The appropriateness of using Take Profit and Stop Loss in automated TS. - page 4
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Assuming that the price series is inherently random (identical to integrated white noise or one-dimensional Brownian motion), the outcome of a trade does not depend on the value of the TP and SL or their ratio. On a long history, the average return per transaction will tend to zero, as accurately as possible (if we ignore the DC commission). This is the law for random time series (RT).
But who says that quotients are random. And if not, what is the measure of non-randomness of BP? The correlation coefficient (correlation coefficient) between neighboring price increments can serve as such a measure. If it is positive, we can talk about a trend market (red line in the figure), if it is negative, we can talk about a pullback market (blue line in the figure). For these cases, the inequality of TP and SL levels will lead to accumulation or draining of the deposit. For example, for a rolling market, you can build a profitable TS, requiring TP < SL. Really (see fig.) it is enough to choose TP around 10 points and SL around 50, we will chop a cabbage. For a trend market, on the contrary, we need to meet the condition TP > SL. By the way, exactly in relation to it we said - let profits grow and limit losses - it will not work on a pullback market! Here, paradoxically, we must act just the opposite - a lot of small profits will gradually outweigh the large and rare losses.
Therefore when choosing optimal values of TP and SL we must consider not only possible losses limitation, but also their influence on the profitability of a trade with taking into account the current market situation (trend or flat).
Unfortunately, in the long term, the market-type BPs are very weakly autocorrelated, and the maximum average effect for them of the "correct" TP and SL does not exceed 0.5 points per transaction, which of course does not allow to cover the existing fees of brokerage companies. But, taking these features into account allows us to increase profitability of TSs based on the exploitation of other, not less interesting features of price series.
to Neutron
if it's about all game strategies at once, the first paragraph is more than wrong
Well, how's that?
The condition is strictly fulfilled for random BPs: the order response frequency is inversely proportional to its size. Therefore, no matter where we move it, it will make the same amount of points on the selected (not small) time interval.
Or are we talking about different things? At least, that's all I had in mind.
Test results of my strategy
Without stops:
With stops:
The final profit is smaller, but the system behaves more consistently.
Well, how's that?
The condition is strictly fulfilled for random BPs: the order response frequency is inversely proportional to its size. Therefore, no matter where we move it, it will make the same amount of points on the selected (not small) time interval.
Or are we talking about different things? At least, that's all I had in mind.
It's OK, the first paragraph is 100% correct.
Well, how's that?
The condition is strictly fulfilled for random BPs: the order response frequency is inversely proportional to its size. Therefore, no matter where we move it, it will make the same amount of points on the selected (not small) time interval.
Or are we talking about different things? At least, that's all I meant.
the order is "double"
tp/sl asymmetry in such an abstract BP will lead to a perfect overflow of funds
it is the same Maxwell demon, only monetary and only in an abstract ideal market.
The order is "double".
tp/sl asymmetry in such an abstract BP will lead to a perfect overflow.
it is the same as Maxwell's demon, only in money and only in an abstract ideal market.
Please explain about the flow of funds. I would like to get it right.
to Vita
there is nothing to explain here, you can try
but, BIG BUT without the soft sign
- it will only make profit on "non-trend markets" close to white noise.
is what is called a "pipser" - open a position with a small tp within 7....60 pips, set a stop within 500...1500p.
and that's it - you get a profit growth of the form y=a*x + b )))))
...
I forgot to add - accidentally, - accidentally open
to Vita
There's nothing to explain, you can try it.
but, BIG BUT, without the soft sign.
- it will only be profitable in "non-trendy markets" close to the white noise.
it's what they call a "pip-switching" - you open a position with a small tp within 7....60 pts, set a stop within 500...1500p.
and that's it - you get a profit growth of the form y=a*x + b )))))
...
I forgot to add - accidentally, - accidentally open
Got it, only on the non-branded ones. As always, the next flow of funds failed.
And in the general case will not work, it Neutron in the first paragraph and wrote - stupid, this is the law.
to Vita
it's exactly the market that Neutron set out in the first paragraph - perfectly gaining profits and never, mathematically never, will it sell out.