Once again, about the lokas. - page 23
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My humblest request :)Please write which "joint order" I would need to open instead of ... any order from the second
2010.03.22 00:38 buy 0.01 1.35339
2010.03.22 08:01 sell 0.02 1.35026
2010.03.23 00:06 buy 0.03 1.35643
2010.03.23 08:37 sell 0.09 1.35026
After your reply, I will make sure to follow up on the 'live history' of all positions.
'
The aim of the Holivar has never been the truth! And I just want to understand . 'pro netting' for these positions. ;)
What is there to understand?
2010.03.22 00:38 buy 0.01
2010.03.22 08:01 sell 0.02 = Close 0.01 buy, Open 0.01 sell
2010.03.23 00:06 buy 0.03 = Close 0.01 sell, Open 0.02 buy
2010.03.23 08:37 sell 0.09 = Close 0.02 buy, Open 0.07 sell
---
Total after 2010.03.23 08:37 0.07 sell
What is there to understand?
2010.03.22 00:38 buy 0.01
2010.03.22 08:01 sell 0.02 = Close 0.01 buy, Open 0.01 sell
2010.03.23 00:06 buy 0.03 = Close 0.01 sell, Open 0.02 buy
2010.03.23 08:37 sell 0.09 = Close 0.02 buy, Open 0.07 sell
---
total after 2010.03.23 08:37 0.07 sell
Or like this (if brokerage company allows):
2010.03.22 00:38 buy 0.01
2010.03.22 08:01 sell 0.02 = Open 0.02 sell + OrderCloseBy(0.01buy,0.02sell)
2010.03.23 00:06 buy 0.03 = Open 0.03 buy + OrderCloseBy(0.01sell,0.03buy)
2010.03.23 08:37 sell 0.09 = Open 0.09 sell + OrderCloseBy(0.02buy,0.09sell)
Возмите и проверьте в тестере, :)
Все элементарно, настолько что даже и доказательства толком не надо - точнее его еще Эйлер и Пуассон доказали, так что Вы тут мимо - :) Это просто базис, :)
*** Хинт не спешите с ответами - я не ошибась в таких вещах... :)
The tester is not an authority here. But even in the tester we will observe a pattern where the balance goes up and down, which disproves the thesis about independence of "trend and currency pair and time in history". Even in the tester we will observe the volatility change at different time intervals of the same length.
In the long term the amount of profitable and losing trades will be equal, which illustrates how close the market is to a random walk. Very close. So close, in fact, that for many practical purposes it can be considered as such. Still, the market is not a random walk.
Из вашего сообщения делаю вывод, что вы слабо разбираетесь в значениях, которые выдает отчет. Советую прочитать соответствующие статьи еще раз... Лишним не будет...
Протестировал с депозитом 500 долларов.
Получили увеличение депозита 3 раза за год с небольшим.
Применяя усреднение, важно понимать какие риски сможет выдержать ваш депозит. Усреднение - это то же мартингейл. Что такое классический мартингейл? Удвоение ставки происходит до тех пор пока не будет выиграна одна ставка. Риски растут... В основе мартингейла лежит утверждение, что количество удвоения ставки всегда конечно.
Рассмотрим усреднение... Риски растут с увеличением диапазона изменения цен. Как только этот диапазон фиксируется мы начинаем отыгрывать убыток и зарабатывать. Отсюда вывод, что усреднение можно применять как по тренду так и против него.
Теперь вернемся к тестированию. Диапазон изменения цен равен 2700 п. Шаг усреднения 20 п. Максимальное количество однонаправленных позиций равно 2700/20=135. Теперь можем подсчитать максимальный риск в пунктах 135*136*20/2=183600 п Объем позиции минимальный равен 0.01. стоимость пункта - 0.1 доллар.
Итого: максимальный риск при однонаправленном усреднении равен 18360 долларов.
Если усредняться в 2-х направлениях и фиксировать позиции с профитом в 20 п. Тогда максимальный риск равен 18360-135*20*0.1=18090 долларов.
Это риск при безоткатном движении. Результаты тестирования двухстороннего усреднения приводил выше. Тогда риск составил 11424.67, что в 1.5 раза меньше расчетного.
That's what I mean too
What is there to understand?
2010.03.22 00:38 buy 0.01
2010.03.22 08:01 sell 0.02 = Close 0.01 buy, Open 0.01 sell
2010.03.23 00:06 buy 0.03 = Close 0.01 sell, Open 0.02 buy
2010.03.23 08:37 sell 0.09 = Close 0.02 buy, Open 0.07 sell
---
total after 2010.03.23 08:37 0.07 sell
As of 2010.03.24 00:50 (balance in yoy)
1.35026 - 1.35339 = -3.13
1.35026 - 1.35643 = -6.17
1.35643 - 1.35026 = -12.34
1.35026 - 1.34638 = 27.16
Total -3.13 + -6.17 + -12.34 + 27.16 = 5.52
'
"My" variant
2010.03.24 00:50 close 0.09 1.34638
2010.03.24 00:50 close 0.03 1.34625
2010.03.24 00:50 close 0.02 1.34638
2010.03.24 00:50 close 0.01 1.34625
Total 5.00
I hope I was not mistaken in my calculations, there is a spread here and there.
The tester is not an authority here. But even in the tester we will observe a pattern where the balance goes up and down, which disproves the thesis about independence of "trend and currency pair and time in history". Even in the tester we will observe the volatility change at different time intervals of the same length.
In the long term the amount of profitable and losing trades will be equal, which illustrates how close the market is to a random walk. Very close. So close, in fact, that for many practical purposes it can be considered as such. Still, the market is not a random walk.
I'll explain some more - I think you already know a lot about TV, so I'll speak without simplifying - True random variable (not pseudo) has infinite spectrum, i.e. including with periods of several centuries :))) So the period for analysis must be adequate to what we will consider to be a bias and what we will not. And the trends, about which I wrote to you LS, it simply is a low frequency :)) And there is no contradiction with mathematics. :))
the script is in the CloseBy code base
Could you give me a link, couldn't find it. Thanks.
It turns out that as of 2010.03.24 00:50 (balance in yoy)
1.35026 - 1.35339 = -3.13
1.35026 - 1.35643 = -6.17
1.35643 - 1.35026 = -12.34
1.35026 - 1.34638 = 27.16
Total -3.13 + -6.17 + -12.34 + 27.16 = 5.52
'
"My" variant
2010.03.24 00:50 close 0.09 1.34638
2010.03.24 00:50 close 0.03 1.34625
2010.03.24 00:50 close 0.02 1.34638
2010.03.24 00:50 close 0.01 1.34625
Total 5.00
I hope I have not made a mistake in my calculations, i.e. spread here and spread there.
Well, you didn't take into account the spread in my options and you did in yours, hence the difference.
But, you didn't take into account swaps.
Well, you didn't take into account the spread in my options and you did in yours, hence the difference.
But you didn't include swaps.
About the spread - yes, at first I wrote it, then I realised that it was the "there and there" that made the difference. Swaps are not "arithmetic" either.The purpose of my question was ... It's just that in all such arguments there are only adjectives and not a single noun :)
About the spread - yes, at first I wrote it, then I realised that it's the "there and there" that makes the difference. Swaps do not belong to "arithmetic" either.
The purpose of my question was ... It's just that in all such arguments there are only adjectives and not a single noun :)
It is simply a question of technical implementation of the trading algorithm. We should remember that there is no additional profit in the lock. Lock is a loss on swaps (though many do not consider it a loss), and an illusion of making some profit that cannot be gained without a lock.