a trading strategy based on Elliott Wave Theory - page 99
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I wonder how you set this up?
The selection criteria for past and bar-calculated channels are the same.
We probably apply these criteria differently. For me, the only fundamental difference between the samples is their size, everything else is "more less", so the biggest and smallest channel meet the same criteria, but they differ significantly in terms of the time dimension.
And the criteria may not be the same.
Is it possible to see the results of the huge amount of work done by the participants of this branch embodied in concrete results on the demo?
I have the results on the tester - page 40 of solandr's post on 11.07.06 07:29.
I have also got 6 deals on real account for the last 3 weeks of my Expert Advisor. All trades are closed with profit. So far it is senseless to post the results of trades done on real account since the number of deals is small. My Expert Advisor is obviously not as good as Vladislav's one due to the lack of accurate calculation of potential energy used by Vladislav. I am searching for it but so far I have not come up with anything better than the version of the Expert Advisor the result of which is presented in this post and which I currently trade.
PS: Concerning calculation of quadratic forms and potential energy I put a question on a forum of the Moscow State University Lomonosov Mech-Math http://lib.mexmat.ru/forum/viewtopic.php?t=3254 But evidently either true mathematicians are not solid to be engaged in such trifles or the theme there is absolutely not interesting, but nevertheless nobody for a month has given any comments. Although judging by the topics discussed on that forum people there have a very solid education in mathematics. There is also an assumption that the problem statement described in this post does not contain enough raw data to solve it. Well, as the saying goes, it is how I explained it to people.
I prefer real tests...
Was reinvestment used? What is the expected average annual return for the case without reinvestment and with reinvestment?
Yes, we did. Every next $1,000 of deposit adds a coefficient by which the rate is multiplied. That is 0...2000 - coefficient 1, 2000...3000 - coefficient 2, 3000...4000 - coefficient 3 etc. The bet itself (the size of the lot to enter the position) is calculated on the basis of the farther away from the centre line, the bigger the bet.
I prefer real tests...
I think that not using the tester is a deliberate dead end for the development of MTS. How can you assess the prospect of using MTS if you haven't tried it on the tester? Do you have an infinite number of lives ;o) to be able to test your MTS in real time?
Yes, it has been used. Each successive $1000 deposit adds a coefficient by which the bet is multiplied. That is 0...2000 - coefficient 1, 2000...3000 - coefficient 2, 3000...4000 - coefficient 3 etc. The bet itself (the size of the lot to enter the position) is calculated on the basis of the farther away from the centre line, the bigger the bet.
I prefer real tests...
I think that not using the tester is a deliberate dead end for the development of MTS. How can you assess the prospect of using MTS if you haven't tried it on the tester? Do you have an infinite number of lives ;o) to be able to test your MTS in real time?
I haven't given up testing at all just using my own tester :)
What is the average expected annual return on the strategy? At least approximately
I think you are asking a slightly wrong question. In fact, the focus of MTS developers should be more on the risk-profit ratio and strategy profitability ratio (the ratio of profit to loss on completed trades), rather than the expected annual return on a strategy (Forex is not a bank and there are slightly different concepts). In my Expert Advisor, I hold a losing position until the amount of loss does not exceed 20% of the deposit (or vice versa, when entering a position I check the possible loss against a stop loss - it should not exceed the specified risk). According to the above test results, average profit per month ranges from 22% to 33%. This means the acceptable risk for one trade is less than the average monthly profit of the strategy. If you agree to accept e.g. 40% risk (by simply doubling the bet without changing anything in the strategy), the expected average monthly strategy profit based on the test results should be at least 44% ... 66%, though as we deal with geometric progression since we use reinvestments according to the previously described rules, the expected average monthly profit can be significantly higher. Look for example at another result of the strategy in the next post p33 solandr 01.07.06 12:01. For example for these results on the same Expert Advisor, the average monthly profit was 170% per month. I think it's clear now why in Forex you cannot use bank concepts of expected average annual strategy profitability.
I think you are asking a slightly wrong question. Actually, the focus of MTS developers should be on the risk/profit ratio and the profitability ratio of the strategy (the ratio of profit to loss on completed trades), rather than the expected annual return of the strategy (Forex is not a bank and there are somewhat different concepts). In my Expert Advisor, I hold a losing position until the amount of loss does not exceed 20% of the deposit (or vice versa, when entering a position I check the possible loss against a stop loss - it should not exceed the specified risk). According to the above test results, average profit per month ranges from 22% to 33%. That is the risk allowed for one trade is less than the average monthly profit of the strategy. If you agree to accept e.g. 40% risk (by simply doubling the bet without changing anything in the strategy), the expected average monthly strategy profit based on the test results should be at least 44% ... 66%, though as we deal with geometric progression since we use reinvestments according to the previously described rules, the expected average monthly profit can be significantly higher. Look for example at another result of the strategy in the next post p33 solandr 01.07.06 12:01. For example for these results on the same Expert Advisor, the average monthly profit was 170% per month. I think it's clear now why in Forex you cannot use bank concepts of expected average annual strategy profitability.
I understand perfectly well that just the figure of profitability is incorrect... You have to take the ratio of return to risk... I meant what is the yield at reasonable risks (maximum drawdown 20-25% of the deposit)... I see that the yield ranges between 200-300% per annum just want to hear your figure ...
Thank you for your reply. I will give you a good luck. :)