Some signs of the right TCs - page 19

[Valeriy Yastremskiy]

Aleksey Nikolayev:

Do you flip the time at the same time as you flip the quotes? And if you don't move the time?

Then you have to change the sign, or buy to sell. There are no volumes in this formula.

To be honest, I also understood that F(time1) - F(time2) and F(time2) - F(time1) are time reversals.

[fxsaber]

Valeriy Yastremskiy:

You will have to change the sign, or buy to sell. There is no volume in this formula.

EURUSD_BUYprofit = Volume * EURUSD_close / EURUSD_open.

[Aleksey Nikolayev]

fxsaber:

I don't turn the time around. I guess I need to write the right TS here.

If the "buy and hold" strategy works for XXXYYYY, then the "sell and hold" strategy should work for YYYXXX?

Or do we just immediately write such strategies down as wrong?

PS It's hard to make sense of other people's non-trivial constructions

[Valeriy Yastremskiy]

fxsaber:

EURUSD_BUYprofit = Volume * EURUSD_close / EURUSD_open.

The volume in the formula is the same, so it can be reduced. And I don't understand why we should divide closing and opening prices of an order instead of subtracting them.
EURUSD_BUYprofit = Volume * (EURUSD_close -EURUSD_open).

[Valeriy Yastremskiy]

Aleksey Nikolayev:

If a "buy and hold" strategy works for XXXYYYY, should a "sell and hold" strategy work for YYYXXX?

Or do we just immediately write such strategies down as wrong?

PS It's hard to make sense of other people's non-trivial constructions

If you change the objective to mathematically correct opening and closing order conditions, then it's all about the conditions.

[fxsaber]

Valeriy Yastremskiy:

Why divide close and open order prices instead of subtracting.

Forum on trading, automated trading systems and trading strategy testing

Some Characteristics of Correct TS

Valeriy Yastremskiy, 2020.03.04 09:51

In this trading problem TS, trade in relative changes of a numeric series

[Valeriy Yastremskiy]

fxsaber:

Yes, to be precise, it's a ratio, not a difference, not fully understood. If more than one, increase in volume, if less, decrease.

[igrok333]

fxsaber:
trade in relative changes in a numerical series

and what is the advantage of the logarithmic price representation over the conventional price representation?

[fxsaber]

fxsaber:

Probably need to write the right TC here.

https://www.mql5.com/ru/blogs/post/734084

If you would like to discuss, I suggest this thread, as there are no response notifications on the blogs.

[fxsaber]

igrok333:

and what is the advantage of the logarithmic price representation over the conventional price representation?

Cheap and easy calculation of relative changes due to the properties of the logarithmic function.

Imagine you want to run your TS through log(EURUSD). In MT5 there is a notion of Digits, which can distort very much by rounding.

Unnormalized TACs in MT5 (I do not know about other testers - I haven't tried), unfortunately, are impossible.

there are thousands of impersonalized IACs in any range [minPrice; maxPrice]. The TC should be able to work on them without any presetting.

Only maternally calibrated TSs allow for large-scale studies on synthetics.