From theory to practice - page 335
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... Trouble is, Alexander can't get to the history checks. ...
And by the way, Alexander has an Expert Advisor.
If it is written for Mql5, it is like sending two bytes, because its main part is calculations, rather than sophisticated, poorly compatible trading logic.
The MT5 tester has both multicurrency and testing on real ticks. What's worth doing a history test?
:))) No, there is no shame. There is no Miracle, which I hoped to demonstrate. There is routine and boredom. But maybe there's more to come? I have faith in that and a little work to do.
What do I hear?
I've told you for a long time - one cannot build a trading system for forex with rose-colored glasses, they get in the way.
You haven't done the most important thing - you haven't tested it!
At least in the Strategy Tester you can find algorithm errors and look at the trading results.
Take the 5-Rock, it has everything you need to implement your idea from start to finish:
Create your own custom chart of ticks based on your own algorithm and trade it in the tester. The ticks are already there, there is no need to collect them. Multicurrency is a plus.
And by the way, yes, Alexander has an EA.
It's like sending two bytes to transfer code to Mql5 if it's written for 4, because it has mostly calculations rather than complex, poorly compatible trading logic.
The MT5 tester has both multicurrency and testing on real ticks. What's worth doing a history test?
So in MT he has the trading part implemented - the rest (and main) in whissim.
I remember offering Alexander to rewrite the entire algorithm for MT for free, but he didn't answer.
Apparently, he considered it impossible to disclose his calculations to anyone else)
Alexander_K2:
The answer is trying to get to a Poisson flow of events with a normal distribution of increments, for which all the maths is known.
Did it lead to any brilliant results? I have to say the truth - no.
Or maybe it should be taken into account that even knowing all mathematics, e.g. probability of coin flip, does not bring us any closer to the creation of a profitable TS because this mathematics is completely incapable to predict the certain course of events.
Well then who needs this toothless mathematics, which is only capable of predicting the average temperature in a hospital for 10 years?)
That is, you need at least one issue to deal with, namely the adequacy of the use of the mathematical apparatus in these circumstances.
Otherwise, if we try to stick this mathematics and physics into every possible hole, we get a science circus and public disgrace of all physicists.
For example, in radar a more adequate approach is used, namely the probability of correct target detection and false alarm, which can be set and obtained in practice. But this is the engineering approach, not the naked physics and mathematics.
The tics are already there, there's no need to collect them.
There are synthesised tics, not real ones.
This is the real quest for the Holy Grail
The quest for the Holy Grail lies on a very different plane... That is, in another dimension of space... and it's been there for a long time and there's no need to invent anything...
There are synthesized ticks, not real ones.
There are already real ones available. When selecting the testing method, in the drop-down list just select "testing with real ticks".
Maybe not all brokers have it, but new builds of servers are already collecting ticks themselves, so all brokers with MT5 will have them in a couple of months.
I am testing the annual tick history on MQ server. I will look for a broker with history as soon as the TS will be fine-tuned.
Gentlemen!!!!!!
Before you design a system, it's a good idea to consider its performance characteristics.
One of those characteristics is profitability. In general, we can justify, based on the realities of small businesses, that the minimum profitability of a business of up to 10 thousand quid should be roughly at least 25%/month. Otherwise there is no point in doing such a business. No expansion of the business, in this case, we are not talking about at all - you will live on this money)).
By the way, the other characteristics are just as important).
And the first error, it seems to me, "sits" already in the initial conversion of the tick flow to an exponential flow.
Last post for today.
So. The most burning question that Novaja once asked:
Why convert the current tick flow, which is in fact an Erlang flow, to an exponential flow, to then come back to the same, but already clearly distorted flow???
I agree - a mistake has been made here. One should work with the existing tick flow and perform further transformations over this natural source flow, not artificial one.
So, the algorithm of transformation looks as follows:
1. we take the initial tick stream but read every second tick instead - look at the distributions obtained for time intervals and increments.
2. ... every third tick is read - we look at distributions.
3. ...
Until the distribution of time intervals acquires a clear, pronounced Erlang flow that satisfies the formulas for the probability density function, and the distribution of increments gets more and more close to a normal distribution.
That's what I'll do, and I'll let you know the results.
Thank you for your attention.
Nah, you won't sell the elephant that way.
The characteristic feature of A_K2 is the complete lack of a systematic approach and digging for details. What details when there is no vision of the whole?