Stable MTS - page 24

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Oleg Shenker:

Yes, the discussion has stalled.

Colleagues, I repeat the question, I am very interested to see the really working systems, demonstrating a yield of 10-15% per annum, with a maximum drawdown not exceeding 10% and a maximum recovery time from drawdown not exceeding 3 months.

I am interested in two points of view:

1) searching for a benchmark (not a grail, but a benchmark) - what a good algorithm is capable of in principle, under which parameters it can be considered excellent and under which it is below average crap;

2) there is a real fund ready to invest in trading programs based on such agents, with the author getting a share in commissions.

The discussion sounds more like a lib on your part )))) Except that any mathematical approaches have clear boundaries of application and, most importantly, have a toolkit to assess the accuracy of the results obtained. What is your estimate of the accuracy of the mathematical expectation? And the expectation of what are you getting in the first place? )))))

These mathematical models are not applicable to forex!!! The mathematical expectation as a consequence shows nothing.

 
Oleg Shenker:

Colleagues, I repeat the question, I am very interested to see the really working systems that demonstrate a yield of 10-15% per annum, with a maximum drawdown of no more than 10% and a maximum recovery time from drawdown of no more than 3 months.

Do you think that the owner of such an algorithm would show a working system to just anyone? You think he's really only interested in the money?

You're in the middle of nowhere. And you're only interested in money.

 
Комбинатор:

Do you think the owner of such an algorithm would show a working system to just anyone? You think he's really only interested in the money?

You're the one in the middle of nowhere. And you're only interested in the money.

Such an algorithm isn't a problem at all. Sov has to earn the maximum drawdown for the year without limiting the drawdown itself. Here is the translation of the TOR into Russian. The answer is Chumbley. There's a drawdown of 30000, but the TOR corresponds))
 
Yuriy Asaulenko:

Not Newton's binomial. (c) But in your expression you need specific transaction sizes (size expectation matrix). Imagine that they don't exist. You need to evaluate (compare) the effectiveness of several TS. And what do you care who trades with what lot. You want profit, and I want efficiency - different objectives. The system with a smaller profit, and other conditions being equal, may be more effective.

It is not difficult. But I haven't done it yet. )

I need averages for profitable and unprofitable trades. All these statistics are in the test report.
 
Сергей:

The discussion is more like a lecture on your part )))) Except that any mathematical approach has clear boundaries of application and, most importantly, has a toolkit for assessing the accuracy of the results obtained. What is your estimate of the accuracy of the mathematical expectation? And the expectation of what are you getting in the first place? )))))

These mathematical models are not applicable to forex!!! The mathematical expectation as a consequence does not show anything.

Sergey, I, for example, got a lot from you. So you don't think it's a literacy.

Estimating the accuracy of the mathematical expectation is done through confidence intervals. Why are these mathematical models not applicable to FOREX? Explain why!

 
Комбинатор:

Do you think the owner of such an algorithm would show a working system to just anyone? You think he's really only interested in the money?

You're the one who's in the middle of nowhere. And you're only interested in the money.

Those who are interested - they show it.
 
Oleg Shenker:
Who cares - they show it.
ok ) good for you
 
Oleg Shenker:

Sergei, I, for example, got a lot out of you. So you don't think this is a lecture for nothing.

Estimating the accuracy of matrix expectations is done through confidence intervals. Why are these mathematical models not applicable to FOREX? Explain why!

Forex is a system managed on every tick. Such systems do not lend themselves to statistical analysis.
 
Сергей:
Forex is a system managed on every tick. Such systems do not lend themselves to statistical analysis.
This can easily be checked through Mat Labs. Yuri wrote about this above when he talked about autocorrelation
 
Oleg Shenker:
We need averages for profitable and unprofitable trades. All these statistics are in the test report.

Of course there is such data.

By the way, the indicator I suggested turned out to be quite good and makes physical sense.

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