From theory to practice - page 91
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Alexander, does your system have stops? And another question - are you fixing on the middle of the channel (green line), or?
Greetings, Dimitri! Absolutely and precisely when the moving average is crossed.
If you carefully draw a histogram of price deviations from a moving average in Excel with a VERY large number of measurements, you will see a nice picture - with different sample amounts this histogram is very similar to the incremental histogram. And it reaches maximum similarity when the sample volume is calculated according to the formula given in this branch.
Therefore, when the price reaches the average line - it is necessary to leave the trade, because further on we cannot say in what direction the price will go - the chances are 50/50.
As for stop-losses or take-profits - I'll not set them out as a matter of principle - I fully trust the theory of probability. I believe in it like a devout parishioner :))))))))
For example, for AUDCAD the histogram of deviations from the moving average looks as follows:
Link to calculations:https://yadi.sk/d/_nJeyDnD3Qw3uS
It's nice, isn't it?
The only thing - I draw your attention that this data is obtained by taking tick data in exponential time intervals!
Greetings, Dimitri! Absolutely and precisely when the moving average is crossed.
If you carefully draw a histogram of price deviations from a moving average in Excel with a VERY large number of measurements, you will see a nice picture - with different sample amounts this histogram is very similar to the incremental histogram. And it reaches maximum similarity when the sample volume is calculated according to the formula given in this branch.
That is why when the price reaches the average line - we should exit the trade, because further on we cannot say in which direction the price will go - chances are 50/50.
As for stop-losses or take-profits, I will not set them out as a matter of principle - I fully trust the theory of probability. I believe in it like a devout churchgoer :))))))))
In principle, the system seems to be working. Another thing is the performance and risks (minus overheads). At least the ts on Bollinger is one of the few "crazy" working systems.
I call "crazy" those TSs, which assume, that price tends to the average price, and not vice versa).
About the stops - wrong. "The Black Swan has never been cancelled. You know the saying: "What is the probability of meeting 50 men in a row"?)))
In principle, the system seems to work. Another thing is the performance and risks (minus overheads). At least Bollinger is one of the few "crazy" working systems.
I call "crazy" those TSs, which assume, that price tends to the average price, and not vice versa).
About the stops - wrong. "The Black Swan has never been cancelled. You know the saying: "What is the probability of meeting 50 men in a row"?)))
Yes, I agree - there are and will be negative trades. For example, concerning the EURCHF pair I met an unbelievable fall in the model about a month and a half ago - when the price went through all possible limits - both through historical and current ones and nonparametric skew was up to -0,75 at that moment! (Normally modulo - 0 to 0.4) Just fantastic! And there's nothing you can do about it, alas... It's that 0.1% out of 100% that's out of sample.
Yes, I agree - there are and will be negative trades. For example, about a month and a half ago I met an unbelievable drop in the EURCHF pair - when the price went through all possible limits - both through historical and current ones and nonparametric skew at that moment reached -0.75!!! (Normally modulo - 0 to 0.4) Just fantastic! And there's nothing you can do about it, alas... It's that 0.1% out of 100% that is not counted in the sample.
Hence there is a similar task - to determine the parameters of stop, so as not to kill productivity. This will be more difficult. That's what my friend Stirlitz was talking about.)
All this is IMHO, of course.
Hence the similar task of determining the parameters of the stop, so as not to kill the performance. And this will be more difficult. That's what my friend Stirlitz was talking about.)
All this is IMHO, of course.
Hmmm... And the notorious moneymanagement? If the deposit has, for example, $100 and an order is just 0.01 lots? Then the deposit will not go to zero even in such a case. And such "black swans" occur very rarely.
If you are not interested in making money, then yes, it is a good way (probably the only way). Academic interest is there too.
Interested, interested :)))) Still, I think Forex is not originally a toy for poor people. Money for money, as they say. To exclude risks and to have good income you have to have not less than $1000 on your account IMHO.
But, poor as mice, but clever people should not despair - we should create a great, profitable TS and sell it to foreign fools on English forums. Again, IMHO.
Why foreigners? We have enough fools of our own. Our fools are the country's only inexhaustible resource...
!!!!!!!!! Greetings, Denis! Haven't seen you in a while!