Where is the line between fitting and actual patterns? - page 30
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)))maybe, but why do we need this "different"?
Why keep the good old BUT worked out optics?
then we have over-optimisation; having traded on the 2nd part - optimum on a fresh sample
We talk about wasps-schmos, samples-memples, but no one said a word, and probably no one even thought, but do such approaches (division into Sample, OOS, etc.) apply to all TCs without exception? If not applicable to all, which ones are not applicable? I posed a question to Reshetov, leading up to this topic, but he did not see fit to answer.
Let's try to figure it out.
In terms of time spent in the market of each single trade(each single trade, because TS may conduct several parallel trades simultaneously) TSs may be divided into two types:
1. TS with unknown time of each trade. This type includes all TS, in which it is not known in advance when there will be the next entry signal into the trade (or whether it will be at all), and in some systems it is not known in advance when there will be an exit signal.
2. TS with the maximum trading time known in advance. This type includes systems in which there is a signal to enter strictly periodically, for example on every bar or on a certain day of the week at a certain time. There is always a signal for the exit, because the maximum lifetime of each trade is predefined. The condition of exiting a trade can be the end of time or reaching of stops.
What thoughts arise if we divide the TS into such types? What follows from this, within the framework of the topic? I will listen to my opinions, and then I will express myself.
I need to clarify or correct the conditions. Let me explain:
If we have the maximal time of trade, it means we have the min time.
So in the second type the exact duration of each individual trade is as unknown as in the first type.
Take your time, Artem . If you call yourself a rider, get in the box. Tell us what you wanted to say. Or just say that you don't want to reveal your superpupernatural system :)
No, Alexei. Nothing super surprising so far. It's just... I'm not a fan of all this optimization. The weather vane is an allegory. After all, it doesn't care if yesterday it went north, the day before yesterday it went south... It is impossible to calculate and deduce from this where it will be tomorrow... You can, of course, but... ...that's shamanism all over again. I stick to the opinion that the market should be followed and we must react quickly (with some conventions). My Expert Advisor is working in this direction, there is a lot to work on, but the volume of trades is around 30-40 in the region of 4, 5 thousand ... but this is a completely different and separate topic of conversation. There was even talk of the pendulum... The subject comes to mind our adolescent pastime with a ring on a piece of string showing us how many children we will have and when and in what order. Bullshit. I don't have a son and I never did. A daughter. Although the pendulum has ALWAYS shown the same thing. Stubbornly and surprisingly. Well... ...with your mouth on the street, it's like being naked in a monastery...
I guess I couldn't refrain from giving an example, so that somebody would think about it. I personally think that optimizing parameters is a tweak, and I never optimize, but make Expert Advisors react to current changes in the market by themselves... Without looking back at history. I'm not talking about the recent past (up to an hour ago at most), clearly enough for the EA to make a decision.
I only meant that, nothing more.
ZZY. It is very strange and illogical to sit on a stump studded with beech mushrooms and count how many times we have found mushrooms in the afternoon, and how many times in the afternoon and in what direction to move now, based on yesterday, to find today.
ZZZI. The regularity of the market is that it is fickle.
All IMHO.
Conditions need to be clarified or corrected. Let me explain:
If there is a max time trade, then there is also a min time.
So in the second type the exact duration of each individual trade is as unknown as in the first type.
It is very strange and illogical to sit on a stump studded with beech mushrooms and count how many times we found mushrooms before lunch and how many times after lunch and in which direction to move now, based on yesterday, to find today.
But it is logical not to walk through snowdrifts in January and not to look for beech mushrooms on the tops of Christmas trees - this, after all, is also an observational story, i.e. history can be useful.
If you translate it into trading, it's copying trades.
Fucking hell, let's get on with the OOS already.
It's an immutable pattern. Is there one on the market? If so, it is the one to use.
There is a pattern in the market: price can start moving quite far - beyond any reasonable stop loss.
Hence, there is a consequence - the direction of price movement is always useless to predict, because if you make a mistake predicting the direction of price movement, stop-losses will wipe out all previous profits.
The solution to the problem is to break down the TS into components.
The main component is to create a "carrier" which always follows the price - it shows the direction in which to trade. If the direction is not very correct, then it is not a problem - anyway, sooner or later it will change to the opposite one.
So, if the naked "carrier" will give even zero profit year after year, then it is already a "flat", which is more or less clear how to trade the second level component.
As a result, the trading system will look like a sequence of filters trading each other's results.
The important difference is that it is not the price series that is filtered, which no matter how you filter it, but still only "bump on bump" - it is the price series transformed into trades, i.e. freed from excess "market noise".
For example, 72_GBPUSD "carrier" has 384 deals, 2nd level has 5011 deals.