Optimal values of SL and TP orders for an arbitrary TS. - page 2
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An ideal TS does not need stops, as we know. And if so, stops for a particular TS should be a function of "ideal" entries theoretically possible for the algorithm and real entries. So it turns out it would be nice to calculate some "imperfection" coefficient of TC and use it with "base rate" of stops, calculated from deposit, lot size and other MM bullshit. It seems to me the approach should be somewhere around that.
Идеальной ТС стопы как известно не нужны. А раз так, для конкретной ТС стопы должны быть функцией от "идеальных", теоретически возможных для алгоритма входов и входов реально совершаемых. Т.о. получается, что неплохо бы высчитать некий коэффициент "несовершенства" ТС и использовать его с "базовой ставкой" стопов, рассчитаных из депозита, размера лота и прочей ММой лабуды. Мне кажется подход должен быть где-то около таким.
Absolutely right.
No TS based solely on crossing two MAs is going to pour for a long time,
no matter what TP and SL you select.
And the longer the periods of these MAs, compared to the periods of price fluctuations, the more it will drain.
TS based only on the price crossover with one MA will lose longer time, then why do we need another MA?
-
Profit = Sum(Vt*TP-Vs*SL-Spred, n);
where,
n - number of deals, pcs;
Vt, Vs - probabilities of reaching TP and SL respectively;
The probabilities depend on the sizes of TP and SL inversely.
What do you actually want to get from TP and SL? How to pick their values? How do you pick up their ratios?
Take TP=SL, for simplicity. Always buy "lower" than we sell and we will be at a profit (if you do not take into account the spread)
With a large number of trades. So the whole secret is how to buy "lower" than sell.
Полагаю, в этом топике высказать несколько своих соображений относительно возможности получения аналитического решения для оптимизации параметров произвольной ТС. Думаю, что к таковым относятся значения защитных ордеров SL и TP в пунктах и оптимальная доля депозита выраженная безразмерной величиной f, которая есть отношения цены пункта в рублях к полному количеству рублей на счёте.
My opinion about the deposit-risk ratio (if I understand what we are talking about): constant value of risk (% of deposit) affects negatively on TS (my experience), because having caught a favorable area of price / time (and for each TS it is different), the advisor increases the deposit, respectively, increases the lot, at the end of the plot, which is a profit ends and comes black band for the adviser, in which he gets into at the maximum lot, and loses a deposit, depending on the TS, more or less than earned on the white line. Exit: Do not calculate a lot from the current balance/equity/average (balance/equity), the lot should be calculated based on the amount of money at the end of the cycle, where the cycle, in simplified terms, is the black + white strip, and the cycle can start in the middle of the white strip and end in the middle of the white one, or start/end at any other point, which is selected by the control system of this cycle during optimization.
If the EA with constant risk from the current depo shows good - profit is high probability of fitting.
Neutron, а как вы думаете, что по поводу SL и TP думают, но не говорят ДЦ?
Yes Richie, I don't know any secrets... I don't exclude. that with large volumes of a position being taken out and the kitchen mentality of a DC and knowledge of stopper placement levels, it is possible to deliberately yank the quote in one's favour, which is equivalent to increasing the spread.
grasn wrote(a) >> The point of the thread escapes a bit, "Optimal values of SL and TP orders for an arbitrary TS." what then will the TS do, if not determine, the level of TP? What is the point of it then? As for the SL level, yes, for some time I thought it was possible to create a universal mechanism for its assignment, regardless of the TP setting strategy. Until I understood the absurdity of this idea, the only thing I can say for sure - is that SL will always be tied to a TP strategy for a specific location. And in general, the task of setting SL is similar in complexity and even in many ways more complicated than setting TP and must be solved together.
This is where we need to decide conceptually. I believe it is correct when TS unambiguously defines entry/exit points and the presence of protective orders is only needed to prevent "slippage" which sometimes occurs and inevitably "improves" the TS performance in favor of brokerage companies. The next point is related to possible force majeure and prevents rare events that can lead to a loss of the deposit. Unfortunately, for proper operation of TCs, it is necessary to use protective orders, and they definitely reduce possible risks, which in its turn allows effectively increasing the share of f deposits involved in trading. Thus, we can and must solve the optimization problem for the TS-MM combinations the output parameters of which will be optimal values of SL and TP orders in the above said sense.
Any, even a primitive TS on the intersection of wagons, contains these two points:1. A set of rules by which the "cut" lots are analyzed, and if it is true (satisfies the conditions), then the action (opening/modifying/closing). For me, the first point is more important and complex than the second, although no matter how perfect the first point is, when the second is too bad, the whole system will work like the second: "slices the price range". Personally, I use peaks like a zigzag. Do you?
1. What I understand by "optimal" is not optimal slicing within a particular TC, but "optimal" in terms of - there is no better in Nature possibly at all, i.e. the most optimal of all possible slices.
2. I don't get it.
What I use is discussed below.
Figar0 wrote(a) >> An ideal TS doesn't need stops as you know. And if so, stops for a particular TS should be a function of "ideal" inputs theoretically possible for the algorithm and inputs actually made.
This is not exactly so and here's why:
1. There are force majors.
2. There are TS with theoretically unlimited losses and, nevertheless, positive MO. For such TS the optimal f appears to be higher if SL is used.
The paradox in the last case is imaginary and is successfully solved considering finiteness of human life (typical time of existence of an account or DC).
grasn wrote(a) >> Quite right.
Let's say it's almost always true... Feel the difference, Sergei!
Richie wrote(a) >> The probabilities depend on the size of TP and SL inversely. So the whole secret is how to buy "lower" than sell.
This is true in the first approximation, when you can think of the pricing process as random. Already in the second approximation, when we start to consider the correlated non-zero relations between events in the price series, this statement is not true and the probabilities of reaching TP or SL must take into account the correction factor. Due to this fact, it is possible to build a TS with positive MO that takes advantage of this artificial asymmetry. Unfortunately the profitability of such a TS is small on average and never overlaps the DC commission.
My opinion on deposit/risk share (if I understand correctly): My experience: constant value of risk (% of deposit) acts negatively on the TS (my experience), because having caught a favorable section of the price / time (and for each TS it is different) advisor increases the deposit, respectively, increases the lot, at the end of the plot on which the profit ends and comes black band for the adviser, in which he gets into at the maximum lot, and loses a deposit, depending on the TS, more or less than earned on a white line. Exit: Do not calculate a lot from the current balance/equity/average (balance/equity), the lot should be calculated based on the amount of money at the end of the cycle, where the cycle, in simplified terms, is the black + white bars and the cycle can start in the middle of the white bar and end in the middle of the white one, or start/end at any other point, which is selected by the control system of the cycle during optimization.
You are probably basing your reasoning on the hypothesis of stationarity of pricing processes. In this case it is correct, but the reality is that this process is not ergodic (stationary) and the hypothesis cannot withstand a direct experiment on a large enough sample. Unfortunately.
You are out of touch with what is being said, so you don't get the point.
Looks like another perennial theme on this forum ...
The market is a dynamic, fast-moving object ... that's its essence ... how you're going to attach any constants to it ... stops, etc. is a big mystery to me ...
"A dynamic horse with a dynamic bridle" ... imho ... only logical stops ... i.e. everything is counted and worked out in Expert Advisor ... and when to close the profit and when to close the loss ... and when to open and where and how much ...
I.e., all dynamic and no statics ... only this system can live and give a normal result for a long time ... or even if you catch the theme well, and constantly be profitable ...
You are constantly watching you say that some parameters are good for one sector and not for another ... Well, the conclusion is obvious - for another sector we need other parameters ... the same mistakes are already rubbed in holes ... :) ...
If you have not been thrown out of a trade for whatever reason, the system must calculate when to take profit and when to take a loss. If you don't have any clear data for a certain situation, you have to enter and defend yourself. When the situation is too late, you can't be wrong, because the system needs to precisely estimate the time when you lose. If the situation is clear, you should enter, defend yourself with protective orders and cut inside the "clear situation". Or, does it mean that my strategy does not fit the term "arbitrary", or does "arbitrary TS" mean "arbitrary specific deal"? in order to derive a formula in this case, i think on the contrary, i need to move away from the general ( but not detached) to the particular and then, after considering private specific trades, try to derive a general formula... ( it should be interesting...)
Скажем так - верно почти всегда... Почувствуй, Серёга, разницу!Seryoga, the crayfish ate the difference (C) (If you don't know, it's about a dead man pulled out of the river and trying to determine whether he is a man or a woman)
We have to define ourselves conceptually here. I believe it is correct when TS unambiguously defines entry/exit points and the presence of protective orders is only needed to prevent "slippage", which sometimes happens and inevitably "improves" TS operation in favor of brokerage companies. The next point is related to possible force majeure and prevent rare events that may lead to a loss of the deposit. Unfortunately, for proper operation of TCs, it is necessary to use protective orders, and they definitely reduce possible risks, which in its turn allows effectively increasing the share of f deposits involved in trading. Thus, we can and must solve the optimization task for the TS-MM connection the output parameters of which will be the optimal values of SL and TP orders in the above mentioned sense.
Oh, it's not so easy here. Now we are dealing not with the SL level but with a protective order and it's even more complicated. And in general - the complexity of complexity, for example, an order is open now and it is losing - is it a force majeure or you have an erroneous entry? When will you understand it?
You see, Seryoga, you are having a strange conversation. On the one hand, the subject is set, and it seems clear, until it is: "Optimal values of SL and TP orders for any TS". Why do you keep pulling out some strategy like a devil out of the snare and saying "feel the difference"? If such strategies exist, use them, what's the problem? Why do you need all-round TP and SL? It turns out that you yourself are proving that the universal one does not and cannot exist. If so, I already agree with you.
Похоже еще одна вечная тема на этом форуме …
Рынок – динамичный быстро изменчивый объект … в этом его суть … как к нему вы собрались прикрутить какие то константы … стопов и т.п. для меня большая загадка …
«Динамичному коню динамичную уздечку» … имхо ... только логические стопы ... т.е. всё оперативно считается и отрабатывается в эксперте … и когда закрыть прибыль и когда убыток … и когда открываться и куда и сколько …
Т.е. всё динамичное и никакой статики … только такая система может жить и давать нормальный результат долгое время … или даже если зацепить хорошо тему, то и постоянно быть прибыльной …
Сами же смотрю постоянно пишете что мол одни параметры хороши для одного участка а на другом нет … ну еклмн вывод то на поверхности – для другого участка нужны другие параметры … одни и те же грабли уже до дыр затерли то .. :) …
Yes, that's a good point... The market is not stationary and that is our misfortune. Moreover, your hypothesis about the possible use of dynamic parameters for TC to increase its MO, unfortunately, also withstands direct experimentation. And the point here is that there is no long characteristic lifetime of the found regularities, i.e. we cannot even speak about quasi-stationarity of processes in the market. So... Don't flatter yourself.
Nevertheless, I see the way out in the most efficient exploitation of the weak stationary dependencies in price series. Simple TS are not suitable for this, because they were not specially tuned for this, but to create an "optimal" TS - that's for sure! A worthy and interesting task. Although I do not subscribe to the complete futility of dynamic parameters. The topic requires more detailed study.
DDFedor wrote(a) >> in order to derive a formula in this case, I think, on the contrary, it is necessary to move away from the general ( but not detached ) to the particular, and then, having considered private specific transactions, try to derive a general formula... ( should be interesting...)
That turned out very well. I memorized the mission statement, so let's implement it!
grasn wrote(a) >> why do you need this topic about universal SL and TP? It turns out, you're proving yourself that there's no universality here and can't be. If so, I already agree with you.
I need criticism, it's the only way not to fall into a bad situation.