Machine learning in trading: theory, models, practice and algo-trading - page 3093
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Is there anything about forests/NS in the article?
No
no
then why are you looking for it in the code? )))
then why are you looking for it in the code? )))
Where are the forest/NS hyperparameters? No - so it's not training. Predictors aren't fed either.
I think it's just evaluating the stability of the external model predictions.
here
here
I have the code for this package to look for something in it. I read the article, that's all.
Would you like to feel the package?
Would you like to feel the bag?
R uninstalled it about 5 years ago and have no desire to install it. I have enough ideas for me. If I like it, I will do it myself to test it.
In this variant - there is nothing unique. Metrics in MT are roughly similar (Bal*RF, Bal*EP, Bal*PF), especially the composite metric is interesting. It is interesting to see its algorithm.
More precisely - unique, not sure which is better.
If you compare - it would be interesting to know the result
R uninstalled about 5 years ago and have no desire to install. I have enough ideas for me. If I like it, I'll do it myself to test it out.
In this variant - there is nothing unique. Metrics in MT are roughly similar (Bal*RF, Bal*EP, Bal*PF), especially the composite metric is interesting. It is interesting to see its algorithm.
More precisely - unique, not sure which is better.
If you compare - it would be interesting to know the result
I won't be able to compare it to MT metrics.
I'm writing code now just to test this algorithm for usefulness.
but the code will be impressive by the standards of R.
I can't compare it to MT's metrics.
I'm writing code now just to test this algorithm for usefulness
but the code will be impressive by R standards.
MT formulas are simple, everything can be taken from here and repeated
https://www.mql5.com/ru/articles/1486
https://www.metatrader5.com/ru/terminal/help/algotrading/testing_report#recovery_factor
https://www.mql5.com/ru/forum/4485
MT formulas are simple, everything from here can be pulled out and replicated
https://www.mql5.com/ru/articles/1486
MT gave a strange formula:
Expected Payoff =(ProfitTrades / TotalTrades) * (GrossProfit / ProfitTrades) -(LossTrades / TotalTrades) * (GrossLoss / LossTrades) reduce the highlighted colour, you will be left with
Expected Payoff = GrossProfit / TotalTrades - GrossLoss / TotalTrades = (GrossProfit - GrossLoss / TotalTrades)
(GrossProfit - GrossLoss) / TotalTrades = Balance / TotalTrades
And that's it!!! ))
Bottom line
Bal*EP = balance * fabs( balance / number of trades)
Other 2 indicators (with ProfitFactor and MaximalDrawDown ) by analogy.