A single quality indicator for the strategy - page 5
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"I.e. maximum earnings with minimum risks. And if the terms of the task require thata small or even zeronumber of transactions isprocessed correctly, then there is no sense to talk about risks at all and there are only baubki". - You have just estimated the value of the number of transactions and its impact on the significance of risk)). This is what we need, only for the program to evaluate, to see not only "good" and "bad", but also "about good", "almost bad", etc. This is so that the programme can see how to change the strategy to improve its performance.
The overall coefficient is the "eyes" of the programme, where the "brighter light" is, there should be more dough.)
"I.e. maximum earnings with minimum risks. And if the terms of the task require thata small or even zeronumber of transactions isprocessed correctly, then there is no sense to talk about risks at all and there are only baubki". - You have just estimated the value of the number of transactions and its impact on the significance of risk)). This is what we need, only for the program to evaluate, to see not only "good" and "bad", but also "about good", "almost bad", etc. This is so that the programme can see how to change the strategy to improve its performance.
The overall coefficient is the "eyes" of the programme, where the "brighter light" is, there should be more dough.)
Well then just do the minimum on the trades, and estimate the total profit-risk at a fixed lot on unoptimised forwards. Everything else is superfluous.
A fixed lot is not very suitable, we take a notional fixed risk equal to one, i.e. in the case of a stop loss we will get a loss of one notional unit. In real trading, everything is multiplied by the required value, for example $ 555, in the case of a stop loss, we will receive a loss of $ 555, the lot, of course, is calculated based on the risk of $ 555 and the required stop loss. This method allows us to evaluate trades regardless of the symbol and their characteristics. And profit has this dimension too, in conditional stop loss, for example profit 5 means that in case of take profit we will get five times more profit than what we risked.
A fixed lot is not very suitable, we take a notional fixed risk equal to one, i.e. in the case of a stop loss we will get a loss of one notional unit. In real trading, everything is multiplied by the required value, for example $ 555, in the case of a stop loss, we will receive a loss of $ 555, the lot, of course, is calculated based on the risk of $ 555 and the required stop loss. This method allows us to evaluate trades regardless of the symbol and their characteristics. And profit has this dimension too, in conditional stop loss, for example profit 5 means that in case of take profit we will get five times more profit than what we risked.
There are systems with no profit and stop loss. Risk is best measured by the profitability, i.e. the ratio of losing trades to profitable ones.
The lot should be fixed, because when the lot is complex, all of the indicators of different EAs will drift and there will be no uniformity.
The fact that effectiveness will be different for different symbols is a most natural thing, because EA with its environment forms a unit, i.e. it must, in idea. For example, I make a separate EA for each symbol. I.e., Expert Advisors should not be compared in general, but for each symbol separately.
A fixed lot is not very suitable, we take a notional fixed risk equal to one, i.e. in the case of a stop loss we will get a loss of one notional unit. In real trading, everything is multiplied by the required value, for example $ 555, in the case of a stop loss, we will receive a loss of $ 555, the lot, of course, is calculated based on the risk of $ 555 and the required stop loss. This method allows us to evaluate trades regardless of the symbol and their characteristics. And profit has this dimension too, in conditional stop loss, for example profit 5 means that in case of a take profit we will get five times more profit than what we risked.
I prefer to have a stop loss and not necessarily a take. Different conditions require different risk assessment.
"The lot should be fixed, because in case of a complex one, all indicators of different EAs will drift and there will be no uniformity. - Why are they going to float? With the same lot and different stop loss we risk different amount of money. It's good if the stop loss is fixed, then you can do it that way.
"The fact that different instruments will have different efficiency is a most natural thing, because Expert Advisor with its environment forms a single whole, i.e. it must, in fact, do it. For example, I make a separate Expert Advisor for each symbol. I.e., Expert Advisors should not be compared in general, but for each symbol separately. - I agree with you, it will be so, for each instrument only a separate EA and its own parameters)).
I prefer to have a stop loss and not necessarily a take. Different conditions require different risk assessment.
"The lot should be fixed, because if the lot is complex, all indicators of different EAs will drift and there will be no uniformity. - Why are they going to float? With the same lot and different stop loss we are risking different amount of money. It's good if the stop loss is fixed, then you can do it that way.
"The fact that different instruments will have different efficiency is a most natural thing, because Expert Advisor with its environment forms a single whole, i.e. it must, in fact, do it. For example, I make a separate Expert Advisor for each symbol. I.e., Expert Advisors should not be compared in general, but for each symbol separately. - I agree with you, it will be so, for each instrument only a separate EA and its own parameters)).
It's good if the stop loss is fixed, then you can do that.
Stop-loss and take is our risk assessment of the system, not the actual riskiness of the system. In my system stop loss has two or three stages with trailing stop and not all of them necessarily trigger, sometimes EA just reverses position, and take profit - I have two, i.e. it's a dynamic indicator. And there are systems without a stop loss or profit in nature.
Lot-to-deposit ratio is also indirectly related to risk. To specify the lot size from the deposit is a matter of three seconds. But these are MM rules and they have little effect on the quality of the system itself. At the same time there are a lot of MM methods, including hedging, locking and adding. Will you take them into account? And how are you going to take stop-losses in cases where the loss is PLANNED, for example in the case of pair trading.
To calculate the risk is simple - it is the ratio of favorable outcomes to unfavorable ones in an unprepared environment. You can count by tryouts, you can count by results, you can count both at the same time. But with a planned loss, what should be counted as luck?
That said, by and large the risk is SEVERAL to the net profit. Why? Because its significance is shown on a large number of attempts. That is, if you take a large enough number of trades, then the riskiness of the system will already be factored into the profits earned. It is not possible to earn long enough on a risky system. All other things being equal, a riskier system will simply earn less. So for a correct quality comparison, you simply have to ensure these "other things being equal". Let me repeat - our goal is not an infinite reduction of risks, our goal is an infinite increase in earnings. Risk assessment is just a tool for a particular system.
The bottom line is that if you need one parameter, you can't find anything better than net profit. As an option - the profit multiplied by the profitability. (You can also use the beauty of a graph, but you can hardly express it in one figure.)
And with a number of reservations:
1. As the sum of all the forwards forwards, i.e. without a fit.
With fitting you will not assess the quality of the strategy, but its ability to adjust to the story.
2. On a fixed lot.
3. on a specific instrument.
4. On a single broker.
5. On a large enough history.
If you make a freight analogy - quality can be measured by the cost of transporting a unit of cargo per kilometre under the same conditions. The cost ALREADY includes risk in the form of insurance cost per kilo-kilogramme. For example, if every fourth, every second, etc. tanker were captured and sunk by Somali pirates, at some point submarine shipping would prove more efficient and a submarine merchant fleet would develop, but as long as the medium of transport did not change, i.e. water rather than air. I.e. one pair rather than another, one broker rather than different.
But if you decide that just the cost of cargo transportation is more important to you, then there is no point in introducing any correction coefficients according to whether the cargo is transported in water or in air What difference does it make how well the aircraft can fly in the air and under water at the same time? It still loses in cost of transportation to a tanker, even if periodically destroyed by DC pirates.
Unfixed lot just shows how many new tankers you can buy with the profit after some time, but does not show the efficiency of the method of cargo transportation by tankers in comparison with others.