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The Grail has been burned again, for crying out loud.
Whoever needs it, will check it out. I won't use this method anyway - it's not mine.
And it's not hard to change the bollinger from a return to a trending TS - when the threshold is reached, it opens out of the channel.
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From theory to practice. Part 2
Oleg avtomat, 2021.04.19 04:03
Sectarians, how do you think it is or is not possible to make money from a sine wave?ah, hang the sectarians ... do not know the answer ... Obviously, the question is too complicated for them, unbearable ...
Sectarians, can I give you a hint?
They can do it if you give them the formula y=A*Sin(2*pi*f*t+F) and give the amplitude, frequency phase. Many people try to do the same on the market - to act in a rut, looking for a similar formula, for example by selecting neural networks (Method of prediction of the next value or the most advanced - "behavior pattern"). But since by definition the next value, for example on SB, is not known, then according to sectarians, it is impossible to make money: ))))
But it is possible to make a "hedgehog move" and write a rather simple system, which will always earn on this "sinusoid" regardless of frequency, phase and amplitude. I did. I always thought that the right way is to learn to earn on simple charts, gradually complicating them and bringing them to the market.
This is the picture I have in my mind - Soros has a generator with pens in his bedroom. He wakes up to take a piss and changes the phase between cases or frequency, but the system does not care about it.
Of course, there are many ways to make money on the "sine", but the right ones will be those that do not depend on frequency, phase and amplitude of the sine. And on the rest of the graphs you have to do the same. In general, all in radio amateurs sign up - sines torture! Until you learn the right way on the sine - too early to the markets :)))
The main argument of sectarians about the inability to make money on SB is the following: the mathematical expectation of SB is zero.
And sectarians do not realize that such argumentation indicates their complete lack of understanding of the task of making money from SB. Stupid thoughtless formalism.
The mathematical expectation of the process is not a factor that determines the possibility or impossibility to earn from this process. And such a process can be not only SB, but also an infinite number of other processes with anymathematical expectation, including equal to zero.
the mathematical expectation of SB is zero.
Where did this nonsense come from?
Where is this nonsense coming from?
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From theory to practice. Part 2
Aleksey Nikolayev, 2021.04.18 11:52
Yes, the expected payoff of equity is always equal to zero, as defined by SB. However equity, in contrast to the price, will no longer be MTB which sometimes leads to apparent paradoxes (like the equity of martingale).
It is more complicated here. On SB, it is always zero on average (not including the spread). Because of non-stationarity - a good plus when correctly guessing the direction becomes a good minus when incorrectly guessing the direction) Opportunity to earn is also a potential devastating loss) On the example of your system - sometimes it turns out that you need to trade along the trend as well)
You may try to build a stationary spread or a portfolio of several instruments.
Forum on trading, automated trading systems and trading strategies testing
From Theory to Practice. Part 2
Aleksey Nikolayev, 2021.04.18 16:29
If the lot is fixed, so it is. But all attempts to "earn" in SB consist exactly in permanent changes of volumes and direction of trades. This may lead to complex and bizarre volatility fluctuations and the similarity with SB may get lost, though the zero expected payoff will not go anywhere.
you are still young, so you need to be more careful.
you are still young, so you need to be more careful.
MO Equity is not MO SB.
Don't make this up.
MO Equity is not MO SB.
Don't make this up.
You need to add a little more understanding to your arrogance, you're missing the point.
You need to add a little more understanding to your insolence, you're completely absent.
))) Once again, Nikolaev wrote that the equity curve on the SB has an MO equal to 0.
Not the MO of SB, but the MO of equity
To be fair, it should be noted that the MO of both white noise and integrated white noise = the initial reference point. In experiments, most often = 0.
However, this does not change the essence of the matter.
A. Nikolaev asserts that when trying to earn on SB, the deposit will remain equal to the initial one, i.e. the expected payoff = 0.
But this assertion is more than dubious. Here I am inclined to trust Wizard.