In this article, we will apply the probability theory and mathematical statistics methods to creating and testing trading strategies. We will also look for optimal trading risk using the differences between the price and the random walk. It is proved that if prices behave like a zero-drift random walk (with no directional trend), then profitable trading is impossible.
Before launching a robot on a trading account, we usually test and optimize it on quotes history. However, a reasonable question arises: how can past results help us in the future? The article describes applying the Monte Carlo method to construct custom criteria for trading strategy optimization. In addition, the EA stability criteria are considered.
Volume Optimizer is a script for calculating the optimal trade volume. The volume is defined by a trade history and optimal risk theory described in my article.
Trading always implies uncertainty. Even if a trading system is generally profitable, we can never be sure that each of its trades actually brings positive result. Too great trade volume may significantly reduce the capital, while too low volume may hinder the system from achieving its potential in full. Volume Optimizer allows you to...
The article develops the ideas proposed in the previous part and considers them further. It describes the problems of yield distributions, plotting and studying statistical regularities.
This article describes the use of methods of the theory of probability and mathematical statistics in the analysis of trading systems.