My EA's test results - what's the catch and illusion? - page 5
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Afternoon. I use pending stop orders.
The main problem is that the tester does not take slippage into account. Note that if an order in the tester falls on a Gap - it will still trigger a profit if the TP does not fall on the gap. In reality, there will be slippage.
The second problem - the problem of generation of ticks, which has little to do with the market and your microstop will often smear in the loss - described above about it.
But nevertheless, test the system with fixed lot 0.1 - by expected payoff it will be possible to say more accurately - will it work or not.
In the Strategy Tester breakout systems with microstops often show great results. True.... some systems work not much worse than in the tester))))))))))) On the MO you need to look at.
Strongly such TCs would be mutually interlinked... This is unlikely to work.
The main problem is that the tester does not take slippage into account. Note that if an order in the tester falls on a Gap - it will still trigger a profit if the TP does not fall on the gap. In reality, there will be slippage.
The second problem - the problem of generation of ticks, which has little to do with the market and your microstop will often smear in the loss - described above about it.
But nevertheless, test the system with fixed lot 0.1 - by expected payoff it will be possible to say more accurately - will it work or not.
In the tester, breakout systems with a microstop often show great results.
Slippage is order execution according to the orders that are in the book at the moment. With high MO and market liquidity slippage becomes an afterthought. There is no need to fight the tick generation mode either; you should just know how it works and avoid its pitfalls.
The main reason for the failure is what is called the word "fitting", because the tester, very effectively allows us to fit our model, aka TS, to the market.
Slippage is the execution of an order on an order that is currently in the cup. With high MO and market liquidity slippage becomes a secondary factor. We do not need to fight the tick generation mode either; we just need to know how it works and avoid its pitfalls.
The main reason for the failure is what is called the word "fitting", because the tester very effectively allows us to fit our model, aka TS, to the market.
Slippage in the real system is smaller than the m.o. of the system anyway. And if the mo is small - then kaput. I agree, if the spread is not microscopic - then the tick generator does not affect the result.
Fitting, of course, may have a place. Although, I think there is nothing much to adjust - it seems to be a breakdown of haves with a micro stop.
The fact that the system has a signal to entry and a signal to exit, it is actually two full systems giving a signal to entry.
Yes, it is a signal, but it is not necessarily the basis of a separate system. The signal can be a harbinger of increasing risk, rather than income in the opposite direction. When we entered - we had a certain potential return/risk value that suits us. Another signal could show that either income has changed, or risk has changed, or both. In the latter case, a separate system can be built based on the second signal and if its return/risk suits us (taking into account overheads), it can be traded separately. In the first and second case these are only exit signals. For example, the signal showed a strong increase in volatility, which changed the risks and the current value of profit/risk does not satisfy us any more. Exit.
Time, trawl, tp - this is bullshit. If a trusted TS gives signals for input, what prevents it from giving signals for output?
The TS is obliged to give signals for both input and output.
The fact that the system has a signal on entry and a signal on exit, is in fact two complete systems giving a signal on entry.
No!!!
I suspect that you are only considering reverse strategies, i.e. OpenBuy --> CloseBuy=OpenSell --> CloseSell= OpenBuy --> etc.
But this is fundamentally wrong. Because both signals CloseBuy != OpenSell and CloseSell != OpenBuy --- these signals are not equivalent (flip equivalence of signals is not a rule, but an exception to the rule)
The system must consist of two closed subsystems OpenBuy --> CloseBuy & OpenSell --> CloseSell
The TS is obliged to give both input and output signals.
No, it is not obliged to output.
No, you don't have to go out.
Well, that depends on how you phrase it. For me, it's mandatory.
Well, that depends on how you define the task. For me, it's mandatory.
That's different.