Some signs of the right TCs - page 37

 
fxsaber #:

There are no questions about the normalisation algorithms.

Suppose there are two characters with digits = 5. One changes by 0.1% per day, the other by 5%. It turns out that the second one should be decreased 20 times to fit the first one.

To do this I had to calculate the size of volatility, not how much the price of one digit differs from the price of the other.

It depends on why you want to compare. Normalization to the same ranges is not always necessary. And you can compare just percentage changes of variables without normalization.

 
fxsaber #:

There are no questions about the normalisation algorithms.

Suppose there are two characters with digits = 5. One changes by 0.1% per day, the other by 5%. It turns out that the second one should be decreased 20 times to fit the first one.

I had to calculate the size of volatility, not how much the price of one digit differs from that of another.

It can be solved with optimization methods.

Variables - amount or fraction of capital for each symbol.

Target - maximize profit or minimize dispersion of balance curve or....

Constraints

Even in Excel you can solve - the Find Solution setting

 
fxsaber:

Market patterns do not change in the cases of

  • Multiplication of symbol prices by a non-zero constant.
  • Symbol flip (1/Symbol).

As a conclusion, proper TS should give identical trade signals when run on any custom symbol derived from the original action described above.


For example, we took the EURUSD. We ran the TS, getting a series of entries.

Then we created the symbol 100/EURUSD. Then we ran the TS. Entries should coincide with the original ones.


If this does not happen (99%), the TS is not written correctly.


How TS should react to the symbols, raised to some degree - I do not understand.

I'll add a selves ))))

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