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(binned per thread starter's request) The Monty Hall Problem appl

  • #1
  • First Post: Edited 6:55am May 7, 2017 6:32am | Edited 6:55am
1) the price-time series is random
2) entries react to price discovery (opening a door)

The code makes position adjustment according to price discovery (i.e. opening a door)


Attached Image (click to enlarge)
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The idea is to navigate through the random price series while keeping a positive account balance.
  • #2
  • May 7, 2017 8:20am May 7, 2017 8:20am
Look like martingale graph. Looking forward for this project
Risk comes from not knowing what you're doing.
  • #3
  • Edited 1:04am May 18, 2017 12:51am | Edited 1:04am
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)

Attached Image (click to enlarge)
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1300 lines of code just to do this... I need a break.
  • #4
  • Edited 7:47am May 21, 2017 7:31am | Edited 7:47am
I needed a safety valve to release the pressure when opening too many "Monty Hall doors" ...
So, I found this indicator:

Attached Image (click to enlarge)
Click to Enlarge Name: SteamRelaesevalve.png Size: 282 KB


Whoever came up with this piece of engineering, thank you !

Attached Image (click to enlarge)
Click to Enlarge Name: WithSafetyValve.gif Size: 19 KB


1437 lines of code, I really need a break now ...
  • #5
  • May 21, 2017 7:56am May 21, 2017 7:56am
Quoting Mingary
I needed a safety valve to release the pressure when opening too many doors ... So, I found this indicator.. Whoever came up with this piece of engineering, thank you !

I have two questions.

1. What machinery/component is that? I mean the whole thing in the picture.

2. Do you have a maximum lot-size limit?

Now you're going to have me asking myself "What do pilot operated safety release valves have to do with trading?" - Lol. I give up already.
Attached Image

Do tell.



PS: I can tell your plan of attack is good looking at how equity stays above balance even when wrong doors are opened. Steady green with envy here.
  • #6
  • May 24, 2017 3:49pm May 24, 2017 3:49pm
Hi Mingary, can you talk more about the safety valve release? cant seems how to associate it into trading, the DD from martingale is very well know, curious how you managed to implement this safety valve release

subscribed

Thanks
  • #7
  • May 24, 2017 4:00pm May 24, 2017 4:00pm
congrats mingary. i was thinking of how to apply to the markets.... curious how you solved it, if you care to share the logic.


>>> https://www.forexfactory.com/showthread.php?p=9652404#post9652404

i tried to describe how i envisioned it may work... is that basically how you did it?
  • #8
  • May 24, 2017 11:52pm May 24, 2017 11:52pm
Quoting Mingary
I needed a safety valve to release the pressure when opening too many "Monty Hall doors" ... So, I found this indicator: {image} Whoever came up with this piece of engineering, thank you ! {image} 1437 lines of code, I really need a break now ...

I think the steam engine inventor was James Watt and following his invention a few others came along and made new features and improvements that led to the steam locomotive railway in the 1800s.

My grandfather gave me a brass working model (like the one shown in the pic below) when I was a teenager and I still have it in my treasure box stowaway.

Attached Image


Your analogy using the safety valve release is excellent. But in trading we need to give this baby a proper name. Use this safety valve as pre-set condition when the 'martingale averaging down' has reached a limit defined by the trader and that safety valve will be activated along with the price-time series.

My live forward testing done this week from May 22 till today.

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Honesty is a very expensive gift. You wont find it in cheap people.WBuffett
  • #9
  • May 25, 2017 7:08am May 25, 2017 7:08am
Not 100% sure but I think I am on track with Monty Hall switch door before NY open.

Attached Image (click to enlarge)
Click to Enlarge Name: Fast and Furious_4 May25 LO NY.png Size: 31 KB
Honesty is a very expensive gift. You wont find it in cheap people.WBuffett
  • #10
  • May 25, 2017 8:20am May 25, 2017 8:20am
I'm intrigued after reading up on the various proofs for the Monty Hall Problem.
But how do you relate the three doors to placing trades?
  • #11
  • May 25, 2017 9:10am May 25, 2017 9:10am
It appears to have elements in common with this strategy:

https://www.forexfactory.com/showthread.php?t=405
  • #12
  • May 25, 2017 4:05pm May 25, 2017 4:05pm
How do you keep your equity on the positive side while averaging down? thats crazy
  • #13
  • May 25, 2017 5:56pm May 25, 2017 5:56pm
Quoting Rodlex
How do you keep your equity on the positive side while averaging down? thats crazy
Do not think of averaging down being no a good thing. Just think of the average entry price using several trade entries when the market in trending. Some may like to call this Position Building.

We were back-testing a year ago in this thread. See this link:

https://www.forexfactory.com/showthread.php?p=8877644#post8877644
Attached File(s)
File Type: pdf How to Build a Position.pdf   3.1 MB | 1,955 downloads
Honesty is a very expensive gift. You wont find it in cheap people.WBuffett
  • #14
  • May 25, 2017 7:13pm May 25, 2017 7:13pm
Thank you for the PDF . I read a similar article recently, I can't remember the website though.

What happens when price goes against you? how would you manage that? according to your own version of averaging down, your balance would be going down which makes sense as the market is going against you and since you are still opening positions you might get a margin call, so you have to close those orders or at least a couple of those, however, your equity is going up at the same moment or at least staying on the same place, not getting affected by this "drawdown". That is what I don't get, how do you manage to do that?
On a regular martingale strategy you would be out.
Does this involves hedging or something like that? I am just trying to connect the dots here.
  • #15
  • May 25, 2017 11:10pm May 25, 2017 11:10pm
Hi TMS traders !!
I always enjoy Emm's posts and TMS conversations!!!

I've watched AU Daily chart and found this set up good and open a short trade ..
It's good looking but it's Friday ... Should I close it or keep it through weekend ..??

Thank u all !!
Attached Image (click to enlarge)
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  • #16
  • May 26, 2017 2:02am May 26, 2017 2:02am
Quoting Mattse
Hi TMS traders !! I always enjoy Emm's posts and TMS conversations!!! I've watched AU Daily chart and found this set up good and open a short trade .. It's good looking but it's Friday ... Should I close it or keep it through weekend ..?? Thank u all !! {image}
you posted on the wrong thread
  • #17
  • May 26, 2017 2:15am May 26, 2017 2:15am
Quoting bistolis
{quote} you posted on the wrong thread
LoL!! to much reading !!

Thank you !!!
  • #18
  • May 26, 2017 3:38am May 26, 2017 3:38am
This thread is slightly more amusing than your usual homeopathic version of Batman villain style posts.
Gone to a better place
  • #19
  • May 26, 2017 3:57am May 26, 2017 3:57am
The premise is flawed as the Monty Hall problem relies on the first door being opened that is a certain looser in order to increase the odds for the switched door.
  • #20
  • May 26, 2017 3:59am May 26, 2017 3:59am
"The Monty Hall Problem" only has a statistical advantage because Monty Hall knows where the prize is. He has to open a door that dosen't have the prize behind it - before offering you the opportunity to stay or switch.
You're using Monty Halls knowledge of where the prize is to your advantage.
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