Shall we play an interesting game? - page 4

 
VininE_MA(4)
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=26; Per_1=98; Shift_1=91; K=0.2; Shift_2=2; S2="MM parameters"; Lots=0.1; StopLoss=0; TakeProfit=0; Slippage=5; S3="Expert Advisor 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 7309.31 Total profit 14008.73 Total loss -6699.42
Profitability 2.09 Expected payoff 26.68
Absolute drawdown 76.70 Maximum drawdown 941.76 (6.06%) Relative drawdown 6.06% (941.76)
Total trades 274 Short positions (% win) 137 (53.28%) Long positions (% win) 137 (54.01%)
Profitable trades (% of all) 147 (53.65%) Loss trades (% of all) 127 (46.35%)
Largest profitable trade 1066.46 losing transaction -263.80
Average profitable deal 95.30 losing deal -52.75
Maximum number continuous wins (profit) 8 (777.02) Continuous losses (loss) 8 (-238.65)
Maximum Continuous Profit (number of wins) 1070.35 (2) Continuous loss (number of losses) -397.31 (3)
Average continuous winnings 3 Continuous loss 2
 
TheXpert писал(а) >>

Say, you can use anything other than extra memory to calculate it.

In general, the competition is to see who can write the best optimiser.

Any variable to be optimized is additional memory, but of course the way the additional variables are used determines its size. The problem is from the class of price series compression with respect to operator MA1<MA2 with partial information loss. That is, come up with a compression method with minimal information loss. The compression result is the values of the variables being optimized. You can only compare methods which compress to the same size (number of extra options). imha

 
Avals писал(а) >>

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.

Well, it's not very sporty; it would be like memorizing deals on the history... We're not on the money, what's the point of cheating?) The point of the game is to try to find the best correlation between periodic indicators and .... like the nature of the price movement or whatever. The task is not new to me, but I have not "stormed" it well, and here the excitement of competition should also spur me on. Join in. Maybe we'll find something interesting together.

 
Figar0 писал(а) >>

Well, that's not sporting, it would be a bit like remembering deals from history... We're not gambling, what's the point of cheating?) The point of the game is to try to find the best correlation between periodic indicators .... like the nature of the price movement or whatever. The task is not new to me, but I have not "stormed" it well, and here the excitement of competition should also spur me on. Join in. Maybe together we will dig out something interesting.

>> got it.)

 
Wait, are you saying that I can change the period of Ma as many times as I want? Well then it becomes not interesting at all because it will be one more tester grail only upside down, with such conditions it is possible to draw a straight line with great success, it turns out pure fitting...
 
xrust писал(а) >>
Wait, are you saying that I can change the period of Mach as many times as I want? Well then it is not interesting at all because it will be one more tester's grail only upside down, with such conditions it is possible to draw a straight line with great success, it turns out a pure fitting...

Try it. You need an algorithm for changing the machining period. My changes are minimal. I haven't checked it quantitatively though. Tried three different ways.

 
Vinin >> :

Try it. You need an algorithm for changing the machining period. My changes are minimal. I haven't checked it quantitatively though. I tried three different ways.

any period change algorithm is based on still other variables obtained during optimization or visual analysis(they can then be hidden), then the rules of the game about one variable are violated!

 
xrust писал(а) >>
Wait, are you saying that I can change the period of Ma as many times as I want?
Of course, we can find the right period for each bar, remember it and get a 100% result. But, as I said before, this is not our method and not our goal. Our way is to try to identify and algorithmically form the dependence of the period of the "right" wand from N certain market factors ... And N should be obviously less than the number of bars) Victor correctly said, we should try it, it is not easy and quite interesting (as far as I am concerned).
 
Figar0 писал(а) >>
...to get a 100% result. ...
By the way, this 100% result is as much as ~ 54.000 points (without costs), and the maximum that I've managed to "bite" 8.671 from it so far, not a lot to say.
 
-star- писал(а) >>

any period change algorithm is based on other variables obtained during optimisation or visual analysis (they can then be hidden), then the rules of the single variable game are violated!

To calculate the period of a wiff, it is necessary to apply, for example, a sophisticated neural network. Then it won't be a dummy, but adapted to the market some level that has little in common with the dummy... By the way, it is a cool approach. Maybe even very interesting.