Whether there is a process whose analysis of one part does not allow predicting the next part. - page 15
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1. When we say that the same pattern is now giving the opposite signal and we need to retrain the system, are we not being self-defeating? Maybe there was no pattern linking the pattern to the signal? For example, we flip a coin and notice that after three tails most times heads appear. Is it a regularity or because of the lack of a large number of experiments (which allows evaluating statistics more accurately) we've come to the wrong conclusion? I've been torturing myself with patterns for a long time now, and always think about this question.
2. By the way, what is your depth of price history that allows you to estimate market conditions?
1. It is quite possible that it is self-defeating, I do not deny it. By a pattern I understand not some clear figure like Head & Shoulders but the set of different causal states but leading to the same consequence - growth. Accordingly, there is also an opposite set of states leading to the downfall of the instrument. It is the sum of the states, so flipping one of them (the states) does not result in the opposite reaction - growth or fall. When I spoke of flipping a pattern, I meant changing all those in the sum of the states - the pattern. Fuck, what a pain in the ass, but I hope I've made myself clear.
2. 20-30 bars. Experimenting all the time.
Opinions please, colleagues.
You need to take the system to the real world, and then we will see if the idea is worth anything or not.
In the meantime, we can place our bets. My bet is no.
1. Quite possibly self-deception, I don't deny it. By the pattern I understand not some clear figure of the Head-Shoulders type, but a set of different causal states, but leading to the same consequence - growth. Accordingly, there is also an opposite set of states leading to the downfall of the instrument. It is the sum of the states, so flipping one of them (the states) does not result in the opposite reaction - growth or decline. When I spoke of flipping a pattern, I meant changing all those in the sum of the states - the pattern. Damn, how tedious, but I hope I've made it clear.
2. 20-30 bars. I am constantly experimenting.
I meant exactly the same definition of the pattern, not Head & Shoulders, flags or triangles. Although your definition of a pattern already contains the repeatability property, I will add that the same set of events (= pattern) must occur more than once in a history and its amount must exceed the randomness many times. For example, 5 tails in a row has probability 0.5*0.5*0.5*0.5*0.5=0.03125. That is, with 800 flips, 5 tails in a row will happen 25 times on average. But if they happen 100 or 200 times, we have a "pattern" and not a random set of events. There are many patterns all around us. And our brain is designed so that it recognizes patterns or structure in data quite quickly (I could go on and on about that). But the structure of price quotes is difficult to detect, even with a "suited for the task" brain. I've been struggling for a month with the algorithm of detecting patterns in price quotes. The same algorithm is very fast at identifying recurring patterns in any other type of information (images, speech) - probably because there is less noise and more structure. But in quotes there seems to be little structure and a lot of noise. But I will continue the battle. There is still hope, and the topic is interesting.
...
2. ...As for the championship test time limit, we need to firmly prescribe ready answers for the grid directly into the EA, so that it doesn't "think" during the test.
There's a hurdle here, too:
"...
III. Expert Advisors for MetaTrader 5
...
8. Cardinal differences in the Expert Advisor's behaviour during the preliminary check and during the Championship will lead to disqualification".
I have the same EA problem with internal GA.
There's a hurdle here, too:
"...
III. Expert Advisors for MetaTrader 5
...
8. Cardinal differences in the Expert Advisor's behaviour during the preliminary check and during the Championship will lead to disqualification".
I have the same Expert Advisor problem with internal GA.
I think what is meant is trading behaviour, something like differences in number of trades per day and other EA characteristics.
I have the impression that EAs with self-optimisation will not qualify for the championship or will be withdrawn during the championship.
Using the example of my EA with internal GA (Andrew, thanks so much for the article!):
1. optimization is done once a week and takes ~1 min. - This no longer satisfies the pre-test condition: "Each EA has to fit in 15 minutes when testing for eight months..."(https://championship.mql5.com/2011/ru/news/82).
2. If we use ready GA parameters for testing (change the optimization frequency, etc.), it will probably be noticed by the Organizer and interpreted as a failure to comply with the Championship conditions: "Cardinal differences in the examiner's behavior during preliminary testing and during the Championship..."(https://championship.mql5.com/2012/ru/rules).
3. another hard-to-follow condition: "...to be economical in CPU and computer memory resources" (https://championship.mql5.com/2012/ru/rules).
Here is a precedent:
"Report of the October 12, 2011 Jury meeting
...Excessive consumption of CPU power (10-15%) by the participant's terminal...
...members reached a verdict of disqualification..."(https://championship.mql5.com/2011/ru/news/95).
Using my EA with internal GA as an example (Andrew, thanks so much for the article!):
You're welcome! Will it help to make money - share as a thank you. :)
icas:
I am under the impression that EAs with self-optimisation will not make it to the championship or will be removed during the championship.
1. the optimization is done once a week and takes ~1 min. - this no longer meets the condition of pre-testing: "Each examiner must fit in 15 minutes when testing for eight months..."(https://championship.mql5.com/2011/ru/news/82).
2. If we use ready GA parameters for testing (change the optimization frequency, etc.), it will probably be noticed by the Organizer and interpreted as a failure to comply with the Championship conditions: "Cardinal differences in the examiner's behavior during preliminary testing and during the Championship..."(https://championship.mql5.com/2012/ru/rules).
3. another hard-to-follow condition: "...to be economical in CPU and computer memory resources" (https://championship.mql5.com/2012/ru/rules).
Here is a precedent:
"Report of the October 12, 2011 Jury meeting
...Excessive consumption of CPU power (10-15%) by the participant's terminal...
...members rendered a verdict of disqualification..."(https://championship.mql5.com/2011/ru/news/95).
That sucks, what else can I say. I hope we can come to a reasonable compromise on the rules together with the organizers of the tournament. There is hope, because Metakvot are interested in demonstrating the high technology platform and technically sophisticated EA participants.
My pleasure! Will it help to make money - share as a thank you. :)
That sucks, what else can I say. I hope we can come to a reasonable compromise on the rules together with the organizers of the tournament. There is hope, because Metakvot are interested in demonstrating the high technology platform and technically sophisticated EA participants.
I do not know whether there is a special ban on auto-optimisation.
Mathematicians, pull up here.
So:
Hypothetically there is a pouring strategy at a constant lot, i.e. the pips MO is positive, but at a spread of 0.
1. Is it possible to pick up such MM (including martin derivatives), that the system would pour even at not 0 spread, and what would such MM depend on?
2. What would be the formula to calculate the maximum spread threshold at which the system would no longer be able to fill?