nuances of essentially one direction, so to say, the adherents of the sliding window. But there is another trend - extremums where all history is considered from maximum to minimum. In my opinion, there is more opportunity to catch on.

In fact, it makes no difference how to work: in a sliding time window, or with specific coordinates of price location in two-dimensional space-time.

The important thing is to skillfully use formulas like this for the distance travelled, or its projection onto the Y-axis.

But, in any case, there is no escaping time and, in the case of the market, its heterogeneity...

 

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Reason: