The market is a controlled dynamic system. - page 494

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transcendreamer:

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

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

For savings deposits in the USSR, the Sharpe Ratio was infinitely higher)

 
Aleksey Nikolayev:

For savings deposits in the USSR, the Sharpe coefficient was infinitely larger)

Hehe... That was a cruel joke 😀

Generally the idea of a risk free rate is an abstraction, there is always some risk, even with Anglo-Saxon treasuries, no matter how insanely ungodly blasphemous that sounds...

 
Alexander_K2:

.

By introducing some lag variables, you can similarly construct an n-dimensional cocoon sausage... but is there any point in additional variables...

 
transcendreamer:

Hehe... that was a wicked joke 😀

Generally the idea of a risk free bet is an abstraction, there is always some sort of risk, even with Anglo-Saxon treasuries, no matter how insanely ungodly blasphemous that sounds...

As Jim Morrison (a member of Club 27) sang "The future's uncertain, and the end is always near")

Yet five years ago there was news that the British had redeemed some bonds with debts of almost three hundred years' standing)

 
Aleksey Nikolayev:

As Jim Morrison (a member of Club 27) sang "The future's uncertain, and the end is always near")

Yet five years ago there was news that the Brits had redeemed some bonds with debts that were almost three hundred years old)

They have perpetual bonds with no expiry date (but can be forcibly redeemed at any time)

 
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 95% of stability difference between equity and SB.

I also use the recovery factor when evaluating newly developed Expert Advisors. I only use the average monthly PV. I believe an Expert Advisor is worthy of being in my portfolio if its average monthly FS is >=1.

 
Wizard2018:

Yes, but UA has nothing to do with it :))) It would be good if the Doctor (and others), who present textbooks there, would also understand what is written there.

All determine the conditions of the experiment.
For instance, such phenomena as superfluidity and superconductivity are reached at temperatures close to absolute zero, at which the substance passes into quantum state of Bose-Einstein condensate, and there current can flow through conductor forever and superfluid helium slips down the vessel walls despite macrophysics laws.
Drawing an analogy with the market, I can do the same with the Grail, provided that there is no spread and very small commissions, or using bugs in the tester's tick modeling. And many can do so. So the correct way, when someone talks about the Grail or UA to ask him about the conditions of the experiment and then make any conclusions, including the mental abilities of the opponent.

PS: for a TS the potential pit is the spread or commission (always) and then if it goes down trend it means the trend is a potential pit, or vice versa.
The task is to make such a TS that for the market any of its actions is a potential pit, then the TS will earn a lot for a long time, and always. What is the peculiarity of such a state. From physics we know that when the micro-world goes to the macro-world without losing its quantum properties, that is, overcoming Planck constant, then miracles happen. That is, the TS should always accumulate the difference between either the beginning and the end of a trend or reversals in the flat market imitating the spread in the macro scale. The problem is that one excludes the other. In a good TS they should complement each other, not exclude. So, we should either work with trends as with a flat, or with a flat as with a trend.
That is, the first variant on the correction to the reversal.
But there are also reversals in the flat and this is the second option, working with the flat as a trend there is a reversal as a continuation of movement by the reversal.
That is, in a trend, we should look for the key in the correction and in the flat the key in the reversal. Combining both we will obtain something similar to the Grail.
(For all of the above, the trader must, by default, precisely and without delay separate periods of stagnation and market movement, it is believed that the trader has already done it and solved all issues related to it).


Your example is not very good with a robot on arduino that rides on a black line; I would like to explain to everyone who read it that in order to bring it in line with the real market, put a block that changes its speed from 0 to 60-70 km/h and make this speed change randomly, while line segments must be half a meter long on average and also occasionally become several meters long. That's when I'd see how the robot would do the job.
 
Wizard2018:

Yes, but UA has nothing to do with it :))) It would be good if the Doctor (and others), who set out the textbooks there, could also understand what is written there.

What exactly is there to understand about textbooks?) As Professor Preobrazhensky said - try to express yourself more clearly)

 
Valeriy Yastremskiy:

To me this is not much different from a sliding window. Only the width is adaptive) That is, we are looking for the last extremum in the sliding window)

Oh, yeah, that makes sense.

 
Aleksey Nikolayev:

What exactly do you need to understand about textbooks?) As Professor Preobrazhensky used to say - try to be clearer)

Alexei, you need to learn to be polite to Wizards.

You don't want to go the miserable way of the Doctor, obviously, lying drunk to death right now, do you?

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