The battle: an efficient market and a TS with a positive maturity expectation. Who will win? - page 11

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meta-trader2007 писал (а):

Adaptability is the ability of the TS to adapt to the volatility and dynamics of the exchange rate at any given time. The system is best suited channel-turned. It's better to change the indicator parameters, TP levels, SL, and trawl according to the volatility. And most likely, you should control the lot size.





One can hardly object to this definition of adaptivity. But it can hardly be used. It is too abstract.

I think the channel-return system is an old idea, but it works. If, of course, it is implemented intelligently. There are a few thin spots where most implementations get bogged down. And this majority then goes into the bin. First of all, it is the determination of the beginning of the channel. If you wait a long time for its formation, then when it finally happens, the position will not be opened, but closed. How to detect the channel formation at an early stage is the question. I think klot's idea that he used in his EA during the Championship is quite working. I suggest to take a look at it.

Changing the TP, SL, trawl and lot size parameters is purely a technical issue, it is not that difficult to solve. But the adaptation of indicators... Try to take a specific indicator and formulate the criteria for its adaptation. The main difficulty is that the indicator must show the market condition and not what you want or what you think it should show. Because, to be accurate, an indicator reading can be adapted to anything by means of "adaptation".

meta-trader2007 wrote (a):

What Axelforex used I don't know, but judging by the prescription his advisor tries to detect peaks and troughs.
Volatility is the most convenient way to make the TS consistent with the market. If you think that this is not the case and that something else is better, suggest your own idea.

Adaptive TS seems to me completely composed of dynamic elements.
1 Adaptive indicators

Exactly, identifying peaks and dips is just one of the classic forex tasks. And it exists irrespective of the volatility. How are you going to handle it?

Which adaptive indicators do you have in mind ?

 
meta-trader2007 писал (а):
YuraZ wrote (a):

ADAPTIVITY is a necessary element!


I apply it in real MTS trading ...I use MTS in real trading ... but not just blindly put it on the account!


i put MTS on those moments when i think a reversal should happen!


its task is not to sleep on entry! and keep waiting ... I follow it to safe levels - feeling the reversal and switching back to MTS.


Thus I sift out false signals!



Not exactly an MTS...
And I want it to be a fully mechanical TS. Mechanical Adaptive Trading System - that's it.


I want a fully mechanical, adaptive trading system - that's it :-) Have you ever heard of an MTS that can trade profitably for years?

in any market phase

I need to see the growth of the account - so the eyes - the head is an important parameter in the TS

 
meta-trader2007 писал (а):
Maybe I'm not answering accurately, but I'm just mad - my Opera is dead, so I'm really pissed off. :(((( and writing this message-reply for the second time.

Ideas are there!
Adaptability - the ability of the TS, to adapt to the volatility and dynamics of the exchange rate at any given time.

The system is best suited to be a channel-turned one.
It's better to change the indicator parameters, TP levels, SL, and trawl according to the volatility.
And most likely you should manage the lot size.

I do not know what Axelforex used, but judging by the prescription his Expert Advisor tries to detect peaks and troughs.
Volatility is the most convenient way to make the TS consistent with the market. If you think that this is not the case and that something else is better, suggest your own idea.

Adaptive TS seems to me completely composed of dynamic elements.
1 Adaptive indicators
2 Dynamic TP, SL and trawl.
3 Lot management - lot size depends on previous trades: on the balance chart plot two LMAs with different averaging periods. If LMA with a small period is lower than LMA with a larger period - then the lot is smaller, the bigger is the difference between LMAs - the smaller is the lot. And vice versa - bigger lot.

This is how I see it. Suggest your own ideas.

the channel system works in a wide flat

on a flush trend!

so it's hardly the best.

everything works in a flat!

i would even add that the main thing is to stop outside the flat and take out targets inside it :-)))

 
VBAG писал (а):

In such a case (if a trawl is in principle envisaged) it is easier to simplify this function to:
 {
   if(бай)
	{
	razmer_stop=ask-100*Point;
    	return(razmer_stop);
	}
	else
	{
	razmer_stop=bid+100*Point;
    	return(razmer_stop);
	}
  }
Good luck!

P.S. I join in the opinion:Yurixx
10.11.2007 15:29

Then the trawl will always be 100 points away from the price. Where's the adaptability in that?
 
Yurixx:

This definition of adaptability can hardly be objected to, but it can hardly be used either. It is too abstract.

I think that a channel-turned-system is an old idea, but it works. If, of course, it is implemented intelligently. There are a few thin spots where most implementations get bogged down. And this majority then goes into the bin. First of all, it is the determination of the beginning of the channel. If we wait a long time for its formation, then when it finally happens, the position will not be opened, but closed. And how to detect the channel formation at an early stage is a question. I think klot's idea that he used in his EA during the Championship is working.

Changing parameters of TP, SL, trawl and lot size is purely a technical issue, it's not that difficult to solve. But the adaptation of indicators... Try to take a specific indicator and formulate the criteria for its adaptation. The main difficulty is that the indicator must show the market condition and not what you want or what you think it should show. After all, to be precise, the indicator readings can be adjusted to anything by means of "adaptation".

That's right, the identification of peaks and dips is just one of the classical forex tasks. How are you going to handle it? What adaptive indicators do you have in mind?


Yes, that is correct, it needs to be clarified. But the point is that there are many methods of estimating volatility - including them in the definition would make it harder to determine adaptivity.

You don't need to define the channel. What I mean is that the system should be channel based and not trend following.

Let's take the TS of two AMAs as an example: two AMAs with one period more than the other. With large averaging periods TS is profitable in trends, and with small periods - in the channel. A good solution is to tie the SAM periods to the off-balance volatility. And in the channel - small periods of AGR and in the trend - long periods.

I watched klot's Expert Advisor, although it was bought at the very top in the beginning, its TS is reliable, but it is based on the zigzag and it overdraws!

An example of a simple off-bar adaptive indicator: the Averaging period, which depends on the distance betweenthe Bollinger Bands. At the time when the movement is weak the distance is small and the averaging period is short. And vice versa, when the distance is long the averaging period is long. I propose to create such an indicator and see its effectiveness on the history.

 
Yurixx:

That's right, identifying peaks and troughs is just one of the classic forex tasks. And it exists irrespective of volatility. How are you going to deal with it?

What adaptive indicators do you have in mind?


Peaks and dips are difficult to identify. And you don't need it for adaptive TS.

Adaptive indicators do not exist yet. You have to write them.

They come in two classes:

1) out-of-bar - these indicators adapt to the movements made by several bars.

2) Intra-bar - such indicators adapt to changes of intra-bar volatility.

 

The market is inefficient until the future is certain. A significant number of trades are made as a bet on some future event, or as an attempt to protect themselves from some future event. It is not just speculators, almost everyone is drawn into this game to varying degrees regardless of their wishes. When the assumptions of some will come true and others will not, they will reap the rewards by being forced to move the market.

On the subject of stop hunting - it is in the nature of the market. Its primary purpose is to provide buyers to sellers and vice versa as much as possible. i.e. maximise liquidity. If for some reason some market participants think and trade similarly in similar situations (either forced, or so convenient, or learned from the same books :) etc.), then stops will be in a certain general range. If price touches this zone due to volatility or intent, then everything goes by itself - they activate each other, moving the market along this zone of stops. The one who will move the stops will be rewarded by the market with more liquidity, if this action is justified and closes in time when it will go down. Otherwise, it will become food itself.

IMHO, the speculator's job is to use stereotypes in the behaviour of others and determine in time that they are wrong, or vice versa. I.e. to be with the winners, at his own risk maximising liquidity.

 
Avals:

The market is inefficient until the future is certain. A significant number of trades are made as a bet on some future event, or as an attempt to protect themselves from some future event. It is not just speculators, almost everyone is drawn into this game to varying degrees, regardless of their wishes. When the assumptions of some will come true and others will not, they will reap the rewards by being forced to move the market.

On the subject of stop hunting - it is in the nature of the market. Its primary purpose is to provide buyers to sellers and vice versa as much as possible. i.e. maximise liquidity. If for some reason some market participants think and trade similarly in similar situations (or are forced to, or so convenient, etc.), then the stops will be in some general range. If price captures that zone due to volatility or wilfulness, things will work out by themselves - they will activate each other, moving the market around that zone of stops. Whoever uses those stops will be rewarded by the market with more liquidity, if that action is justified and closes on time when it starts to go down. Otherwise, it will become food itself.

IMHO, the speculator's job is to use stereotypes in the behaviour of others and determine in time that they are wrong, or vice versa. I.e. be with the winners, at your own risk maximising liquidity.


You underestimate the efficiency of the market - the price is the result of agreement of market participants, it changes by the least resistance. Since there is agreement - the market is efficient (although not 100%).

I see, you propose to hunt for the stops of others. I.e. making another trader's stop the source of your profit. The difficulty of hunting is that you do not know where these stops are. And not everyone trades alone. Different TS - different stops.

 
meta-trader2007 писал (а):
You underestimate the efficiency of the market - the price is the result of agreement of market participants, it changes by the least resistance. Since there is agreement - the market is efficient (although not 100%).

I see, you are proposing to hunt for the stops of others. That is, to make another trader's stop the source of your profit. The difficulty of hunting is that you do not know where these stops are. And not everyone trades alone. Different TS - different stops.

Not necessarily stops. It's only speculators and that's part of it. Everyone is forced to bet on the future and react to their mistakes or fortunes. Only they do it differently. Banks have to manage their reserve structure, trying to diversify and take into account the current fundamentals of exchange rate changes. EMEs, hedge funds, etc. all have their hopes and mistakes. For every idea of how to make or keep funds, there is a counter-idea. They are not atomised but have to generalise, otherwise they won't make any money. Because for someone to win, another has to lose. Everyone preys on each other and adjusts to each other. Otherwise there are no winners and losers. Although there are more losers than winners, because you have to pay for the market infrastructure.
 
Will someone code an adaptive indicator?
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