The appropriateness of using Take Profit and Stop Loss in automated TS. - page 5
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The order is "double".
tp/sl asymmetry on 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 perfect market.
I was talking about a STRICTLY random time series (RT),which is obtained by integrating a random variable with zero expectation. Is that what you mean too? If yes, then we misunderstood each other somewhere:
- will only generate profits in "non-branded markets" close to white noise.
this is what is called "pipsing" - open a position with a small tp within 7....60 pips, set a stop within 500...1500 pips.
and that's it - you get a profit growth of the form y=a*x + b )))))
...
I forgot to add - by chance- we open by chance.
The fact is that you cannot make money on a random process. This is the law. Or do you want to disprove it?
I hope not.
By the way, if we have a BP with hidden patterns that potentially can be used in TS for profit, an attempt to open positions at random on such a BP will automatically lead to a random result. This is proved rigorously, but it should be intuitively understandable! Take, for example, BP in the form of an infinite rising line, it is clear how in this case you need to open a position for a xasmic profit:-) And now, try to open strictly at random - you get random profits and the balance curve in the form of a classical one-dimensional Brownian motion, i.e. the value is random!
So, Korey, I don't understand you. If you play with it that way, at least give us a hint - let's laugh together!
I was talking about a STRICTLY random time series (RT), which is obtained by integrating a random variable with zero expectation. Is that what you mean too? If yes, then we misunderstood each other somewhere:
The point is that you can't statistically make money from a random process. That's the law. Or do you want to disprove it?
I hope not.
By the way, if we have a BP with hidden patterns that potentially can be used in TS for profit, an attempt to randomly open positions on such a BP, will automatically lead to a random result. This is proved rigorously, but it should be intuitively understandable! Take, for example, BP in the form of an infinite rising line, it is clear how in this case you need to open a position for a xasmic profit:-) And now, try to open strictly at random - you get random profits and the balance curve in the form of a classical one-dimensional Brownian motion, i.e. the value is random!
So, Korey, I don't understand you. If you use it as a joke, at least give me a hint about it - let's laugh together!
Mr Korey is just trying to say that the result depends more on the exit rules than the entry..... or am I misunderstanding something too :)
Probably, it is appropriate to present a graphical representation of a random variable with zero expectation (ME) (on the left) and integrated SV obtained by summing its increments (on the right).
So GR of price type is similar to the one on the right (with qualifications mentioned above), but not on the left, and the MO of the balance curve increments on such GR is zero indefinitely, independent of the algorithm of the TS and TP & SL levels.
Once in one authoritative magazine dedicated to trading, I read an article in which two authors "disproved" the postulate of the impossibility of earning on a random process! And as "proof" they cited a BP CB with zero MO - the one on the left. They set TP=10 and SL=100 on it and "cut" cabbagebage! Can you imagine the level of knowledge of these authors, allowing themselves such a proof? And the level of censorship in this magazine, it seems, is below the plinth.
- it will only make a profit on "untrended markets" close to white noise.
this is what is called "pipsing" - open a position with a small tp within 7....60 pips and set a stop within 500...1500 pips.
and that's it - you get a profit growth of the form y=a*x + b )))))
...
I forgot to add - accidentally, - accidentally open.
Korey, was referring to the Random Market, not the Trendless Market. It is just not random.
Korey talked about the game and about and asymmetry = Maxwell's Demon
Step 1, Step 2, Step 3.
...
For example, consider the bottom left figure with a stationary process.:
strategy game a* in the bottom left figure is a stationary process.
Let's place n orders of random sign Buy/Sell in area of zero (we know characteristics of BP)))) with TP=5 (in scale by chart)
we get absolutely executable TP, i.e. profits growing monotonically and infinitely.
....
game strategy b* - we don't know the characteristics of BP
- we put random orders in random coordinates, TP=5, but with SL comparable to the spread of the random variable of the series.
at some SL= 7....25))) belonging to the spread (less than the spread) game strategy will also be profitable.
....
Both gaming strategies are profitable due to being applied in, and I quote:
a STRICTLY random time series, which is obtained by integrating a random variable with zero expected payoff. /Neutron/
......
It is unclear what is unclear.
Now that everything is clear, then Amen!
I will exhibit you, Korey, a BP like the one in the picture on the right, and I will be happy for you if you can earn on it in a non-random way. As a reward for your work, you will get a Nobel Prize for the revolution in science :-)
Mathemat will help you clearly define what "non-accidental" means.
if all the scientific recommendations
and scientific conclusions, humanity would have disappeared long ago.
There have been cases where scientists have been given the right Amen - everyone is screwed)))
.....
P.S. to Neutron about the necessity of synthesizing test BPs to test trading game strategies you are of course right.
The idea for the stops was suggested by Bötter at last year's Championship. Almost all deals were opened and closed by the network signal, very few orders were closed by tp/sl. But tp/sl was not taken from the ceiling; it was optimized. I set myself a task to make a profitable system that is really stable without any stops. And it seems to have succeeded. I am attaching a plot of semi-annual forward testing of the pound watch, on the abscissa axis - number of trades, on the ordinate axis - profit in pips. pf ~= 4, the average profit trade is ~3 times more than the loss trade. I.e. stops will really play a minor role in this system. I wrote this post for people who also like this idea to continue to promote it, but it is very complicated and it is better not to give up your basic developments, but to look at the possibility of improving them in the context of this idea.
Livening up the thread. Just finished testing the machetes on the pound. :) The purpose of testing was to check the hypothesis about the necessity of stops. The result. The system earned $28,000 in 15 years. It is not much, but it is not the point, I did not tweak them. Further, I plotted the dependence of the value of total return on stops (from -1 to -500 points) and the result surprised me. In my research, the maximum gain from using a stop was only $328 and that was it! The yield curve only once crossed the yield line without stops (it is horizontal). The value of $328 appeared at this extremum. What conclusions to draw from this experiment I will think about yet, and I ask our brethren to join me and maybe try the same test on other strategies. I worked on the daily, so the variant, in which I will not be able to exit the trade by the signal is negligible. Hence the mega question: is it good to have a stop or is it only a possibility for my brokerage company to reduce my deposit and calculate my strategy?
ZS. Do i need pictures or will you take my word for it? :)
A simple SL or even TP is at most a fuse in case there is no internet connection and the Expert Advisor cannot give a signal to close a position.
Adaptive stops (e.g. based on APR or volatility) - this is more interesting, but as long as I remember my strategies, this is the same adjustment, only not of the TP and SL, but of some magic coefficient.
In my opinion, we should exit by the signals, not necessarily by the signals opposite to the entrance, we can use some hysteresis. But simple stops should also be used, just in case...
A simple SL or even a TP is at most a fuse in case the internet fails and the EA fails to give a signal to close the position. (1)
Adaptive stops (e.g. from ATP or volatility) - this is more interesting, but as long as I remember my strategies, this is the same adjustment, only not of the TP and SL, but of some magic coefficient. (2)
IMHO, the output should be based on signals, and not necessarily on signals opposite to the input, some hysteresis can be used as well. (3) But you should also use simple stops, just in case... (1)
1. If we cannot connect to the Internet, we have some alternatives: calling to DC to set a stop, or accessing the Internet via a mobile operator. As it turns out, technical stops are not very necessary for the daily trading. Although I cannot confirm it on small TF.
2. If it is not a secret, volatility is dispersion (D), I do not know what ATR is :), and stop size is calculated SL = f(D), SL=f(ATR). Can I clarify if the relationship is direct or inverse :) ?
3. And I see that the cult of the foot is unequivocally supported everywhere, and very fervently. And with such an ageatage, there must be a REAL reason for its use. In my experiment, there was no significant benefit to the foot. Let's (address to everyone) go over again why feet are needed. My understanding is that feet are used for RELIABILITY. What I mean by that. In the absence of a stop one can make a loss and as they say very often the loss will be very large. And stops help to exit a trade with fewer losses and prevent large ones. Consequently, a person using a stop takes the advantage of the reliability of taking a smaller profit but with a higher probability. Today I will try to strain my brain to describe the general task of testing the hypothesis of stop's usefulness, because there are still trades that showed an average drawdown, but then went in the right direction. And stop will turn these pluses into minuses. In general I will think. :)