A balance between QUALITY and QUANTITY - page 6
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Prival:
Не совсем понимаю твой вопрос.
Мой порядок действия. Сборщиком - тики сбрасываются в файл. Маткад читает этот файл и выкладывает результаты обработки тоже в файл. К сожалению реализовать эту обработку на MQL не могу. Даже пытаться не стал. Мне жизни не хватит отладить код. Мы с компостером пытались сделать так. Сборка тиков - обработка маткад – он (маткад) выкладывает в файл валюта - купить продать, но к сожалению и это не получилось. Вернее получилось но АТС не вышло, комп через некоторое время иногда 10 иногда 20 мин, зависал намертво (только жесткая перезагрузка, даже на контр-альт-дел не реагировал).
З.Ы. если правильно обрабатывать тики, то получиться именно такая гладкая кривая (это микротренды, не точное название, но другого, более точного не могу придумать).
If you have money for an ordinary coder, which is a relatively small amount of money, then I can give him your task in the form of a specific ToR (I think there is no special know-how in tick assembler and your other harnesses). In this case you will get quite professionally done work.
If you have money for the average coder, and it's relatively small money, then I can set him your task in the form of specific TOR (I think in the builder ticks and your other bindings special know-how is not). In this case you will get quite professionally done work.
Thank you for the offer. If everything works out as I plan, there will be a cooperation offer, for sure. But after the championship. And I hope it will be of interest to many forum members...
I agree with Prival(to paraphrase, the less equity is below the balance at the moment the position is opened, the more risk-free is the TS - entry efficiency). However, Sergey did not say everything that could be said in this regard.
I would consider the quality of TS by two parameters: entry efficiency and exit efficiency. The first characterizes the degree of haste (if I may say so) of entry.
The second one characterizes the degree of sluggishness of the output. I.e. if equity rises above the balance at the moment of withdrawal, it means we exited too late.
So:
Entry efficiency - the less equity falls below the balance at the moment of position opening, the more efficient the entry point is.
Exit efficiency - the less equity rises above the balance at the time of closing the position, the more efficient are the exit points.
Entry and Exit efficiency can be calculated using the ratio of average profit to (jump-out/break-down) (working title, I do not know another one, suggest your own variants of the name for this indicator).
How to estimate the TS by the number of trades? I do not know, what is better - more often and a lot, or less often and in small amounts? Moreover, TS with frequent entries may be profitable (in pips), as well as with rare ones. I prefer to fix the number of entries - and my head does not hurt at all about it.
I will try to create a quality criterion based on 2 parameters: % drawdown and number of trades:
Suppose:
Minimum drawdown - 0%
Maximum drawdown - 20%
Minimum number of deals "for statistics" - 500
Maximum number of deals "for statistics" - unlimited
Then:
Quality criterion= (%Drawdown-20)*(Number of trades-500);
-
Minimal value of the criterion is zero. Maximum - unlimited. The higher the criterion, the higher the quality.
I agree with Prival...
That's what I was trying to show. I also drew it. it's the maximum and minimum price points that are important. It's just that you use different notions (terms). I hope that such a double description will help many people.
Today's situation may change as follows: 1. the most important is the drawdown in points. of all the many rules that you have, the best one is the one with minimal drawdown. the ideal is 0.
2. the underperformance. If you want to be sure that you are not losing (you may miss the maximum and come out later), you may also lose in pips.
One more nuance, do not use SL and TP when testing (searching for TS). ATS should have entry and exit rules. that's what you are looking for. This is then when you find it, and go to the real SL is mandatory. Having statistics on the drawdown in pips, its OOL and RMS, it's easy to calculate the SL. This is an emergency exit, catapulting out of the market
I am not confused. A $1,000 drawdown for a $1,000,000 balance with an initial deposit of $1,000 is how much percentage? I think it's better to use %.
What you cited is correct for the 1st trade only. After that, your balance will change. therefore your % will also change.
Thank you for the offer. If everything works out as I plan, there will be a cooperation offer, for sure. But after the championship. And I hope it will be of interest to many forum members...