The market is a controlled dynamic system. - page 93
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https://www.youtube.com/watch?v=x8l4a-KfeCs more optimism ! )))))))
Ah, where are my college days!
;)
interesting a lot of what is written above...
you need to "dig" in this direction http://www.ntv.ru/novosti/555856
>
Hello friends, I'm with you again.
Nikolai said to his colleagues
and greeted everyone
with his bacillus hand.
oman, 30.08.2009
a 50% drawdown is embarrassing. Are you overdoing it?
I haven't reached perfection yet ;) There's still work to be done ;)
Yes, I think it is too much.
Breakeven is not at all equivalent to Equity Breakeven (the latter is hardly achievable in principle - even if we ignore the initial drawdown in the spread).
Even if break-even is achievable in principle (which I highly doubt), it is not at all optimal in terms of time spent per unit of profit. Instead of waiting for a position to go into a huge drawdown and then waiting for it to come out, it's easier to just cut it off after some drawdown and look for a new entry.
Breakeven is not the same as Equity Breakeven, it is true, but the concepts are correlated.
Both of them characterize the entry accuracy.
However, I would replace these concepts with a single smooth notion of entry/exit efficiency (strictly following Bulashev's formula, maybe with a little modification, the spread of efficiency measurements outside the trade, left/right).
If this efficiency is also multiplied by points of profit, we obtain a universal fitness function for trade evaluation.
But during optimization such an TS will strive to minimize the number of trades and will try to detect the most attractive ones, it will search only for long trends and trade them.
That is why it would be reasonable to introduce the notion of lifetime of a trade, we are talking about maximizing profit in the minimum time. Therefore we transform FF as follows:
Thus on a long trend without much hesitation the best strategy will be buy and hold, but on a volatile market this will not be the most profitable option.