Building a trading system using digital low-pass filters - page 2

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At one time I had to work with random processes, and the task was to get at least an approximate forecast of time series with 90% of the random process component. To turn a random process into a quasi random one, I invented a simple method, I multiplied the random process by a deterministic process with close frequency-time characteristics, in the simplest case - a sine wave, but it is better to use a more complex signal. As a result, the predictability of the process went up by orders of magnitude.
 
Piligrimm:
At one time I had to work with random processes, and the task was to get at least an approximate forecast of time series with 90% random process component. To turn a random process into a quasi random one, I invented a simple method, I multiplied the random process by a deterministic process with close frequency-time characteristics, in the simplest case - by a sine wave, but it is better to take a more complex signal. As a result, the predictability of the process would go up by orders of magnitude.

Can you tell us more about it? If you are willing to share, of course.
 
bstone:
Yes, I agree now, the results are indeed positive, although rather modest by modern standards.
Does a Pips trader with 1-2 pips take 1000 trades a day with 200-300 pips stops, who draws balance parabola in tester and cannot live 12 hours on the real site, look more attractive than an EA with stop/stop ratio of 1/2 and without any obvious problems in case the system is used for real trading. By the way, if you notice that the lot size has not changed for 7-9 years? Despite the increase in the deposit several times!!! Not enough for you?
 
What is the algorithm for determining "frequency"?
 
mql4-coding писал (а):
Having obtained the frequencies without any tweaking or parameter adjustments, I stuck the filter in the EA

How did you obtain the frequencies with what kind of conversion?
 
It seems someone on the Alpari forum does this on a regular basis (spectrograms), constantly confusing the local authorities and causing their righteous indignation. Prival, do you remember - you were in that thread, weren't you?
 
D500_Rised:

Does a Pips trader with 1-2 pips take 1000 trades a day with 200-300 pips stops, who draws the balance parabola in the Strategy Tester and cannot live for 12 hours, look more attractive than an EA with stop/take ratio of 1/2 and without any obvious problems in case the system is used for real trading. By the way, if you notice that the lot size has not changed for 7-9 years? Despite the increase in the deposit several times!!! Not enough for you?

First of all, I did not say anything about scalpers with the characteristics you mention. The problem is that you cannot do that to your profit unless you feed them to the most advanced market players.

The lot size has not changed, because the answer was given according to my question, where I asked about some parameters in pips. The constant lot size is exactly what allows you to estimate the values of interest. The 7-9 year turnover is not by itself an outstanding achievement :)

The growth of the deposit by itself does not mean anything. An experienced trader always looks at the more informative ratio of the profit in pips to the maximum drawdown in the same units. It is this ratio that actually allows estimating a ratio of a potential profit to the risky capital. So this ratio in this system is quite modest. Keep in mind that it is over a period of 7-9 years. I have seen systems that reach several times the value of this ratio in less than a year. That is all. Nothing personal.
 

Mathemat

I am registered as Prival on almost all the forums (that interest me) and have been for a long time.

I've been there too, exactly a Frenchman. But he didn't shoot down, he researched. It was fine (interesting) there, but here so far the words are pretty (spectrum, filter, MME) and that's all - then the statements went on :-(. If it goes on like that it's no good, it's flooding again. I won't get any ideas, thoughts, or studies. Let's wait.

 

Just as a seed, here is my analysis of the fluctuations in GRBUSD on Friday 22.02.08 as an example

 
And what is delayed along the axes of the graph?
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