Signs of a REAL system - page 21
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This is supposed to be very funny?
No - it's just the only useful recommendation that comes to mind after reading a post about our bad business.
Here, you've been given a recommendation to read the ASA. That's fine. It's positive. It does not evoke gloomy associations. I can even recommend a book: "All About the ACS". I don't remember the author. The title is enough)))
Of course I've read it :)
And everyone's experience is different.
And that book is also based on experience (not empty, that is).
And I didn't say anything about replacement.
...
zy.
so is the A.S.A.
:D
I'm not going to argue, because it's useless.
No, I don't think you understand. It's not "ASA so ASA," it's "all about ASA so ASA."
I don't think so. I will reiterate my understanding.
There are patterns in the market (the intersection of two averages, for example). These patterns are numerous. TS should be able to recognize such a pattern. The NS recognize some patterns that are impossible to draw or describe. A tester gives statistics about the occurrence of such a pattern in the past, but gives no guarantee of occurrence in the future.
There are several basic questions for a pattern:
- how common it is (e.g. for longs, for shorts, for longs and shorts) ;
- how to recognize the occurrence of a pattern in time;
- how to timely detect when this pattern is dying, which is a must, as we can see by losing trades during testing;
- whether this pattern can be adapted to a different section of BP.
The question of adaptation is the most difficult one. In particular, as an adaptation we can use reoptimization of TS on a new BP section - not to be confused with a forward test.
All this is obvious if we do not forget for a moment that the RT we are dealing with is a non-linear, dynamic, non-stationary system with memory. If we constantly relate our decisions to this understanding, and trust in the test results to this understanding as well, many mistakes will be avoided.
P/S. Neuron specifically defined over-optimisation, taking it from the NS. As for testing requirements, again, this has been discussed many times on this forum and in articles. So you should read before opening a thread - reading in general is a very useful thing to do.
The hypothesis of the existence of patterns and the use of neural networks for their identification (and search) with reference to time series of market quotes is comparable in its efficiency to the same with random data. As an example, apply the same method to predict the digits in the notation of Pi. Neural network based strategies are a form of fitting (adherents of NS call it learning) to a story with the ability to fit on the fly - auto-optimize (adapt). The haphazard approach is a black box approach: "I'll make it up and see if it works". A lot comes from rumours about the use of neural networks by the strategies of Simons' most profitable hedge funds. But in reality there are no neural nets there.
Simons' black box is trivial statistical arbitrage (spread trading) that uses huge computing power and input stream. Simons was originally at the forefront of applying market inefficiency calculations, which is why he is still the leader in billion-dollar arbitrage. His use of exclusively highly liquid trading instruments is dictated by the need for this condition for guaranteed arbitrage.
Arbitrage - a systems approach. Using patterns in "noise" - a systems approach
What about this criterion: NOT repeatability of results with the same parameters?
When simulating each tick it is probably possible, because ticks within a bar are generated randomly and one stop trawl run may trigger at different prices, and after that the next trade may open earlier or later and at a different price, and then the differences may accumulate quite strongly.
It means that if the system shows different results, there is an element of randomness in it and it is not a system.
But this should not be the case when testing only on opening prices. it means that if the system gives different results, there is some element of randomness in it and it is no longer a system.
What about different spreads on different runs?
What about different spreads on different runs?
And that too.
But all the same, if a system produces radically (whatever that word means) different results, I guess we can't speak of its systematicity?
that too.
But all the same, if a system produces radically (whatever that word means) different results, surely one can no longer speak of its systematicity?
Maybe it is more about bugs or peculiarities of the testing software?
Then it makes sense to emphasize the features of MT4. They will go there as well.
-Use of redrawing and blinking indicators.
-Use of indicators and trading signal calculation blocks working with zero bar prices and indicators
All in all, we can distinguish three sections of errors and signs of non-performing systems:
1. insufficient reliability of results (fitting is a separate subclause here, too)
2. peculiarities of testing software and errors associated with them
3. logical errors in system design. This is more of recommendation character and subjective opinion about the way a profitable robust system should be build and contain.
Is it more about bugs or peculiarities of the testing software?
Then it makes sense to highlight the peculiarities of MT4. This will also include
-The use of redrawing and blinking indicators.
-The use of indicators and blocks for calculation of trading signals, working with prices and zero bar indicators.
blinking and working on the last bar is not an error of MT4, it is an error in the logic of the algorithm! MT4 will honestly give you Close[0], but you understand that at the beginning of the bar it is almost the same as Open[0], but at the actual close it will be completely different. And if your system decides to trade with Close[0], it means that with every new tick this decision will change :(