The battle: an efficient market and a TS with a positive maturity expectation. Who will win? - page 10

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leonid553:

I recommend a slightly different approach to the matter, as almost everyone does. But to do it in a slightly unconventional way.

Let's assume that someone "manages" our terminal, and that someone only has the right to open positions according to his own reasons. And our task is ONLY to support and close positions!

With this approach - (try it, if you are interested...) you can find different intelligent solutions to improve your existing trading systems! Good luck to all!

Seconded! Great technique for testing the survivability of your system!
That's exactly what I do myself when testing my developments. I open a bunch of poses "out of the blue" and let the system organize itself, what it needs and what it does not need.
 
meta-trader2007 писал (а):
Here's a dynamic stop:
extern int period_ATR=8;
extern double coaff=1.5;
extern int period_time_ATR=1440;
extern int predel=20;
 
 void STOP_LOSS()
 {
   int UFX=MarketInfo(Symbol(),MODE_STOPLEVEL);
   int razmer_stop=(NormalizeDouble(iATR(Symbol(),period_time_ATR,period_ATR,0),0))*coaff;
   if (razmer_stop<predel) razmer_stop=predel;
   if (razmer_stop<UFX)razmer_stop=UFX;
   return(razmer_stop);
  }
Hi!
You can see from the code that in a certain situation, when the situation has reached the limit
   if (razmer_stop<predel) razmer_stop=predel;
   if (razmer_stop<UFX)razmer_stop=UFX;
You pull the stop as close as MODE_STOPLEVEL allows - i.e. you have made a decision and are ready to close the position.

Have you tried to switch to the 1-minute chart and close the position according to the market (for example, using Stoch or CCI)?
 
VBAG:
Hi!
From the code you can see that in a certain situation, when the situation has reached the limit
   if (razmer_stop<predel) razmer_stop=predel;
   if (razmer_stop<UFX)razmer_stop=UFX;
You are pulling the stop as close as MODE_STOPLEVEL allows - i.e. you have made a decision and are ready to close the position.

Have you tried to switch to a minute chart and close the position according to the market (for example, using Stoch or CCI)?


This is not a trawl but a stop loss.
 
goldtrader писал (а):
 I would like to add that market changes are more quantitative than qualitative. It means that volatility and volumes are increasing month by month and year by year.

Your statement is unsubstantiated. Let's look at the average daily volatility of EURUSD by year. From 1990 to today this series would be as follows: 111, 136, 155, 116, 100, 155, 87, 106, 106, 109, 120, 107, 87, 115, 125, 108, 91, 76 pips.

On the chart this will look as follows:

I see a decline in volatility. At least the peaks around 150 pips haven't happened for a long time.

I used the AverageRange script in my researches.

 
KimIV:
Goldtrader wrote:
 I would like to add that the market changes are more quantitative than qualitative. I.e. the volatility and volumes are increasing month by month and year by year.

Your statement is unsubstantiated. Let's look at the average daily volatility of EURUSD over the years. From 1990 to today this series would be as follows: 111, 136, 155, 116, 100, 155, 87, 106, 106, 109, 120, 107, 87, 115, 125, 108, 91, 76 pips.


On the chart this will look as follows:



I see a decline in volatility. At least the peaks around 150 pips haven't happened for a long time.


I used the AverageRange script in my research



Has the influx of large numbers of speculative traders thanks to internet trading led to lower volatility or something else?
 
meta-trader2007 писал (а):
VBAG:
Hi!
From the code you can see that in a certain situation, when the situation has reached the limit
   if (razmer_stop<predel) razmer_stop=predel;
   if (razmer_stop<UFX)razmer_stop=UFX;
You pull the stop as close as MODE_STOPLEVEL allows - i.e. you have made a decision and are ready to close the position.

Have you tried to switch to a minute chart and close the position according to the market (for example, using Stoch or CCI)?

This is not a trawl but a stop loss.
That's what I assumed that razmer_stop is the value of a stop loss. And it follows that it(stop loss) will be set close to the market at some point.
 {
   int UFX=MarketInfo(Symbol(),MODE_STOPLEVEL);
   int razmer_stop=(NormalizeDouble(iATR(Symbol(),period_time_ATR,period_ATR,0),0))*coaff;
   if (razmer_stop<predel) razmer_stop=predel;
   if (razmer_stop<UFX)razmer_stop=UFX;
   return(razmer_stop);
  }
And this, as practice shows, is the way out.

P.S. However, you know best, but I think to beat an effective market a simple trawl, much less a stop loss will not be enough. Although many studies and practices
(e.g. Domiani et al) claim that trawl is more appropriate than market exit. Thought you might be interested in this.
 
VBAG писал (а):

I assumed that razmer_stop is the value of the stop loss. And it follows that it (stop loss) will be set close to the market at some point.
 {
   int UFX=MarketInfo(Symbol(),MODE_STOPLEVEL);
   int razmer_stop=(NormalizeDouble(iATR(Symbol(),period_time_ATR,period_ATR,0),0))*coaff;
   if (razmer_stop<predel) razmer_stop=predel;
   if (razmer_stop<UFX)razmer_stop=UFX;
   return(razmer_stop);
  }
And this, as practice shows, is the way out.

P.S. However, you know best, but I think to beat an effective market a simple trawl, much less a stop loss will not be enough. Although many studies and practices
(e.g. Domiani et al) claim that trawl is more appropriate than market exit. Thought you might be interested in this.


This is the stop loss calculation function. It is used once - when you set an order.
Trawl will be completely different. I do not know which one yet :)
Whether you exit by trawl, by tick or by indicator signal, it does not matter.
 
meta-trader2007 писал (а):
VBAG wrote (a):

I assumed that razmer_stop is the value of the stop loss. And it follows that it (stop loss) will be set close to the market at some point.
 {
   int UFX=MarketInfo(Symbol(),MODE_STOPLEVEL);
   int razmer_stop=(NormalizeDouble(iATR(Symbol(),period_time_ATR,period_ATR,0),0))*coaff;
   if (razmer_stop<predel) razmer_stop=predel;
   if (razmer_stop<UFX)razmer_stop=UFX;
   return(razmer_stop);
  }
And this, as practice shows, is the way out.

P.S. However, you better understand your own ideas, but I think that in order to beat an effective market a simple trawl, and especially the stop loss will not be enough. Although many studies and practices
(e.g. Domiani et al) argue that a trawl is more appropriate than a market exit. Thought you might be interested in this.


This is the stop loss calculation function. It is used once - when setting an order.
The trawl will be completely different. I do not know what kind :)
Whether you exit by trawl, by tick or by indicator signal, it does not matter as long as the number of pips is small.
In this case (if the trawl is expected in principle), it is easier to simplify this function:
 {
   if(бай)
	{
	razmer_stop=ask-100*Point;
    	return(razmer_stop);
	}
	else
	{
	razmer_stop=bid+100*Point;
    	return(razmer_stop);
	}
  }
Good luck!

P.S. I agree with:Yurixx 10.11.2007 15:29
 
The TC will win. By definition it has a positive expectation of return.
 
Integer:
The TC will win. By definition it has a positive expectation of return.

:-))
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