What's not the Grail? - page 4
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I wasn't referring to the total FS, of course, but the FS for a given period.
To clarify: Run for one year, FS = 3. Now run for three years. It seems that FS would be about 3*3*3. No, it's not, it's usually less. Well, let's say 10. So the annual average is the cube root of 10, i.e. about 2.15.
PF has nothing to do with it at all. And it usually decreases with increasing test period (here it is integral).
Alexei, my typo...
I meant the VF.
In general you are right, Alexei. FS (normalised) of course decreases with increasing period
No, I'm not.
Without going too deep into the algorithm of the trading system - How the Monte Carlo method can be applied to trading.
YOUNGA:
Without going too deep into the algorithm of the trading system - How can I apply the Monte Carlo method to trading?
Deep drawdowns can be cured by diversification - but the algorithm of finding entry with good mathematical expectation is the problem
And using PiTHIA 8 is the ultimate masterpiece for me
The Monte Carlo method by its very name is doomed to be associated with gambling (on the stock market, in the casino... no matter)... :-))
that's the point, to identify certain non-random regularities in a huge number of seemingly random processes....
and pythia is the most suitable implementation for applying this method...it's not for nothing that whole universities
develop it...:-))). The processes being analyzed are proton collisions or price spikes... it is not important...:-))
(whether an unformed bar or a Schroedinger cat... are all the same superposition states...:-))))
The FS (normalised) of course falls as the period increases - this is purely empirical.
Suppose max. drawdown is 5000 and the system earns 20,000 per year
in one year: max drawdown 5000 and earn 20000 PV=4
in 2 years: max. drawdown 5000 and earnings 40000 PV=8
in 3 years: max. drawdown 5000 earnings 60000 EF=12
etc.
What do you mean by the M-K method ?
Suppose the max. drawdown is 5000 and the system earns 20,000 per year.
in one year: max. drawdown 5000 and earn 20000 PV=4
in 2 years: max. drawdown 5000 and earnings 40000 PV=8
in 3 years: max. drawdown 5000 earnings 60000 EF=12
etc.
1. This (see above) refers to the NORMAL FS. Normalized means recalculated for a yearly period.
2. With increasing period of testing (expanding OOS) as a rule TC gets into deeper drawdowns, which leads to lower normalized FS.
PYTHIA is a programme for the Monte Carlo simulation of particle collisions at high energies at elementary particle accelerators.
Let's say more - it is already quite suitable for calculation of fundamental particles too...the same parton planes...and these are already quarks and gluons...hundreds of orders of magnitude lower...:-))
the decision-making algorithm takes place on an unformed bar, or the analysis depth is still present (more than 1 bar) - it may very well influence the test result
roughly, we can proceed from the black hole theory... any established event horizon allows us to see not only past events but also future ones...
and since in any normal living (rotating and having non-zero charge) black hole there are two separated event horizons, our task is simply
to enter a quasi-stationary orbit between the horizons (whose existence has recently been proven), where we can obtain the necessary information and stay alive...:-))
it is very primitive, akin to the quantum forex theory, but, in principle, quite feasible...(on earth, of course...:-))
(quantum foam is actually a forex-like phenomenon... unobvious but natural...)
and the evaporation of the hole does not bother us any more, we are quite in time... :-))
(i.e. nothing is built on real data only a forecast from a reference point... and then we carefully study the divergence...:-))