Why does any strategy only work successfully for a limited time and then stop working? - page 7
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
Efficiency is not a clear question, because I don't understand how to measure the TC's efficiency. According to my understanding, efficiency>100% means that the TC is profitable. Less than that means that it is unprofitable.
Adaptive one also needs to adjust because the volatility also changes. That is the volatility of the market is also not constant. As for cockroaches and sharks - they don't change, but the market changes, at least according to its volatility. What is the volatility of sharks and cockroaches? - they are constant....
It's not the volatility of sharks and cockroaches, it's the volatility of the habitat.
Well, I was wrong about the efficiency>100% of course.
OK, let's define the terms so that we speak the same language.
Let's denote the maximum theoretical profit for a certain reporting period by MTP=100%. Let's denote the maximum theoretical profit for a certain reporting period taking into account the spread by MTP(s)=100%. The absolute value of profit expressed in points for MTP will be denoted by AMTP, and for MTP(s) by AMTP(s). Obviously, there is always the inequality AMTP(s)< AMTP. Trade system losses denote by P (costs), they are always greater than 0, P=AMTP-AMTP(s), AMTP(s)= AMTP-P
The profit of the ideal theoretical TS developed for a particular instrument with its own spread, let's denote PTS(s), we have the equality PTS(s)=AMTP(s).
How much money can be lost when trading "anti-ideal"?
Let's denote the loss of the infernal draining machine in points UTS(s).
UTS(s) = -AMTP(s)-P.
Hence:
|UTS(s)| > PTS(s).
In other words, the potential profit is always less than the potential loss taken modulo.
Graphically it can be presented as follows:
The profitability of the real TC, expressed in pips, lies in the shaded area. Let us introduce two more terms: adaptive TS, or ATS, and non-adaptive TS, or NTS.
With NTS, profitability within a segment of reporting period usually varies within UTS(s)...PTS(s) and depends on a particular reporting period. The smaller the fluctuations in profitability over the reporting periods, the more stable the NTS can be considered. There are always fluctuations in NTS, and usually it is possible to find the period, when the yield drops below zero. With optimization one tries to increase the minimum return point of such a system above zero and to bring the top return point close to PTC(s). This is what everyone is doing without exception. But the upper return point never reaches CCP(s) and we can see on the optimization chart the so-called ceiling of the trading system known to any somewhat experienced EA writer, which is still below the CCP(s).
And this is where the "fitting effect" appears. The higher profitability is set by the EA during optimization, the faster the TS loses money on forward tests.
Profitability of the ATC fluctuates at the TCP(s) point. The optimization of such an ATC consists in "smoothing" the yield curve, and on the forward tests the yield curve will slowly (yes, yes, miracles happen) decrease over time, rather than in an avalanche-like manner, as in the case of STS.
This is my theory of building an adaptive TS.
After all, you have to strive for something, don't you? We should not spend the rest of our lives chasing MACD-like EAs in the tester, should we?
About cockroaches and sharks. They don't change for millions of years, surviving in an ever-changing environment. They are perfect creatures (perfect biosystems). The market deserves a TC level, if not a shark, then a cockroach for sure. True, they too may come to an end. After all, there is still Man. He is able to fuck up any habitat and destroy any perfect organism (as well as to screw up any unusual theory).
Emancipation is upon us! And men don't know!
>> Aaron Russo, conversations with Rockefeller.
...
- Aaron, what do you think is the reason for women's emancipation?
- So that women have the right to work, get the same wages as men, have the same rights...
- Aaron, you're an idiot!
- Why am I an idiot?
- I'll tell you why. We Rockefellers created feminism. We have control over everything you read in the newspapers and see on TV. It was all founded by the Rockefellers. And you want to know why? There were two primary reasons. One - we couldn't tax half the population before feminism. The second is that today we have children in schools from a very early age. We are weaning them off thinking, we are tearing them away from their families. Children think that the state, the school, the officials are their own family and that they should teach them, not their own parents. These are the two root causes of feminism
Very interested in Tesla. I think the following:
Our underdeveloped civilization associates energy with consumption of material resources. Tesla, on the other hand, was trying to make the point that we should not get hung up on this. According to the law of conservation of energy - energy cannot disappear into nothingness - it transforms from one kind to another (kinetic, potential, electrical, thermal, magnetic and many undiscovered types of energy). All we need is to learn how to transform the flows from the raging universal energy ocean towards our energy needs. This is realistic, but capitalism has enough power to withstand its own demise. After all, if there are inexhaustible sources of energy, no one will pay for it anymore. There will be robots, full automation of agriculture and beyond - as far as one can imagine. The era will change (the capitalist system will be replaced by a new one). But this cannot yet be given to savage and constantly warring people. First, the culture must change. The higher human qualities must prevail. Only then it will be for the greater good. Now I think: will this global change pass with or without blood (i.e. wars for the last resources)? If yes, then we will return to the Stone Age. If science and culture prevail over capitalism, the third millennium may well invite us in for the long haul.
"Well, it's all very simple, isn't it?
as a matter of fact we have long been using perpetual motion machine - hydroelectric power station - no? sometimes it breaks down... but we can fix it.
I think that more powerful (in all aspects) constructions (energy sources) lie in the depths of soviet science, but they are top-secret as always ...
In fact, a trader who catches only 10% is already a good trader. The 30% figure usually quoted in the literature is clearly too much.
In fact, a trader who catches only 10% is already a good trader. The figure of 30%, which is usually given in the literature, is already too much.
That's why cirrhosis of the liver in shorts under a palm tree is written next.
Don't take it out of context! )))
Well, catching 10-30% or more is easy! There are only two problems:
1) will this profit be able to compensate for losses from false entries?
2) Will the maximum drawdown be within reasonable limits?
Svinozavr писал(а) >> нужно ловить движения (тренды), которые бы отбивали издержки ТС, в т.ч. и ложные заходы
Sounds logical of course. But we cannot know beforehand how many false entries will occur before we will catch the trend. Firstly. Secondly, we cannot know how long this trend will last and whether it will cover the costs or not.
Nerds!
OK, I'll put it another way.
The credibility of an indicator detecting trends should allow catching at least (depending on the dreaming) %% of significant trends.
I.e. the indicator should determine the trend perspective at the time it is detected. It is not so difficult - the history of movement or lack thereof at the moment when trend is detected is already present, and it is possible to understand whether it is possible to set the trend or not.
So it all comes down to quality
1) TA to identify the movement;
2) entry and exit;
3) MM.
You may look - I posted a primitive trend indicator in the code base in the first comment to myself))).
If we enter/exit when the trend is detected, then in the best case we will get the refinancing rate as a profit.
If we enter by corrections (the opposite value of the basic indicator), the profit will increase considerably, and even the flat areas will in most cases become profitable. BUT!
If we do not place a stop on case of breakdown of the channel (as the trend is defined here), then again, most of the profit will be lost.
TEST
(Shrugging) Feel free to test it. All the signals are written down - put them into your Expert Advisor and go ahead.
I will not do it myself - I have already passed this stage before I started using MT.
Man, the second file from code base, where the tip was placed, has disappeared. Ok, I will duplicate it here: