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- yoriz replied 17 hr ago
Happy to check, but I am not sure how to read your scatter plot. If you put the TP at 35 pips, and the dots represent all cases were the TP was hit, then I expected all the dots to be on a vertical line at PosMax=35 pips with various PosMin pips. ...
- yoriz replied 24 hr ago
Sorry, I messed up my post while editing. If you refresh the page it should be all good now. Even worse: as you can see in the graph, sometimes price first visits -140 pips before reaching the +35 pips TP. So by exiting your trade at -140 pips you ...
- yoriz replied 25 hr ago
Suppose we go long and set a TP at +35 pips. In those 20% of the cases the TP was not reached, what prices did it touch? image In those 80% of the cases the TP was reached, what prices did it touch before reaching the TP? image It is this last ...
- yoriz replied 25 hr ago
Yes, I was able to reproduce your observation! Here is a histogram of the price excursion on GU after 100 H1 bars: image Well, now it looks like you can easily make 35 pips, but the question is what to do in the 20% of the cases that the price is ...
- yoriz replied 26 hr ago
Ok, perhaps a bit off-topic, but I doubt marketmakers do that. There are thousands of possible strategies they would all need to sabotage. No, most traders are "gamblers" (Martingale, Grid, Averaging Down, etc.) and will themselves take care of ...
- yoriz replied 38 hr ago
YES! That was it! Thank you for refreshing my memory.
- yoriz replied Jun 1, 2024
The approach by @neurotrader was a bit different from @W0lfram's candlestick patterns. But if we use different numbers instead of O, H, L, C we could try the same. In post #2 @W0lfram described the rules for a Hammer. Also in the paper linked by ...
- yoriz replied May 31, 2024
It appears to be possible to have an edge by comparing OHLC prices of the recent bars. A person named @neurotrader did some experiments: video Although very educational, you can skip the section about the genetic algorithm and jump to the Walk ...
- yoriz replied May 31, 2024
Thanks! That was interesting to read. However, their conclusion is not useful for practical applications. They tested two cases. When a Hammer forms, then... 1. price often still drops below the close-price of the Hammer bar -> no significant effect ...
- yoriz replied May 30, 2024
As a proper scientist I tried to reproduce the results of a peer... (Well, actually I was just curious ;-)) I get the same results on GU. Another way to look at the data is to plot the minimum/maximum excursion of both a random sampling and the ...
- yoriz replied May 30, 2024
I believe commonly used names for this are: Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE). EDIT: Uh, no my bad. Since we are looking for both long and short opportunities there is no "favorable" direction. So maximum/minimum ...
- yoriz replied May 30, 2024
Can you please elaborate on that? Based on your graphs there doesn't seem to be SL/TP levels that on average give a profit. I love your systematic detailed analysis! No gut feeling but exact science. What is not to love? ;-) Looking forward to your ...
- yoriz replied May 29, 2024
Usually the cost of spread, slippage & commission of closing your position at the end of the day and reopening the next day is higher than the swap. Perhaps except on Wednesday when you pay tripple swap.
- yoriz replied May 28, 2024
I found this article interesting: “All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms”. They studied a huge amount of strategies. Two remarkable statements they make: Commonly ...
- yoriz replied May 28, 2024
Sorry if I misunderstood, but like I wrote: I think you can expect to get the same performance as you are seeing in a WFO. In fact, you can measure the difference in performance between In-Sample and Out-of-Sample during the WFO. You might for ...
- yoriz replied May 28, 2024
Lets assume your backtests matches the live execution at your broker in terms of spread, slippage, delays, etc. For strategies that keep their positions open for hours that is usually the case, for scalping strategies that keep positions for a few ...
- yoriz replied May 27, 2024
Just based on the equity curve of an optimization there is nothing you can say about the forward test. It is not hard to find beautiful equity curves with optimization, but that says nothing about the profitability of your strategy or whether it ...
- yoriz replied May 25, 2024
Usually I have two settings: Number of lookback months (e.g. 30 months) -- the EA will only use the trading results of the last 'x' months when calculating the performance of each strategy. This ensures we look at recent data, not old data. ...
- yoriz replied May 25, 2024
It doesn't matter. Your equity probably changes a few percent in 3 weeks interval you use in your backtest. That only means the most recent trades weigh a few percent heavier in the optimization, but that is a neglectible effect. If you are really ...
- yoriz replied May 25, 2024
I don't know if there are any products out there. I embedded a Walk Forward Optimization in the code of my EA so it updates itself automatically during backtesting, and most importantly: during live trading. My EA reoptimizes itself automatically. I ...