To follow up - page 26
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I'm glad I gave you the pleasure. :-) I finally succeeded !
Просто оказывается, что любой заточенный на идеальные входы алгоритм даёт плохих входов ничуть не меньше, чем хороших.
IMHO, it's the details of the way the market is described. As long as it is not adequate (that is, simply put, it is made out of thin air) one cannot count on anything else. I have also spent a lot of time thinking about it, until I realized that the reading of coffee grounds is no worse. Since then I've switched to coffee. :-)
I saw your post at the top of page 25. There is obviously a certain mutual misunderstanding. Both in terms of concepts and in terms of intended actions. Hence it appears that your interpretation is not at all the same as mine. However, I will not argue with you. There is no need for us to reach a consensus. On the contrary, since you consciously choose the second variant, it is better for us not to drag each other into an argument.
It is wonderful that everyone has his own approach.
Together we are strong!
We'll beat them all!
Banza-a-a-ay!
Are we going to throw hats?
Впрочем, в соответствии с моей новой верой, чем больше субъективности, тем лучше :) . Так что твой пост просто душу мне согрел :)
It's just a "conversation starter" ......
The impression is that everyone is at the doorstep, but no one dares to enter the house - you need a "cat" which will do the right thing and will find the best (according to feng shui :)) place.....
A little about the quote: in my opinion, it's important..... if all the definitions of "context" are piled up, then not even the most sophisticated system can calculate this algorithm (conditionally speaking).... subjectivity, or the "gut feeling" so hated by me and you will still be present....
So, are we looking for a cat? :)
A little bit about the quote: in my opinion, it is important..... if all the definitions of "context" are piled together, then no, the most sophisticated system, can calculate this algorithm
If you pile up all the definitions, you get a complete mess. And nothing can be born of it. It can be born only from the correct definition.
If you gather all expert writers into a pile, they will 100% fail to write anything workable. Only those who have the right ideas will write.
So let's drink ...
What else can we do?
IMHO, you can only spend a pleasant and useful time on a topic if someone actually works on it and shares the results, even if they don't give all the details. And the more of these ... er ... those :), the more chances for a quality and longevity of the thread. I don't think a complete coincidence of approaches is required at all. The problem seems to be that not everyone who is interested is able to work sufficiently (for various reasons). Some are busy with other things, some simply do not know how, some cut the motivation scars left by previous attacks on the market :). The other side of the issue is the willingness to share current results. I suspect it anticorrelates with the first factor. Because as ... er ... ( get winded? :) ) often begins to pass not only the fear of inadvertently giving someone your future grail, but also the hope to find it at all :)).
In short, a good topic really needs qualified non-greedy "newbies" :). Imho, of course.
Here is an illustration of "my" approach. We take a set of inputs, count for each input the values of some two parameters (taking into account the context). We obtain a two-dimensional phase space (PS). More precisely, a cross-section of the phase space by a plane, since adding new state parameters will increase its dimensionality but will not require recalculating the already calculated ones. This is precisely the advantage of the fixed-entry approach. Now on this plane we construct a rough estimate of the dependence of the profile on the parameters, which is in some sense akin to the probability density function. We obtain a nice picture
The blue dots are entry points and they are located on the zero plane, i.e. where they dive under the surface the estimate of the profit becomes positive. Now let's look at this case from the top
We can clearly see the areas that promise positive profit (i.e., areas where the points are hidden by the surface). In this two-dimensional case, we can literally draw their boundary by hand. For larger dimensions of the phase space we can no longer do without mathematics.
The question remains - is it a fitting or not? Who knows :). IMHO, it all depends on the parameters. I don't like these particular ones, they're not invariant enough in my opinion. Besides I'm not sure about correctness of estimation of probable profit, it's quite primitive.
P.S. In case anyone doesn't get it - this is bait for suitable "newbies" :) .
Let me question the appropriateness of analysing data on the interaction results of one black box (market) on the results of the "solution" of another - generating inputs (no less black - for the reading neophytes).
;)
As for defining the relevant coordinate system of phase space, I suggest supplementing the coordinate system I suggested with one more axis - the deviation from the 33-axis of the higher TF. For clarity, and as a measure of sensitivity we could take ATR, and ROC would replace inertia for us.
For the first time will do.
Candid, how did you become Candid? Did you give the moderators a slip?
Here is an illustration of "my" approach. We take a set of inputs, count for each input the values of some two parameters (taking into account the context). We get a two-dimensional phase space (PS).
Now on this plane we construct a rough estimate of the profit dependence on the parameters, which in a sense is akin to probability density recovery.
Here the blue dots are inputs and are located in the zero plane, i.e. where they dive under the surface the estimate of the profit becomes positive. Now let's look at this case from above
Well, the world is full of wonders. This is also the approach I was outlining. And if you're a supporter of it, what were we arguing about ? :-)
And how did you get a "rough estimate of profit dependence on parameters", and even as a surface?
It's complicated somehow, here's the result of the trading simulation on the base sample:
Balance 3761pts, Orders 2831, average 1.3285pts/order, Max Profit 6495, Max Drawdown 7229, Balance RMS 1333.1936, Balance/RMS 2.821
And this is on the sample for Out of Sample:
Balance -6950 pips, 999 Orders, average -6.957 pips/order, Max. profit 4347, Max. drawdown 10614, RMS of balance 1630.4733, Balance/SCO -4.2626
You can see that the results are significantly different, i.e. the market has been significantly different with respect to this entry algorithm at OoS. Now we make a simple filter by cutting a rectangle 150x150 at the beginning of coordinates in a two-dimensional image by hand. On the x-axis this is less than the picture allows - the point is that the algorithm gives another set of inputs, for it the resolved area is of a similar type, but smaller.
We get at OoS:
Balance 4309pts, Orders 424, average 10.1627pts/Order, Max Profit 5436, Max Drawdown 4089, Balance RMS 801.62, Balance/RMS 5.3754
Somehow too good, oh I'm afraid it's a coincidence.
Candid, как ты стал Candid'ом? Модераторам на лапу дал?
No, it was a New Year present from MQ :).
Мдя, мир полон чудес. Это же и есть подход, который я излагал. И если ты его сторонник, то о чем мы спорили ? :-)
А каким интересно образом ты получил "грубую оценку зависимости профита от параметров", да еще в виде поверхности ?
No, here it is the realtime inputs, set before any parameterisation. That's exactly what was the point of contention. Read it again :). In fact, I'm just now going back to where I left off a year and a half ago. I assure you, you were already aware of my approach then :) . By the way, and that's the question I seem to have asked :).
Well since there are two parameters, of course there will be a surface. And the profit is simply taken as an average over a given number of nearest points.