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There is another idea - it is more advantageous to search for the minimum value of the function with dimension of 4 and more, as in my case, by Monte Carlo method, rather than by stupid search, as it is now. Particularly strong gains are expected on a large number of bars.
Isn't it easier to perform optimization with sampling only those elements that will only participate and not all of them in a row like ...
which is better?
In order to be guaranteed to drain the depot, both are suitable. Take your pick :)
Sketched out a preliminary code for the Monte Carlo calculations. Everything flies with the number of iterations up to 1e6. The problem is that I need a proper random number generator, the built-in one is useless. Found a package with external dll on the forum, I'll try it.
I can already see the pluses of such approach - Monte Carlo methods are almost insensitive to dimensional growth, so I can easily increase number of reference fractals up to 8. The speed of computation is not affected. Additionally, the search window can be seriously expanded, up to 1000-1500 bars, which allows plotting more serious levels.
I see the potential of the indicator and I want to improve it.
There are two main purposes for it:
- filter when opening a trade (not to buy into resistance and not to sell into support)
- targets for trades (takei)
Screwed in the library. Everything works.
First results on the Eurobucks on the dailies, 500 bar window, 6 fractals, 100 bar forecast:
Is there a level or not, huh? Who sees what? Is it working or what?
Is there any way to objectively assess whether the levels are working or not?
You can check from history, but the present only the future will tell
You can check on history, but the present only the future will tell
I can see that. For example, I calculate levels on a window from 500 to 100 bars and want to estimate their performance from 0 to 100 bars. How? Ideally, I would like to get some coefficient or number. I have heard something about the overshoot coefficient, but I don't know what it is. I don't want to reinvent the wheel (with square wheels and tracked).
This is understandable. Here's an example, I calculate levels on a window from 500 to 100 bars, and I want to assess their performance from 0 to 100 bars. How? Ideally, I would like to get some coefficient or number. I have heard something about the overshoot coefficient, but I don't know what it is. I wouldn't like to reinvent the wheel (with square wheels and caterpillar tracks).
Bulashov has something on the subject
Finalised the indicator.
Current levels on the Eurobucks D1: