Would someone answer my questions in post 117?
- | Joined Aug 2007 | Status: I keep my eyes open | 1,108 Posts
One Chart is Worth Ten Thousand Words.
New very cool CandleTime and session time Clock indicators 188 replies
Rsi cross indicator? (NOT cross 50, etc) 44 replies
very cool Trading Panel EA needs some adds 19 replies
Royal Cross/Fresh Cross 7 replies
World Market Hours - Very Cool 8 replies
DislikedFor MA_Optimizer, I obtained similar results as Tdion using daily charts. However, if I try any time frame lower than daily, the optimization results are not good. When I first tried optimization, there were no results, and I looked in the journal and there was a message, "81 passes were made and 81 were disregarded as insignificant". I then unchecked the box to skip useless results. I was then able to get results - for 1m gbpusd, the optimized profit ranged from 0 to -10K from 7/08 to 8/08. Has anyone been able to get good optimization results on charts less than daily? If so, would you post in this thread? Any thoughts on what I am doing wrong? I have downloaded history records within my platform (FxPro): # of records are: 1M = 3000K, 5M = 703K, 15M = 237K, 30M = 119K, 1HR = 60K, 4HR = 15K, Daily = 3K.Ignored
DislikedSo long w/ an RSI above X? You're optimizing for X and the RSI period?
What exit?Ignored
DislikedAre you familiar with the math for "margin of error" ? Since you're dealing with return series data it should be close to a normal distribution.
Linky:
http://en.wikipedia.org/wiki/Margin_of_error
So lets say you want a 99% confidence you'd have:
margin of error = 1.29/sqrt(n)
So let's say we want a margin of error no greater than 5%, just plug it in and solve for n.
Ends up slightly under 700 trades. Naturally less if you want less confidence or a higher margin of error. Still, tells you how accurate your returns should be.Ignored
QuoteDislikedLet me explain. By taking several pairs and trading different algorithms on them, we will have several small population sizes instead of one large one.... so the analysis can't be applied to all the trades together.
DislikedStill, 500 trades in isolation can give you a confidence level and a margin of error. As such, you could probably determine when a series of trades goes outside of your bounds and alert yourself accordingly that things may have changed.Ignored
DislikedAnd how does a statistician (such as yourself) deal with market conditions changing, thus adversely effecting a characteristic that was present for 20+ years?Ignored
DislikedTdion i aways though that frequency was one of the most important things in trading.Ignored
DislikedHere is a 30 year backtest for the GBPUSD w/ the RSI Optimization MA (I never posted it)
17,000 pips after spreads/rollover.
So that is a 3rd COMPLETELY DIFFERENT strategy for trading daily's to add to the EURUSD monthly strategy and the USDJPY cross.
If I get up to 100,000 pips with a few more strategies as consistent as these, I will trade them live.Ignored