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  • #81
  • Jun 17, 2017 4:38pm Jun 17, 2017 4:38pm
Quoting Js3mwtRc
Hi all experts here in this thread I read for many Years all of you and I can say you are the best in this forum. I don't know many things about Mathematics and my question is, do you think that the same problem (The Monty Hall Problem) can be aplied for divercification of a portfolio, but when choosing more than three instruments to trade will it have the same effectiveness (better results), what are your thoughts?
good question......

lets think about it... so perhaps you take 3 positions on three non-correlated pairs to be your three doors... each trade(position) has 10 pips sl and 10 pips tp lets say.....

what would be your goat door being opened?

once one of them hits sl, you consider that the door being opened with a goat? hmmmmmmmmmm i dunno

Is that the kind of think you had in mind
  • #82
  • Jun 17, 2017 5:09pm Jun 17, 2017 5:09pm
Quoting Mingary
A random walk with constraints through a price time series The constraints are imposed by the current price series condition. As in the Monty Hall problem, we switch door until we find "the jack pot". There is a cost to switching doors. The similarity with a martingale stops here. Most Martingale strategies have a constant win and almost unlimited draw down (big risk, small profit) {image} 1300 lines of code just to do this... I need a break.
market is not random

it will mc sooner or later, sooner then later


this curve explains everything
trading single instrument n changing the direction of trade w multiplied lot size after one goes opposite
Attached Image
WaBaS Where are Buyers and Sellers
  • #83
  • Jun 17, 2017 5:29pm Jun 17, 2017 5:29pm
look at the sizing
every switch has 3 different sizes of trades.
initial takes random direction, if it goes reverse second n bigger size traded reverse, if it goes reverse this time 3rd trade n huge size traded initial direction

the jackpot is if second goes further before 3rd needed
if 3rd trade needed exit BE asap
Attached Image
WaBaS Where are Buyers and Sellers
  • #84
  • Jun 17, 2017 5:34pm Jun 17, 2017 5:34pm
n I cant believe tons of so called traders discussing simple mc'er idea here for days
WaBaS Where are Buyers and Sellers
  • #85
  • Edited Jun 18, 2017 4:10am Jun 17, 2017 11:00pm | Edited Jun 18, 2017 4:10am
Quoting mr.brown
{quote} market is not random it will mc sooner or later, sooner then later this curve explains everything trading single instrument n changing the direction of trade w multiplied lot size after one goes opposite {image}
1) If the market were not random it would not function as the economic device that it's supposed to be.

2) To be successful, any system must have a way to keep the winners to be bigger than the losers.

3) Since ALL automated systems in existence fail eventually with a logical (i.e. market not random) approach, the market must be treated as probabilistic rather than deterministic.

... number 1) , however is the main point. Any move in any market is always explained after the facts.

The trading public is sold a lie everyday .. after all we want joe public to open that account ... (;
  • #86
  • Jun 18, 2017 12:56am Jun 18, 2017 12:56am
Quoting dagoods
{quote} good question...... lets think about it... so perhaps you take 3 positions on three non-correlated pairs to be your three doors... each trade(position) has 10 pips sl and 10 pips tp lets say..... what would be your goat door being opened? once one of them hits sl, you consider that the door being opened with a goat? hmmmmmmmmmm i dunno Is that the kind of think you had in mind
Hi dagoods, my thinking is that after one, or two wins the next door will be a goat. Also you set another one problem, but it is the reverse of what I was thinking. Your knowledge and any online material would be very helpful.
Looking for profitable short term trades ...|
  • #87
  • Jun 18, 2017 5:52am Jun 18, 2017 5:52am
Quoting Mingary
{quote} 1) If the market were not random it would not function as the economic device that it's supposed to be. 2) To be successful, any system must have a way to keep the winners to be bigger than the losers. 3) Since ALL automated systems in existence fail eventually with a logical (i.e. market not random) approach, the market must be treated as probabilistic rather than deterministic. ... number 1) , however is the main point. Any move in any market is always explained after the facts. The trading public is sold a lie everyday .. after all we...
market is not random
ur silence on t system explanation tells me Am right, thank u
WaBaS Where are Buyers and Sellers
  • #88
  • Jun 18, 2017 6:57am Jun 18, 2017 6:57am
Quoting mr.brown
{quote} this curve explains everything trading single instrument n changing the direction of trade w multiplied lot size after one goes opposite {image}
I thought so too earlier today when I was reading this thread....but Mingrary said that entry was random...so maybe entry could be for example doji, just to get (maybe) better start..just thinking out loud here

and it is not bad if you can make money with it
  • #89
  • Jun 18, 2017 6:59am Jun 18, 2017 6:59am
Quoting Js3mwtRc
{quote} Hi dagoods, my thinking is that after one, or two wins the next door will be a goat. Also you set another one problem, but it is the reverse of what I was thinking. Your knowledge and any online material would be very helpful.

i don't have any knowledge bro other than googling monty hall problem like anyone can do. google.com "Monty Python" for some laughs.

pl explain your idea with concrete examples for the sake of clarity.
  • #90
  • Jun 18, 2017 7:22am Jun 18, 2017 7:22am
Quoting juhanimi
{quote} I thought so too earlier today when I was reading this thread....but Mingrary said that entry was random...so maybe entry could be for example doji, just to get (maybe) better start..just thinking out loud here and it is not bad if you can make money with it
"initial takes random direction"
initial entry random. I said the same
WaBaS Where are Buyers and Sellers
  • #91
  • Jun 18, 2017 7:23am Jun 18, 2017 7:23am
Quoting juhanimi
{quote} I thought so too earlier today when I was reading this thread....but Mingrary said that entry was random...so maybe entry could be for example doji, just to get (maybe) better start..just thinking out loud here and it is not bad if you can make money with it
u can or u can not
its same as coin toss or blackjack, u know at t very beggining that any trade can be last trade. including t very first one
WaBaS Where are Buyers and Sellers
  • #92
  • Jun 18, 2017 7:37am Jun 18, 2017 7:37am
actually I did some experiment earlier today
m1 eurusd and 20 smoothed ma and 40 lwma to that, and it looks like you could actually make money with that

just adding 1,2,3,4,5,6,7...
  • #93
  • Jun 18, 2017 10:44am Jun 18, 2017 10:44am
Quoting dagoods
{quote} i don't have any knowledge bro other than googling monty hall problem like anyone can do. google.com "Monty Python" for some laughs. pl explain your idea with concrete examples for the sake of clarity.
I have never watched this movie, but heard of it many times

Just getting ideas for an idea of mine which includes some martingale, here is my approach, buy the first swing break on an upward trend on 5 minutes, or sell the first lower high (on an upswing too) from below with 0.01 lots - whatever comes first and add a stop loss above/below the swing top/bottom, also open a second reverse position with double the lots, if there is a loss. The rule is to only add two positions every day targeting from the first entry 20 pips plus spread and, if the stop loss is being hit then take for profit the loss of your first trade. If the second position is a loss too, then start the next day with the same lots (0.01 and 0.02) until you cover the loss, make some money, or lose the invested amount. It will be hard to recover a loss, but the system should give every day wins. I also think that, if I split the investing amount and use three different pairs I may cover faster some losses, but here is the problem and reading this thread I thought it might help. Who can help?
Looking for profitable short term trades ...|
  • #94
  • Jun 19, 2017 5:39am Jun 19, 2017 5:39am
Quoting Mingary
A random walk with constraints through a price time series The constraints are imposed by the current price series condition. As in the Monty Hall problem, we switch door until we find "the jack pot". There is a cost to switching doors. The similarity with a martingale stops here. Most Martingale strategies have a constant win and almost unlimited draw down (big risk, small profit) {image} 1300 lines of code just to do this... I need a break.
Hi Bro, don't mind my little input as I found this thread interesting but I don't understand the whole of your research much due to lack of disclosure.

As you mentioned "constraint", I related it to Monty Hall with 2 options, to switch or not to switch. So I will suggest the below from Wiki.

[Safety valves open fully once activated, while relief valves open gradually. Relief Valve is the term used to describe relief device on a filled vessel. For such a valve the opening is proportional to increase in the vessel pressure. ... When the set pressure of the valve is reached, the valve opens almost fully.]

(1) Switching of door - 2/3 of winning probability
(2) Not switching of door - 1/3 of winning probability

So maybe the Safety/Relief Valve concept can be apply in the door switching because the purpose of the valve is to prevent failure or relief pressure(Balance/Equity upset or Account bust)

Personally how I apply to trading is if I enter a long in the market near a bottom and it go further down, I scale in more to save it, and vice versa much lesser scale in or not scale in at all if I enter in a middle of a trend. I determine the bottom or top using average range of a trend or time range. Eg Daily range if I am trading the daily.

Anyway hope to hear more from your ideas. Thanks.
The only winner is the one who survive the longest...
  • #95
  • Jun 19, 2017 8:25am Jun 19, 2017 8:25am
Does anyone explain this system in detail? In practice, what do you need to do?
  • #96
  • Edited 9:38am Jun 21, 2017 1:04am | Edited 9:38am
The safety/release valve at work
I was inspired by this:
https://www.ethz.ch/content/dam/ethz/special-interest/mtec/chair-of-entrepreneurial-risks-dam/documents/dissertation/master%20thesis/thesis_lera.pdf
Good thing I don't understand the math, I went totally left field when my very limited understanding of this paper "A Random Walk with Constraints" got mixed with the "Monty hall problem"

How does one "drive" a random price series resulting in a positive slope ?

Attached Image (click to enlarge)
Click to Enlarge Name: safetyvalve.gif Size: 22 KB


.. still a WIP.
  • #97
  • Edited 1:58am Jun 21, 2017 1:13am | Edited 1:58am
Quoting Mingary
The safety/release valve at work I was inspired by this: https://www.ethz.ch/content/dam/ethz/special-interest/mtec/chair-of-entrepreneurial-risks-dam/documents/dissertation/master%20thesis/thesis_lera.pdf Good thing I don't understand the math, I went totally left field when my very limited understanding of this paper "A Random Walk with Constraints" got mixed with the "Monty hall problem" How does one "drive" a random price series on a positive slope ? {image} .. still a WIP.
mmmm. I think there is drift (bias) in there. Perhaps your constrained random walk is working from an initial condition (eg. the prior bars close) that has autocorrelation. Constrained random walks are not necessarily random. For example refer to GoldtheHun's great thread (https://www.forexfactory.com/showthread.php?t=653850).
  • #98
  • Jun 21, 2017 2:01am Jun 21, 2017 2:01am
Quoting Copernicus
{quote} mmmm. I think there is drift (bias) in there. Perhaps your constrained random walk is working from an initial condition (eg. the prior bars close) that has autocorrelation. Constrained random walks are not necessarily random. For example refer to GoldtheHun's great thread (https://www.forexfactory.com/showthread.php?t=653850).
Thanks for the info. No doubt there is a drift sometime.
The initial condition should be irrelevant.
  • #99
  • Jun 21, 2017 8:14am Jun 21, 2017 8:14am
Quoting kinspk
{quote} Hi Bro, don't mind my little input as I found this thread interesting but I don't understand the whole of your research much due to lack of disclosure. As you mentioned "constraint", I related it to Monty Hall with 2 options, to switch or not to switch. So I will suggest the below from Wiki. [Safety valves open fully once activated, while relief valves open gradually. Relief Valve is the term used to describe relief device on a filled vessel. For such a valve the opening is proportional to increase in the vessel pressure. ... When the set...
IMO. The safety valve stuff refers more to keeping lot size in check, opening a door requires a lot-size (key), you might have to open a hundred doors before getting the right one, therefore at some point in your door to door switch you have to have a safety release valve to relieve the pressure of lot-size accumulation on your account as well as use the 'released pressure' i.e lot-size to open other doors, my experiment still blows though..
  • #100
  • Jun 21, 2017 8:22am Jun 21, 2017 8:22am
Quoting Mingary
The safety/release valve at work I was inspired by this: https://www.ethz.ch/content/dam/ethz/special-interest/mtec/chair-of-entrepreneurial-risks-dam/documents/dissertation/master%20thesis/thesis_lera.pdf Good thing I don't understand the math, I went totally left field when my very limited understanding of this paper "A Random Walk with Constraints" got mixed with the "Monty hall problem" How does one "drive" a random price series on a positive slope ? {image} .. still a WIP.
It would be nice if you explain what are the scenarios/decisions you make to swich sides.
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