Discussion of article "Money-Making Algorithms Employing Trailing Stop" - page 5
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
You want to compare a system with trawl output and the same system with SL and TP output. And then make a conclusion-comparison about trawl and SL, TP. It doesn't work that way. Symbiosis of system and trawl or system and SL, TP is much stronger than individual properties of trawl and SL, TP. You cannot detach the output of a trade from the input and consider it separately. Only whole algorithms can be compared. You cannot compare pieces of algorithms.
If you compare "trawl" and "netral", you won't get anything; but "netral" and "trawl" - very easily, because it is obvious that with "trawl" trades will close not later than with "netral" (and then write down the time of transactions of "netral" in a file, and let "trawl" use this file to orientate the opening).
notused:
trawls... increase the variance of the outcome of trades.Here I must be wrong, because dispersion:
Expectation at trawls decreases (proved by practice, but generally speaking, we need to think more) - let it be y:
и
I.e., the right-hand terms of the equality have not increased, but has the variance decreased? Apparently, it can both increase and decrease.
In Vince's fundamental equation:
the higher the TWR, the faster the growth. N is the number of trades. But, theoretically, trades are only a matter of time, so the profitability of the system depends only on this expression:
A ^ 2 - D(A - average, D - variance).Based on the equation, the ideal task of a trader is to increase the average (A) and decrease the variance. But at the same time, it is also possible to decrease the average, if this will decrease the variance more than the square of the average.
In general, in order to prove that trawling can be favourable, we need to find such two systems "netral" and "trawl" that the following holds:
Substituting the dispersion formula, we can expand ("trawl" - y, A - M, "netral" - x - back to the initial notations):
Apparently, in some cases, this inequality may well hold.
So, tentatively, I take back what I said (that trawling cannot be profitable). But I can't prove it practically yet (I don't have enough free time).
P. S. Vince counted not in points, but the essence of his formula from this does not change.
P. P. S. I could be wrong somewhere
P3.S. Vince's equations include the fact that the expectation can increase (theoretically) with trawling.
What software did you use to generate figure 2? is that available in MT5 too?
I must have made a mistake here, because dispersion:
The expectation decreases with trawls (proven by practice, but generally speaking, we need to think more) - let it be y:
и
I.e., the right-hand terms of the equality have not increased, but has the variance decreased? Apparently, it can both increase and decrease.
In Vince's fundamental equation:
the higher the TWR, the faster the growth. N is the number of trades. But, theoretically, trades are only a matter of time, so the profitability of the system depends only on this expression:
(A - average, D - variance).Based on the equation, the ideal task of a trader is to increase the average (A) and decrease the variance. But at the same time, it is also possible to decrease the average, if this will decrease the variance more than the square of the average.
In general, in order to prove that trawling can be favourable, we need to find such two systems "netral" and "trawl" that the following holds:
Substituting the dispersion formula, we can expand ("trawl" - y, A - M, "netral" - x - back to the initial notations):
Apparently, in some cases, this inequality may well hold.
So, tentatively, I take back what I said (about trawling not being favourable).
But I can't prove it practically yet (I don't have enough free time).
reverse entries into trade: reversing entries?
I don't understand what this means at all, do I?
In the original text, it should mean reverse entries into trade (as opposed to the previous trade).
Basically what I'm inferring from these articles is that money management is far more important than choosing the right entry point
reverse entries into trade: reversing entries?
I don't understand what this means at all, do I?
Looking at the original text, it should mean reverse entries into trade (relative to the previous trade).
I feel that the core of this algorithm is: 1) Random entry; 2) Trailing stop loss 3) Determine the price level of the trailing stop loss through optimisation, and constantly determine the optimal parameter values. The author is very good at giving the test money curve from 2006~2009, this seems to have some difficulty - your TS parameters make the Jan-June curve look good, but June-December, can it still be so smooth?