Activity Spectrum and AFC of MTS using the Moving Average advisor as an example - page 9

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DC2008:

At each quantum frequency, the Expert Advisor makes N trades. So, the maximum and minimum values from this series are shown.

The picture on the first page shows "frequencies" (e.g. ~52, 112 and especially ~350 and 435) where the maximal number of deals takes a negative value. There are other negative values as well. Could this be a mistake? The situation is the same (exactly the opposite) with the minimum number of trades (judging by the fact that this chart is simply flipped downwards for clarity).
 
kiimar:
In the picture on the first page, there are "frequencies" (e.g. ~52, 112, and especially clearly ~350 and 435) where the maximum number of trades takes a negative value. There are other negative values as well. Could this be a mistake? The situation is the same (exactly the opposite) with the minimum number of trades (judging by the fact that this graph is simply flipped downwards for clarity).


The number of trades (activity spectrum) is always positive and the scale is on the right. The scale on the left is the scale of profits and losses.
 
DC2008:

The number of trades (activity spectrum) is always positive and the scale is on the right. The scale on the left is the scale of profits and losses.
Yes... you know how to confuse things. But it can also be useful sometimes in life )))))) And I was thinking - what is the difference between the two charts, and it turns out they are one and the same! Only in the first one the profits and losses are separated. Thanks, now I've got it.
 
DC2008:
Trading:
  1. Measure the quantum frequency of the market (price needed)
  2. Compare this frequency with the frequency range of our Expert Advisor
  3. If the frequency is equal to the profitable frequency of our EA, trade, otherwise skip the signal

We determine the AFR of our Expert Advisor:

  1. Let's test our EA on a selected part of history
  2. Allow it to trade on our signals at one given frequency only (in my case it is 512 frequencies each)
  3. Analyze the resulting spectrum and select profitable frequencies, and then exclude profitable frequencies with excessive drawdowns
  4. Build a filter
At this point I suggest to close the topic.

We can simply define the frequency in optimization mode at which the Expert Advisor generates the largest profit. Why such a complex 7-point algorithm and what is its advantage? Does it differ from the optimization of the bag period used in the same Moving Average Expert Advisor, for example, in efficiency? Does it have some positive effect on my real account?

 
khorosh:

You can simply define the frequency in optimization mode, at which the Expert Advisor gives the maximum profit - why such a complicated 7-point algorithm, what is its advantage?

...


Even for the most miserable Expert Advisor the number of profitable frequencies can be more than one. There are a lot of profitable frequencies, so it is wrong to look for one with the maximum profit.

The effect is that any losing Expert Advisor becomes profitable!

For real traders, we have to update the list of profitable frequencies once a week (on weekends).

 
DC2008:


Even for the most miserable EA the number of profitable frequencies can be more than one. There are many profitable frequencies, so it is wrong to look for one with the maximum profit.

The effect is that any losing Expert Advisor becomes profitable!

On a real account the list of profitable frequencies should be updated once a week (on weekends).

Thanks for the reply. My results on one most profitable frequency are better than on three most profitable frequencies for some reason. Apparently it depends on the specific EA.

The fact that you can make your Expert Advisor profitable in the tester is clear. I was interested in something else. Moving Average Expert Advisor becomes profitable when its muving period is optimized, but it is not always profitable on history. What about using this mechanism? Do you think the profitability effect is still preserved at least for a week? Has the practice really confirmed it?

You seem to have not mentioned the phase. Do you use it, or does it start when you run the Expert Advisor?

 
khorosh:

Thank you for your reply. For some reason I have a better result on the one most profitable frequency than on the three most profitable frequencies. Apparently it depends on the specific EA.


Yuri, while Sergey is answering a question: what do you mean by frequency, how do you calculate it?

I've written a few "frequency meters" myself, but they're still in the archive...

But the topic is undoubtedly a fertile one.

 
khorosh:

... Do you think that, at least for a week, the profitability effect persists? Has the practice really confirmed it?



Searching through my archive recently I saw an Expert Advisor made for real account in 2009 on request of a wealthy investor. So, I have tested it during 2010-2011 and it has shown a stable profit. In other words, most of profitable frequencies stayed the same during two years.

I posted my frequency meter at the link to the paid product has been deleted!

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