Comparison of two quotation charts with non-linear distortions on the X-axis - page 10
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i'm trying to code patterns as a continuous binary signal, could you please advise how to find the correlation for binary sequences? although again the same problem as for all: i don't know how many bars to use optimally for analysis
correlation... try to calculatethe number of different bits (using Hamming distance). then the percentage of the sample will give you the desired....
but the number of bars... it is purely through optimization to find the optimal number of.... and then in addition run it with the average*2
martingale is only one of many methods of lot management.... you can tell something more specific by looking at how an EA works with a fixed lot...
Here is a bactest of constant lot 0.1 from 1999-2010, where the patterns were trained:
There is nothing to be surprised about, because Expert Advisor knows in advance about all profitable patterns during this period of time.
Here is the forward test for 2011-today with the same 0.1 lot (details are in the zip file):
With proportional increase of trade volumes the result is the same.
This result does not inspire me. Of course, you can send this EA to the Championship but it will not pass the resource rule because testing for 1 year takes about 1 hour instead of the 30 minutes.
trying to encode patterns as a continuous binary signal, can you tell me how to find the correlation for binary sequences? although again the same problem as everyone else: not sure how many bars are optimal to use for analysis
I haven't heard about correlation between binary signals. By the way, I tried to code a pattern with a binary sequence using a zigzag. Took the last 6 knees up and 6 knees down. Each knee was coded with a bit: -1 = current knee up (down) lower than the previous knee up (down), 1 = higher. And so for each knee. Bits were also needed to compare not only neighbouring knees up or down, but also more distant knees. Then I had to run through the history and null the "unimportant" bits. I ended up with up to 7 non-zero bits describing each pattern. Pattern matching was hard: either the pattern was present (non-zero bits match), or it wasn't. I spent half a year to develop such an Expert Advisor and sent it to the 2011 Championship without checking for the forward. The result was disappointing.
I haven't heard of correlation between binary signals. By the way, I tried coding patterns with a binary sequence using a zigzag. The last 6 knees up and 6 knees down were taken. Each knee was coded with a bit: -1 = current knee up (down) below the previous knee up (down), 1 = above. And so for each knee. Bits were also needed to compare not only neighbouring knees up or down but also more distant knees. Then I had to run through the history and null the "unimportant" bits. I ended up with up to 7 non-zero bits describing each pattern. Pattern matching was hard: either the pattern was present (non-zero bits match), or it wasn't. I spent half a year to develop such an Expert Advisor and sent it to the 2011 Championship without checking for the forward. The result was disastrous.
Burn the dead and try to tell by the appearance of the ash piles if they were related :) You have to compare the price itself, not the zigzags, indicators, candlesticks etc.
See the report charts at the top. This EA compares prices, not zigzags. The previous EA was comparing correlation coefficients between prices based on the closest EA. I am not claiming that my pattern detection methods are correct, nor am I claiming that my results show that all pattern-based methods are profitable. I'm just describing my experience and you can see for yourself.
Here is the bactest with 0.1 lot for 1999-2010 where the patterns were tested:
There is nothing to be surprised about, because EA knows in advance about all profitable patterns during this period of time.
Here is the forward test for 2011-today with the same 0.1 lot (details are in the zip file):
With proportional increase of trade volumes the result is the same.
This result does not inspire me. Of course, you can send this EA to the Championship but it will not pass the resource rule since testing for 1 year takes about 1 hour instead of the 30 minutes.
I have not found any justification as to why your system should work for me.
The system is based on the assumption that there are repeating patterns in quotes. On the 9th page of this thread I described the method of finding these patterns (unleashed coding). There are other methods. You can also compare prices using the nearest-neighbor method. Read my previous posts. I don't want to repeat myself.