Shall we play an interesting game? - page 3

 

Pre-cutting :

Profit

Profitability

MO

Abs Drawdown

Ab Ab Profit Drawdown

Deals

Formula

if ( Ma(period) > Ma(period) )

M15

3625

3,2

27

320

953

121

M30

3717

2,3

29

642

1269

128

M60

3828

3,38

58

379

943

66

M240

3975

2,84

71

243

1215

56

The formula

if ( Ma(perod1) > Ma(period2) )

M15

4327

1,7

22

336

1119

195

M30

5043

2,32

70

65

1427

72

M60

4780

2,32

66,4

136

1394

72

M240

5373

2,44

76,8

223

1187

70

Formula

if ( Ma(perod1) - Ma(period2) > Porog )

M15

7186

3,72

119,8

9,2

1280

60

M30

6650

3,3

97,8

130,7

952

68

M60

7007

3,93

120

61,8

1353

58

M240

5091

3,02

106

245

1373

48

 

And another thing: when using genetics, each pass produces completely different results:

pass

profit

horde

profitability

MO

abs.pr.

eq.

1

75

3814,18

60

2,79

63,57

1327,48

19,99%

2

26

3634,72

56

2,34

64,91

1254,74

22,36%

3

90

3493,58

209

1,53

16,72

1122,78

13,55%

4

44

2694,36

6

20,66

449,06

2308,58

24,74%

5

92

3402,16

48

2,25

70,88

1486,46

25,74%

Conclusion - genetics steals the cuts. and we are playing cat-and-mouse with the optimiser

 
xrust писал(а) >>

And another thing: when using genetics, each pass produces completely different results:

pass

profit

horde

profitability

MO

abs.pr.

eq.

1

75

3814,18

60

2,79

63,57

1327,48

19,99%

2

26

3634,72

56

2,34

64,91

1254,74

22,36%

3

90

3493,58

209

1,53

16,72

1122,78

13,55%

4

44

2694,36

6

20,66

449,06

2308,58

24,74%

5

92

3402,16

48

2,25

70,88

1486,46

25,74%

Conclusion - genetics are stealing the cuts. and we're playing cat-and-mouse with the optimiser

In a rush to the hospital again?

 
Vinin писал(а) >>

Are you rushing to the hospital again?

OK, I'm on my way... >> good night, everybody.

 
xrust писал(а) >>

Preliminary cuts :

You seem to be playing some other game) I will repeat the rules of 4H, EURUSD, 2008, MA[1]<MA[2] - sell, MA[1]>MA[2] - buy. The rules are more detailed on the first page. Although, research and observations are of course welcome.

 
Symbol EURUSD (Euro vs US Dollar)
Period 4 Hour (H4) 2008.01.02 08:00 - 2008.12.30 23:59 (2008.01.01 - 2008.12.31)
Model By open prices (only for Expert Advisors with explicit bar opening control)
Parameters S1="Indicator Parameters"; Per=76; Per_1=393; Shift_1=173; S2="MM Parameters"; Lots=0.1; StopLoss=0; TakeProfit=0; Slippage=5; S3="EA Parameters"; Magic=20090429; _comment="";
Bars in history 2550 Modelled ticks 4097 Modeling quality n/a
Chart mismatch errors 0
Initial deposit 10000.00
Net profit 5960.71 Total profit 7304.10 Total loss -1343.39
Profitability 5.44 Expected payoff 116.88
Absolute drawdown 236.03 Maximum drawdown 901.10 (6.73%) Relative drawdown 6.73% (901.10)
Total trades 51 Short positions (% win) 25 (48.00%) Long positions (% win) 26 (61.54%)
Profitable trades (% of all) 28 (54.90%) Loss trades (% of all) 23 (45.10%)
Largest profitable trade 3001.10 losing transaction -301.70
Average profitable deal 260.86 losing deal -58.41
Maximum number continuous wins (profit) 4 (252.07) Continuous losses (loss) 3 (-248.82)
Maximum Continuous Profit (number of wins) 3010.52 (3) Continuous loss (number of losses) -379.50 (2)
Average continuous winnings 2 Continuous loss 2
 
VininE_MA(2)
Alpari-Demo (Build 220)

Symbol EURUSD (Euro vs US Dollar)
Period 4 Hour (H4) 2008.01.02 08:00 - 2008.12.30 23:59 (2008.01.01 - 2008.12.31)
Model By open prices (only for Expert Advisors with explicit bar opening control)
Parameters S1="Indicator Parameters"; Per=273; Per_1=144; Shift_1=169; S2="MM Parameters"; Lots=0.1; StopLoss=0; TakeProfit=0; Slippage=5; S3="EA Parameters"; Magic=20090429; _comment="";
Bars in history 2550 Modelled ticks 4097 Modeling quality n/a
Chart mismatch errors 0
Initial deposit 10000.00
Net profit 6890.73 Total profit 8753.89 Total loss -1863.16
Profitability 4.70 Expected payoff 101.33
Absolute drawdown 478.33 Maximum drawdown 901.10 (6.78%) Relative drawdown 6.78% (901.10)
Total trades 68 Short positions (% win) 34 (50.00%) Long positions (% win) 34 (61.76%)
Profitable trades (% of all) 38 (55.88%) Loss trades (% of all) 30 (44.12%)
Largest largest profitable trade 2245.68 losing transaction -309.60
Average profitable deal 230.37 losing trade -62.11
Maximum number continuous wins (profit) 6 (3593.56) Continuous losses (loss) 3 (-335.51)
Maximum Continuous Profit (number of wins) 3593.56 (6) Continuous loss (number of losses) -335.51 (3)
Average continuous winnings 2 Continuous loss 2
 

Doesn't anyone else want to try their hand at it?)

Improvement is difficult, but I have already managed to achieve a result almost twice the base value in absolute terms:
Profit: 8671.84 Transactions: 350 Profitability: 2.37 MO: 24.78 Drawdown: 747.98

On top of that the recovery FV has become over 10, not too bad considering what it's "squeezed" out of. Who will beat the result?)

 

If the number of auxiliary variables to be optimised is unlimited, you can, for example, set a PerX variable for each day of the year. The result will be equal to sum of daily optimized equities. You have to limit the number of options, otherwise you can memorize the entire history.

 
Avals >> :

If the number of auxiliary variables to be optimised is unlimited, you can, for example, set a PerX variable for each day of the year. The result will be equal to sum of daily optimized equities. You need to limit the number of options, otherwise you'll be able to memorize the entire history.

Say, we can use anything, except for additional memory, to calculate it.

In general, the contest is to see who can write the best optimizer.