Algorithmic ''centrifuge'' - page 15

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Реter Konow:
The problem with ZZ is that it does not take into account the time/profit/risk ratio of trades.
ZZ entry points will give disproportionate trades. They will not take into account trend/float. The corridors will be placed inside the sections of deals, along with the peaks.
ZZ accommodates all dynamics, and it seems senseless to pick other indicators using it. At least it is not smart.

We need another approach. Not only ideal entry/exit points, but also observance of internal proportions of deals - the time of position duration, its profit and risk.

By risk, in this context, I mean not the ratio of the lot, stop and deposit, but the stability of price change in an open position. The less stable the change (hammering), the greater the risk of losing profit.

Therefore, the ideal entry/exit points should not be sought according to the principle "the higher the profit, the better", but according to the principle "the ideal deal is the deal with the best ratio of time, profit and risk".

This is my opinion.

Don't overcomplicate it. Ideal points are ideal because the risk in them is=0. Otherwise your model becomes orders of magnitude more complicated and meaningless.

 
Aleksey Mavrin:

Don't complicate things. Ideal points are ideal because the risk in them is=0. Otherwise, your model becomes orders of magnitude more complicated and meaningless.

In the points themselves, let's agree. However, what about the whole section of the trade?

Suppose between the ideal points of the position there is a transition between the trend and the flat, but the trade ignores it. There is a dangerous flailing, but the deal ignores it too. Where is the reasonableness of such a trade? What are the criteria for holding it? There are none, because this deal is a pure fit with history. Can we use this fitting to select indicators and build the TS?
 
Реter Konow:
In the points themselves, let's say. However, what about the whole transaction area?

Suppose there is a transition between a trend and a flat between the ideal position points, but the trade ignores it. There is a dangerous flailing, but the trade ignores it too. Where is the reasonableness of such a trade? What are the criteria for holding it? There are none, because this deal is a pure fit with history. Can we use this fitting to select indicators and build the TS?

You're right, but if we consider all this we will come to where we started from - optimization in its current form based on trade results.

Life-hack :

Here in MT5 there is an opportunity to assemble an EA from signals-indicators. Collect them all, set their weight from 0 to 100%, set their parameters (as I think) in 3-5 steps (two on the boundaries of GU and between), otherwise the number of steps will be enormous.

After a complete search it is possible (with low confidence) to determine which signals have the best influence on the final decision about the trade.

But the disadvantages of this approach are clear. The huge complexity (or low reliability) of the decision squeaking in the extra-dimensional space.

 
Реter Konow:
In the points themselves, let us say. However, what about the whole section of the trade?

Suppose there is a transition between a trend and a flat between the ideal position points, but the trade ignores it. There is a dangerous flailing, but the trade ignores it too. Where is the reasonableness of such a trade? What are the criteria for holding it? There are none, because this deal is a pure fit with history. Can we use this fitting to select indicators and build the TS?

There is no reasonableness! And it cannot be. It is necessary to follow the further developments after the opening - we need a target indicator + a further price analysis. The future is unknown! Although there is one option. I have one specific feature - the brief description is in the attachment. Perhaps it will help. As I see the application - calculate the target, if the risk is less than 1:3, then open position. Then we watch the price movement.

There is another application of Gann lines - it is determination of places (time) of future price reaction.

Files:
funny.zip  154 kb
 

I suggest you look at the following screenshot of the chart with the ZigZag indicator superimposed on it and evaluate the quality of its hitting the ideal points.

As I said, the ZigZag is hitting 100%, then it misses 100%. It doesn't distinguish between Trend/Flat/Corridor changes. Elsewhere, misses horrible hammering (I'll post screenshots later), so a question:

What is the point of setting indicators for TS using it?


I marked with checkmarks the entry/exit points that I think are appropriate, and with crosses I marked the unlucky points shown by the indicator.

 

In the centre of this chart, we can see the ZZ skips the gap and the flat, showing us a not at all ideal exit point.


 
Реter Konow:

In the middle of this chart, we see ZZ missing a gap and a flat, showing us a not at all ideal exit point.


Where does it miss this gap? At the very top of the entrance.

 
Dmitry Fedoseev:

Where does he miss that gap? At the very top of the entry.

Missing means it accommodates in a section of trades. GZ contains both the gap and the flat, and the exit is not clear. It turns out to be a mess.

 
Реter Konow:

Skip means to fit into a section of trades. ZZ accommodates both gap and flat, and the exit is not clear at all. It turns out to be a mess.

Exits at the very bottom

 

Peter, it is impossible to come up with a system that works out all the waves, because their amplitude and period are not known in advance.

There are three variants of price movement from the upper point to the lower one. As a result, the price travelled the same distance in the same period of time. Only the size of pullbacks differed. In the first variant, there was nothing to catch on, and there were normal entry points in the third one. But how can I know about it beforehand? Neither Zig Zag, nor any of your future creations will not solve this question.

You tune the indicator to one character of price movement and fly by at another character of movement. The only possibility is to tune in to a more frequent pattern of price movement. And get a statistical advantage.

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