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Lapsa's very own thread #483948
08/17/21 13:08 08/17/21 13:08

Joined: Aug 2021
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Lapsa

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I want to document my experiments somewhere.
This seems like a decent place. I like forums.
Feedback is welcome.

------------------------

Cycles

My latest obsession is cycles. Been thinking a lot about what would be good ways to utilize Hilbert's Transform Dominant Cycle.

So today wrote a small script to compare how fixed length SMA looks compared to dc_period long SMA to see if I spot anything meaningful.

Conclusions are kind of obvious:
- lags less when dominant cycle is shorter than fixed one
- lags more when longer

Picked length 23 cause it looked like kind of average of what dominant cycle tends to spin around.

So I thought:
"Ok... but how that visually compares to The Shapeshifter of MA`s aka KAMA"?

The effect is same although SMA behaves much differently than KAMA.

So really... No huge revelations here.

Lets smash in some trade signals!!!111eleven

Last edited by Lapsa; 08/17/21 20:45.

Re: Lapsa's very own thread [Re: Lapsa] #483949
08/17/21 20:10 08/17/21 20:10

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Ehler's "Modified Simple Moving Averages"

Last edited by Lapsa; 08/17/21 20:45.

Re: Lapsa's very own thread [Re: Lapsa] #483950
08/17/21 20:44 08/17/21 20:44

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EMA Ribbon

So I've been reading that book.
Yesterday it got me wondering - how exactly EMAs with varying alphas look like.

Looks beautiful.

Can't help but see that graph in 3D.
Reminds me of Sietches from Dune.

Ohkay... Is there an application for bunch of EMAs?

One of the most obvious "Market inefficiencies" for an algo trader to exploit is automation itself.

Got me wondering how would ribbon look like with more commonly used time periods.

Frikin sea waves!

Lets smash in some trade signals!!!111eleven

Re: Lapsa's very own thread [Re: Lapsa] #483960
08/18/21 10:58 08/18/21 10:58

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Ehler's "Modified Least-Squares Quadratics"

Last edited by Lapsa; 08/18/21 10:58.

Re: Lapsa's very own thread [Re: Lapsa] #483962 08/18/21 11:26 08/18/21 11:26
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	2 Pole Butterworth filter Quote The Butterworth filter is a type of signal processing filter designed to have a frequency response as flat as possible in the passband. It is also referred to as a maximally flat magnitude filter. Properties of the Butterworth filter are: - monotonic amplitude response in both passband and stopband - Quick roll-off around the cutoff frequency, which improves with increasing order - Considerable overshoot and ringing in step response, which worsens with increasing order - Slightly non-linear phase response - Group delay largely frequency-dependent Code #include <profile.c> var Butterworth2Pole(var* Data, int Period) { var a = exp(-1.414PI/Period); var b = 2acos(1.4141.25180/Period); var c2 = b; var c3 = -aa; var c1 = 1-c2-c3; var* Filt = series(Data,3); // syntax error? TODO: check what happened w/ SETSERIES // SETSERIES(Data,0); series(Data[0],0); // is that an equivalent? return Filt[0] = c1Data[0] + c2Filt[1] + c3Filt[2]; } function run() { set(PLOTNOW); BarPeriod = 1; LookBack = 100; StartDate = 20210702; EndDate = 20210816; vars seriesClose = series(priceClose()); var sma = SMA(seriesClose, 5); var butt = Butterworth2Pole(seriesClose, 5); var butt3Pole = Butterworth(seriesClose, 5); plot("SMA 5", sma, MAIN, SILVER); plot("2 Pole Butt", butt, MAIN, RED); plot("3 Pole Butt", butt3Pole, MAIN, BLUE); } Last edited by Lapsa; 08/18/21 11:59.

Re: Lapsa's very own thread [Re: Lapsa] #483964
08/18/21 18:26 08/18/21 18:26

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Ehler's Decycler Oscillator (fixed)

Quote

Trigonometric functions (Sine, Cosine etc) expect angles in degrees (0..360), while in C and in most other languages angles are in radians (0..2*PI). Log is the logarithm base e as in C.

Seemingly best use:
- set long periods
- 0 crossover for uptrend
- 0 crossunder for downtrend

Last edited by Lapsa; 08/21/21 23:34.

Re: Lapsa's very own thread [Re: Lapsa] #483965 08/18/21 19:25 08/18/21 19:25
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote One of the amazing characteristics of a band-pass filter is that if the center period of the filter is tuned to a static sine wave whose period is the same as the center period of the filter, then there is absolutely no lag in the output.

Re: Lapsa's very own thread [Re: Lapsa] #483967
08/19/21 20:24 08/19/21 20:24

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Lapsa

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Ehler's "Adaptive Stochastic Indicator"

I'm proud and happy I pulled this one through.

Well... Sort of.

Running Tests multiple times produces different results.
Not sure why. Yay!

Something memory, variables, pointers whatnot related.
`MaxPwr` looks like potential troublemaker.

Interestingly, adaptive CCI source code has this:

Code

//Find Maximum Power Level for Normalization
MaxPwr = .991*MaxPwr[1];

Also - overall computation seems notoriously slow.
Like 3 seconds for a single day.
Something I've been doing wrong.

When it works - results look legit.

Haven't finished the book.
Not sure if this one is supposed to be equivalent of Zorro's bundled StochEhlers indicator.
They do look similar although Zorro's one got some of that buttery smoothing.

All in all - fun but unusable.

TODO:
try to identify the issue by replacing snippets with in-built stuff (e.g. center of gravity)

Code

#include <profile.c>

var rad(var degrees) { return degrees*PI/180; }
var rcos(var degrees) { return cos(rad(degrees)); }
var rsin(var degrees) { return sin(rad(degrees)); }

var AdaptiveStochastic(vars Close)
{
	var AvgLength = 3;
	var M;
	var N;
	var X;
	var Y;
	var alpha1;
	var* HP = series(0,3);
	var a1;
	var b1;
	var c1;
	var c2;
	var c3;
	var* Filt = series(0,3);
	var Lag;
	var count;
	var Sx;
	var Sy;
	var Sxx;
	var Syy;
	var Sxy;
	var Period;
	var Sp;
	var Spx;
	var* MaxPwr = series(0,3);
	var DominantCycle;
	
	var* Corr = series(0, 48);
	var* CosinePart = series(0, 48);
	var* SinePart = series(0, 48);
	var* SqSum = series(0, 48);
	var R[48][2];
	var Pwr[48];	
	
	//Highpass filter cyclic components whose periods are shorter than 48 bars
	alpha1 = (rcos(.707*360 / 48) + rsin(.707*360 / 48) - 1) / rcos(.707*360 / 48);
	
	HP[0] = (1 - alpha1 / 2)*(1 - alpha1 / 2)*
		(Close[0] - 2*Close[1] + Close[2]) + 
		2*(1 - alpha1)*HP[1] - 
		(1 - alpha1) * (1 - alpha1)*HP[2];
	
	
	//Smooth with a Super Smoother Filter from equation 3-3
	a1 = exp(-1.414*3.14159 / 10);
	b1 = 2*a1*rcos(1.414*180 / 10);
	c2 = b1;
	c3 = -a1*a1;
	c1 = 1 - c2 - c3;
	Filt[0] = c1*(HP[0] + HP[1]) / 2 + c2*Filt[1] + c3*Filt[2];
		
	//Pearson correlation for each value of lag
	for (Lag = 0; Lag < 48; Lag++) {		
		//Set the averaging length as M
		M = AvgLength;
		if (AvgLength == 0) M = Lag;
		Sx = 0;
		Sy = 0;
		Sxx = 0;
		Syy = 0;
		Sxy = 0;
		
		for (count = 0; count < M - 1; count++) {
			X = Filt[count];
			Y = Filt[Lag + count];
			Sx = Sx + X;
			Sy = Sy + Y;
			Sxx = Sxx + X*X;
			Sxy = Sxy + X*Y;
			Syy = Syy + Y*Y;
		}
		
		if ( (M*Sxx - Sx*Sx)*(M*Syy - Sy*Sy) > 0 ) {
			Corr[Lag] = (M*Sxy - Sx*Sy)/sqrt((M*Sxx-Sx*Sx)*(M*Syy-Sy*Sy));
		}
	}
	
	for (Period = 0; Period < 48; Period++) {
		CosinePart[Period] = 0;
		SinePart[Period] = 0;
		
		for(N = 3; N < 48; N++) {
			CosinePart[Period] = CosinePart[Period] + Corr[N]*rcos(360*N / Period);
			SinePart[Period] = SinePart[Period] + Corr[N]*rsin(360*N / Period);
		}
		SqSum[Period] = CosinePart[Period]*CosinePart[Period] +
		SinePart[Period]*SinePart[Period];
	}
	
	for (Period = 0; Period < 48; Period++) {
		R[Period][2] = R[Period][1];
		R[Period][1] = .2*SqSum[Period]*SqSum[Period] +.8*R[Period][2];
	}
	
	// Find Maximum Power Level for Normalization
	MaxPwr[0] = .995*MaxPwr[1];
	for (Period = 10; Period < 48; Period++) {
		if (R[Period][1] > MaxPwr[0]) MaxPwr[0] = R[Period][1];
	}
	
	for (Period = 3; Period < 48; Period++) {
		Pwr[Period] = R[Period][1] / MaxPwr[0];
	}
	
	//Compute the dominant cycle using the CG of the spectrum
	Spx = 0;
	Sp = 0;
	for(Period = 10; Period < 48; Period++) {
		if (Pwr[Period] >= .5) {
			Spx = Spx + Period*Pwr[Period];
			Sp = Sp + Pwr[Period];
		}
	}
	
	if (Sp != 0) DominantCycle = Spx / Sp;
	if (DominantCycle < 10) DominantCycle = 10;
	if (DominantCycle > 48) DominantCycle = 48;
	
	//Stochastic Computation starts here
	var* HighestC = series(0, 3);
	var* LowestC = series(0, 3);
	var* Stoc = series(0, 3);
	var* SmoothNum = series(0, 3);
	var* SmoothDenom = series(0, 3);
	var* AdaptiveStochastic = series(0, 3);
	
	HighestC[0] = Filt[0];
	LowestC[0] = Filt[0];
	
	for (count = 0; count < DominantCycle - 1; count++ ) {
		if (Filt[count] > HighestC[0]) HighestC[0] = Filt[count];
		if (Filt[count] < LowestC[0]) LowestC[0] = Filt[count];	
	}
	
	Stoc[0] = (Filt[0] - LowestC[0]) / (HighestC[0] - LowestC[0]);
	return AdaptiveStochastic[0] = 
		c1*(Stoc[0] + Stoc[1]) / 2 + c2*AdaptiveStochastic[1] + c3*AdaptiveStochastic[2];
}

function run()
{
	set(PLOTNOW);
	BarPeriod = 1;
	LookBack = 500;
	StartDate = 20210809;
	EndDate = 20210810;

	vars closes = series(priceClose(), 48);
	var astoch = AdaptiveStochastic(closes);
	
	var original = StochEhlers(closes, 48, 10, 48);
	
	plot("ASTOCH", astoch, NEW, RED);
        plot("Zorro`s EStoch", original, NEW, BLUE);
}

Last edited by Lapsa; 08/19/21 20:49.

Re: Lapsa's very own thread [Re: Lapsa] #483972
08/20/21 17:25 08/20/21 17:25

Joined: Aug 2021
Posts: 237

Lapsa

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Posts: 237

Ehler's "Even Better Sinewave"

Looks usable.

Code

#include <profile.c>

var rad(var degrees) { return degrees*PI/180; }
var rcos(var degrees) {	return cos(rad(degrees)); }
var rsin(var degrees) {	return sin(rad(degrees)); }

var EvenBetterSinewave(vars Close, var Duration)
{
	var alpha1;
	var* HP = series(1,2);
	var a1;
	var b1;
	var c1;
	var c2;
	var c3;
	var* Filt = series(1,3);
	var count;
	var Wave;
	var Pwr;
	
	// HighPass filter cyclic components whose periods are shorter than Duration input
	alpha1 = (1 - rsin(360 / Duration)) / rcos(360 / Duration);
	HP[0] = .5*(1 + alpha1)*(Close[0] - Close[1]) + alpha1*HP[1];
	
	// Smooth with a Super Smoother Filter from equation 3-3
	a1 = exp(-1.414*3.14159 / Duration);
	b1 = 2*a1*rcos(1.414*180 / Duration);
	c2 = b1;
	c3 = -a1*a1;
	c1 = 1 - c2 - c3;
	Filt[0] = c1*(HP[0] + HP[1]) / 2 + c2*Filt[1] + c3*Filt[2];
	
	// 3 Bar average of Wave amplitude and power
	Wave = (Filt[0] + Filt[1] + Filt[2]) / 3;
	Pwr = (Filt[0]*Filt[0] + Filt[1]*Filt[1] + Filt[2]*Filt[2]) / 3;
	
	// Normalize the Average Wave to Square Root of the Average Power
	return Wave / sqrt(Pwr);
}

function run()
{
	set(PLOTNOW);
	BarPeriod = 1;
	LookBack = 100;
	StartDate = 20210702;
	EndDate = 20210816;

	vars close = series(priceClose());
		
	var evenBetterSinewave = EvenBetterSinewave(close, 10);
	
	plot("EBSW", evenBetterSinewave, NEW, BLACK);
}

Refucktored version:

Code

#include <profile.c>

var EvenBetterSinewave(vars Close, var Duration)
{
	var Wave;
	var Pwr;
		
	var* HP = series(HighPass1(Close, Duration), 2);
	if (HP[0] == 0) HP[0] = 1;
	
	var* Filt = series(Smooth(HP, Duration), 3);	
	Wave = SMA(Filt, 3);
	Pwr = (Filt[0]*Filt[0] + Filt[1]*Filt[1] + Filt[2]*Filt[2]) / 3;
	
	return Wave / sqrt(Pwr);
}

function run()
{
	set(PLOTNOW);
	BarPeriod = 1;
	LookBack = 100;
	StartDate = 20210702;
	EndDate = 20210816;

	vars close = series(priceClose());
		
	var evenBetterSinewave = EvenBetterSinewave(close, 10);
	
	plot("EBSW", evenBetterSinewave, NEW, BLACK);
}

Comparison with [CC] EBSW indicator on TradingView:

[Linked Image]

Interestingly - that one allows setting HighPass length separately from SuperSmoothFilter length.

Like this:

Code

var EvenBetterSinewave(vars Close, var HPLength, SSFLength)
{
	var Wave;
	var Pwr;
		
	var* HP = series(HighPass1(Close, HPLength), 2);
	if (HP[0] == 0) HP[0] = 1;
	
	var* Filt = series(Smooth(HP, SSFLength), 3);	
	Wave = SMA(Filt, 3);
	Pwr = (Filt[0]*Filt[0] + Filt[1]*Filt[1] + Filt[2]*Filt[2]) / 3;
	
	return Wave / sqrt(Pwr);
}

Lets smash in some trade signals!!!111eleven

Last edited by Lapsa; 08/22/21 21:50.

Re: Lapsa's very own thread [Re: Lapsa] #483973
08/21/21 13:46 08/21/21 13:46

Joined: Aug 2021
Posts: 237

Lapsa

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Lapsa

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Joined: Aug 2021
Posts: 237

Ehler's "Band-Pass Filter"

Code

#include <profile.c>

var rad(var degrees) { return degrees*PI/180; }
var rcos(var degrees) {	return cos(rad(degrees)); }
var rsin(var degrees) {	return sin(rad(degrees)); }

var BPSignal;
var BPTrigger;

var BandPassFilter(var* Close, var Period, var Bandwidth)
{
	var alpha2;
	var* HP = series(0, 3);
	var gamma1;
	var alpha1;
	var beta1;
	var* BP = series(0, 3);
	var* Peak = series(0, 2);
	var* Signal = series(0, 2);
	var* Trigger = series(0, 2);
	
	alpha2 = (
		rcos(.25*Bandwidth*360 / Period) + 
		rsin(.25*Bandwidth*360 / Period) - 1
	  )  / rcos(.25*Bandwidth*360 / Period);

	HP[0] = (1 + alpha2 / 2)*(Close[0] - Close[1]) + 
		(1- alpha2)*HP[1];
		
	beta1 = rcos(360 / Period);
	
	gamma1 = 1 / rcos(360*Bandwidth / Period);
	alpha1 = gamma1 - sqrt(gamma1*gamma1 - 1);
	
	BP[0] = .5*(1 - alpha1)*(HP[0] - HP[2]) + 
		beta1*(1 + alpha1)*BP[1] - alpha1*BP[2];

	Peak[0] = .991*Peak[1];
	
	if (abs(BP[0]) > Peak[0]) Peak[0] = abs(BP[0]);
	
	if (Peak[0] != 0) Signal[0] = BP[0] / Peak[0];
	
	alpha2 = (rcos(1.5*Bandwidth*360 / Period) + 
		rsin(1.5*Bandwidth*360 / Period) - 1) / 
		rcos(1.5*Bandwidth*360 / Period);

	Trigger[0] = 
		(1 + alpha2 / 2)*(Signal[0] - Signal[1]) +
		(1- alpha2)*Trigger[1];
		
	BPSignal = Signal[0];
	BPTrigger = Trigger[0];
}

function run()
{
	set(PLOTNOW);
	BarPeriod = 1;
	LookBack = 100;
	StartDate = 20210702;
	EndDate = 20210816;

	vars closes = series(priceClose());
	BandPassFilter(closes, 20, .3);
	
	plot("Signal", BPSignal, NEW, BLACK);
	plot("Trigger", BPTrigger, END, RED);
}

Lets smash in some trade signals!!!111eleven

Code

#include <profile.c>

var rad(var degrees) { return degrees*PI/180; }
var rcos(var degrees) {	return cos(rad(degrees)); }
var rsin(var degrees) {	return sin(rad(degrees)); }

var BPSignal;
var BPTrigger;

var BandPassFilter(var* Close, var Period, var Bandwidth)
{
	var alpha2;
	var* HP = series(0, 3);
	var gamma1;
	var alpha1;
	var beta1;
	var* BP = series(0, 3);
	var* Peak = series(0, 2);
	var* Signal = series(0, 2);
	var* Trigger = series(0, 2);
	
	alpha2 = (
			rcos(.25*Bandwidth*360 / Period) + 
			rsin(.25*Bandwidth*360 / Period) - 1
		) / rcos(.25*Bandwidth*360 / Period);

	HP[0] = (1 + alpha2 / 2)*(Close[0] - Close[1]) + 
		(1- alpha2)*HP[1];
		
	beta1 = rcos(360 / Period);
	
	gamma1 = 1 / rcos(360*Bandwidth / Period);
	alpha1 = gamma1 - sqrt(gamma1*gamma1 - 1);
	
	BP[0] = .5*(1 - alpha1)*(HP[0] - HP[2]) + 
		beta1*(1 + alpha1)*BP[1] - alpha1*BP[2];

	Peak[0] = .991*Peak[1];
	
	if (abs(BP[0]) > Peak[0]) Peak[0] = abs(BP[0]);
	
	if (Peak[0] != 0) Signal[0] = BP[0] / Peak[0];
	
	alpha2 = (rcos(1.5*Bandwidth*360 / Period) + 
		rsin(1.5*Bandwidth*360 / Period) - 1) / 
		rcos(1.5*Bandwidth*360 / Period);

	Trigger[0] = 
		(1 + alpha2 / 2)*(Signal[0] - Signal[1]) +
		(1- alpha2)*Trigger[1];
		
	BPSignal = Signal[0];
	BPTrigger = Trigger[0];
}

function run()
{
	set(PLOTNOW);
	BarPeriod = 1;
	LookBack = 300;
	StartDate = 20210810;
	EndDate = 20210816;
	//Capital = 500;

	vars closes = series(priceClose());
	BandPassFilter(closes, 23, .05821);
	
	var* signalSeries = series(BPSignal);
	var* triggerSeries = series(BPTrigger);	

	MaxLong = 1;
	MaxShort = 1;
	
	if (
		BPTrigger < BPSignal
		//&& BPSignal > -0.3
	) {
		if (ProfitOpen >= 0) enterLong();
		else exitShort();
	}
	if (
		BPTrigger > BPSignal
		//&& BPSignal < 0.3
	) {
		if (ProfitOpen >= 0)	enterShort();
		else exitLong();
	}
	
	plot("Signal", BPSignal, NEW, BLACK);
	plot("Trigger", BPTrigger, END, RED);
}

Quote

Monte Carlo Analysis... Median AR 4054%
Win 318$ MI 1481$ DD 134$ Capital 409$
Trades 424 Win 50.9% Avg +7.5p Bars 13
AR 4350% PF 1.22 SR 0.00 UI 0% R2 1.00

High signal count.

Only Period of 23 works seemingly well in combination with that weird bandwidth of .05821.

Fails to perform month before.

Last edited by Lapsa; 08/21/21 14:32.

Re: Lapsa's very own thread [Re: Lapsa] #483974
08/21/21 14:58 08/21/21 14:58

Joined: Aug 2021
Posts: 237

Lapsa

OP
Member

Lapsa

OP
Member

Joined: Aug 2021
Posts: 237

Ehler's "Dominant Cycle Measured by Zero Crossings of the Band-Pass Filter"

Not 100% sure I got it right. Might be, might be not.

Looks believable.

Last edited by Lapsa; 08/21/21 15:03.

Re: Lapsa's very own thread [Re: Lapsa] #483982
08/23/21 03:32 08/23/21 03:32

Joined: Aug 2021
Posts: 237

Lapsa

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Lapsa

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Joined: Aug 2021
Posts: 237

I like this one:

Simple setup.
Plenty of room for improvements.
High signal count.
Almost manageable drawdown.
Scalable.
Fast feedback.
Reasonably consistent.
Magical numbers ain't that magical.

Re: Lapsa's very own thread [Re: Lapsa] #483991 08/24/21 00:22 08/24/21 00:22
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote If the commission is a percentage of the trade value, enter the negative percent value, f.i. -0.25 for 0.25%. The commission is then automatically calculated from the percentage using the formula Commission = -Percent/100 * Price / LotAmount * PIPCost / PIP.

Re: Lapsa's very own thread [Re: Lapsa] #484004 08/25/21 23:04 08/25/21 23:04
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	44 HP & 120 SSF on EBSW. 22 HP sort of workable. I have given up on lower periods. Unsure about upper bound. Perhaps something at days & weeks scale. Ain't interested - screws up feedback cycle too much. P.s. Tether printer goes brrrrrrrrr Last edited by Lapsa; 08/25/21 23:09.

Re: Lapsa's very own thread [Re: Lapsa] #484008 08/26/21 23:44 08/26/21 23:44
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Incremental strategy development per month. Last edited by Lapsa; 08/26/21 23:45.

Re: Lapsa's very own thread [Re: Lapsa] #484056 09/02/21 09:51 09/02/21 09:51
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote the angle is a mostly useless parameter, although held in high esteem by Gann believers. ^_^

Re: Lapsa's very own thread [Re: Lapsa] #484057 09/02/21 13:40 09/02/21 13:40
Joined: Feb 2017 Posts: 1,725 Chicago AndrewAMD Serious User
AndrewAMD Serious User Joined: Feb 2017 Posts: 1,725 Chicago	Read this, especially "Gann Magic": https://financial-hacker.com/seventeen-popular-trade-strategies-that-i-dont-really-understand/ William Gallacher had a few words to say about Gann in Winner Take All as well. www.vitaltrades.com - andrew@vitaltrades.com

Re: Lapsa's very own thread [Re: Lapsa] #484066 09/02/21 19:29 09/02/21 19:29
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Already enjoyed that article. Sharing similar sentiment. `Winner takes all` seems like a good read. Have seen that title before. Thanks. Last edited by Lapsa; 09/04/21 08:41.

Re: Lapsa's very own thread [Re: Lapsa] #484087 09/04/21 01:08 09/04/21 01:08
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Think I've given up on thoroughly understanding what Sharpe ratio means, how it's affected and why should I care. Quote Sharpe Ratio = (r_x — R_f)/stdDev(r_x) aka big numbers good, small numbers bad That's about it. Last edited by Lapsa; 09/04/21 01:30.

Re: Lapsa's very own thread [Re: Lapsa] #484088 09/04/21 01:28 09/04/21 01:28
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Perceptron experiments were fun although not quite the direction I would like to take. I don't find: Quote Sig[0]723 - Sig[1]123 - Sig[2]*542 > your_mom meaningful. It's justified, even useful - but not particularly meaningful. For me - such loss of clarity is unacceptable. Similarly - I find Deep Learning repulsive. Someday, maybe, likely I will change my mind. Who knows... Last edited by Lapsa; 09/04/21 01:29.

Re: Lapsa's very own thread [Re: Lapsa] #484089 09/04/21 09:08 09/04/21 09:08
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Just a reminder that winning trades is possible. I wonder how will it land. Hmm... That's quite a bump ignored. As Ben Finegold would say: "Frankly ridiculous!" Last edited by Lapsa; 09/04/21 12:05.

Re: Lapsa's very own thread [Re: Lapsa] #484096 09/07/21 00:48 09/07/21 00:48
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Day4 - still in profits.

Re: Lapsa's very own thread [Re: Lapsa] #484099 09/07/21 09:39 09/07/21 09:39
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Some more green numbers. Can't say it's optimal. Quite a spike ignored. But hey - it's fully automatic!

Re: Lapsa's very own thread [Re: Lapsa] #484102
09/07/21 23:03 09/07/21 23:03

Joined: Aug 2021
Posts: 237

Lapsa

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Lapsa

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Posts: 237

Autocorrelation Periodogram Dominant Cycle

I think I fixed bugs. At least most of them.

no moar spikey:

Code

	for (Period = 10; Period < 48; Period++) {
		R[Period][2] = R[Period][1];
		// original
		// R[Period][1] = .2*SqSum[Period]*SqSum[Period] +.8*R[Period][2];
		
		// https://quantstrattrader.com/2017/02/15/ehlerss-autocorrelation-periodogram/
		// R[period, ] <- EMA(sqSum[period, ] ^ 2, ratio = 0.2)
		
		// Lapsa`s adaptation
		R[Period][1] = EMA(pow(SqSum[Period], 2), .2);
	}

Code


var rad(var degrees) { return degrees*PI/180; }
var rcos(var degrees) {	return cos(rad(degrees)); }
var rsin(var degrees) {	return sin(rad(degrees)); }

var AutocorrelationPeriodogramCycle(var* Close)
{
	var AvgLength = 3;
	var M;
	var N;
	var X;
	var Y;
	var* HP = series(0, 3);
	var* Filt = series(0, 48);
	var Lag;
	var count;
	var Sx;
	var Sy;
	var Sxx;
	var Syy;
	var Sxy;
	var Period;
	var Sp;
	var Spx;
	var* MaxPwr = series(0,2);
	var DominantCycle;

	var Corr[48];
	var CosinePart[48];
	var SinePart[48];
	var SqSum[48];
	var R[48][2];
	var Pwr[48];

	// Highpass filter cyclic components whose periods are shorter than 48 bars
	HP = series(HighPass2(Close, 48), 3);
	
	//Smooth with a Super Smoother Filter from equation 3-3	
	//Filt = series(Smooth(HP, 10), 50);
	Filt = series(Smooth(HP, 10), 50);

	//Pearson correlation for each value of lag
	for (Lag = 0; Lag < 48; Lag++) {		
		//Set the averaging length as M
		if (AvgLength == 0) M = Lag;
		else M = AvgLength;
		
		Sx = 0;
		Sy = 0;
		Sxx = 0;
		Syy = 0;
		Sxy = 0;
		
		for (count = 0; count < M - 1; count++) {
			X = Filt[count];
			Y = Filt[Lag + count];
			Sx = Sx + X;
			Sy = Sy + Y;
			Sxx = Sxx + X*X;
			Sxy = Sxy + X*Y;
			Syy = Syy + Y*Y;
		}
		
		if ( (M*Sxx - Sx*Sx)*(M*Syy - Sy*Sy) > 0 ) {
			Corr[Lag] = (M*Sxy - Sx*Sy)/sqrt((M*Sxx-Sx*Sx)*(M*Syy-Sy*Sy));
		}
	}
	
	for (Period = 10; Period < 48; Period++) {
		CosinePart[Period] = 0;
		SinePart[Period] = 0;
		
		for(N = 3; N < 48; N++) {
			CosinePart[Period] = CosinePart[Period] +	Corr[N]*rcos(370*N / Period);
			SinePart[Period] = SinePart[Period] + Corr[N]*rsin(370*N / Period);
		}
		SqSum[Period] = CosinePart[Period]*CosinePart[Period] +
		SinePart[Period]*SinePart[Period];
	}
	
	for (Period = 10; Period < 48; Period++) {
		R[Period][2] = R[Period][1];
		// original
		// R[Period][1] = .2*SqSum[Period]*SqSum[Period] +.8*R[Period][2];
		
		// https://quantstrattrader.com/2017/02/15/ehlerss-autocorrelation-periodogram/
		// R[period, ] <- EMA(sqSum[period, ] ^ 2, ratio = 0.2)
		
		// Lapsa`s adaptation
		R[Period][1] = EMA(pow(SqSum[Period], 2), .2);
	}
	
	// Find Maximum Power Level for Normalization
	
	MaxPwr[0] = .995*MaxPwr[0]; // huh? wtf?!
	for (Period = 10; Period < 48; Period++) {
		if (R[Period][1] > MaxPwr[0]) MaxPwr[0] = R[Period][1];
	}
	
	for (Period = 3; Period < 48; Period++) {
		Pwr[Period] = R[Period][1] / MaxPwr[0];
	}
	
	//Compute the dominant cycle using the CG of the spectrum
	Spx = 0;
	Sp = 0;
	for(Period = 10; Period < 48; Period++) {
		if (Pwr[Period] >= .5) {
			Spx = Spx + Period*Pwr[Period];
			Sp = Sp + Pwr[Period];
		}
	}
	
	if (Sp != 0) DominantCycle = Spx / Sp;
	if (DominantCycle < 10) DominantCycle = 10;
	if (DominantCycle > 48) DominantCycle = 48;
	
	return DominantCycle;
}

Failed to use Correlation function successfully.
I mean - I can pinpoint what should be replaced yet failing to do that cause of LiteC and my stupidity.

Last edited by Lapsa; 09/08/21 10:21.

Re: Lapsa's very own thread [Re: Lapsa] #484110 09/09/21 11:12 09/09/21 11:12
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	((38 * 45) * 1440) * 90 = 221616000 Lots of looping even for Lite C.

Re: Lapsa's very own thread [Re: Lapsa] #484117 09/09/21 22:45 09/09/21 22:45
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Well... This is actually kind of impressive. Autocorrelation periodogram approach calculated dominant cycle long bandpass filtering <----- try reading that to someone With some slight tinkering (e.g. removed smoothing, adjusted peak decay & whatnot). Quote Monte Carlo Analysis... Median AR 3932% Win 0.73$ MI 22.12$ DD 0.24$ Capital 6.58$ Trades 166 Win 51.2% Avg +8.7p Bars 8 AR 4036% PF 1.37 SR 0.00 UI 0% R2 1.00 166 trades on a single (!) day with 1.37 PF (fees included) Think I won't take a look how miserably it fails on other days. Too much hopelessness already.

Re: Lapsa's very own thread [Re: Lapsa] #484118 09/09/21 22:55 09/09/21 22:55
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	^ 3 Trades, Win 100%, Avg 558.2p, PF 10.00 on 45 BarPeriod Last edited by Lapsa; 09/09/21 22:56.

Re: Lapsa's very own thread [Re: Lapsa] #484133 09/14/21 11:49 09/14/21 11:49
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	For the memes - played around with idea of adapting Ichimoku Cloud. Think there's some tangible benefit floating Kijun a bit. Maaaaaaaaybe Tenkan too. This is what happens when you mess with Senkou and Displacement bit too much: Japanese cloud becomes a crack addict. Anyhow... As much as I like Ichimoku system esthetically, just as much I find it useless. Also - annoyed that I couldn't find a way to alter cloud color. Also - it's unclear how to figure out "future" cloud. Last edited by Lapsa; 09/16/21 19:14.

Re: Lapsa's very own thread [Re: Lapsa] #484138 09/14/21 19:57 09/14/21 19:57
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	hmm... might be up to something Quote Monte Carlo Analysis... Median AR 2319% Win 0.99$ MI 2.60$ DD 0.16$ Capital 1.64$ Trades 44 Win 70.5% Avg +224.6p Bars 377 AR 1901% PF 3.71 SR 0.00 UI 0% R2 1.00 ^ 12 days period ---- PF 1.30 since May 1st ---- PF 1.50 since May 1st Not much room left for improvements. Trying to land 1.70 (failed) Last edited by Lapsa; 09/16/21 19:15.

Re: Lapsa's very own thread [Re: Lapsa] #484150 09/16/21 19:18 09/16/21 19:18
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	current run boringly good so far more interested how it behaves when things go wrong

Re: Lapsa's very own thread [Re: Lapsa] #484186 09/18/21 18:18 09/18/21 18:18
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	some turbulence didn't take profit but to be fair - I would have kept it open too did expect a dump so far so good

Re: Lapsa's very own thread [Re: Lapsa] #484193 09/20/21 06:59 09/20/21 06:59
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	and the wish has been granted. back to square #1

Re: Lapsa's very own thread [Re: Lapsa] #484205 09/20/21 23:07 09/20/21 23:07
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	hurrr durrr evergrande

Re: Lapsa's very own thread [Re: Lapsa] #484214
09/21/21 20:53 09/21/21 20:53

Joined: Aug 2021
Posts: 237

Lapsa

OP
Member

Lapsa

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Member

Joined: Aug 2021
Posts: 237

Found an equivalent of Ehler's Pearson correlation calculation to Zorro's in built Correlation.

Mental model is still quite muddy but as it seems - this may be kind of huge.

If Ehler is wrong (or my translation thereof) - this might trim whole bar of lag.

Code

for (count = 0; count < M - 1; count++) {

It's unclear to me why original script has `count < M - 1` instead of just `count < M`.

Feeling too dumb to figure it out.

Last edited by Lapsa; 09/21/21 21:21.

Re: Lapsa's very own thread [Re: Lapsa] #484215 09/22/21 00:28 09/22/21 00:28
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Please, stay above the water. I'm not even asking gazillion profits. Quote Monte Carlo Analysis... Median AR 436% Win 32.16$ MI 6.80$ DD 5.22$ Capital 22.59$ Trades 319 Win 55.8% Avg +144.0p Bars 648 AR 361% PF 1.84 SR 0.00 UI 0% R2 1.00 ------------ yeah but no...319 trades only... curve fitting too stronk Last edited by Lapsa; 09/27/21 21:41.

Re: Lapsa's very own thread [Re: Lapsa] #484239 09/24/21 09:52 09/24/21 09:52
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	for a change - I'm on a right side Last edited by Lapsa; 09/24/21 09:52.

Re: Lapsa's very own thread [Re: Lapsa] #484258 09/26/21 21:08 09/26/21 21:08
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	newest strategy name: "usyk" has to be a winner

Re: Lapsa's very own thread [Re: Lapsa] #484263 09/27/21 21:38 09/27/21 21:38
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	smooth price close on 6 periods pull out 3 period long RSIS out of it do nothing unless rsis[0] != rsis[1] boom! 172% -> 453% makes no sense whatsoever

Re: Lapsa's very own thread [Re: Lapsa] #484264 09/27/21 23:28 09/27/21 23:28
Joined: Feb 2017 Posts: 1,725 Chicago AndrewAMD Serious User
AndrewAMD Serious User Joined: Feb 2017 Posts: 1,725 Chicago	Originally Posted by Lapsa makes no sense whatsoever Usually a red flag. www.vitaltrades.com - andrew@vitaltrades.com

Re: Lapsa's very own thread [Re: AndrewAMD] #484266 09/28/21 06:37 09/28/21 06:37
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Originally Posted by AndrewAMD Originally Posted by Lapsa makes no sense whatsoever Usually a red flag. yes and no I mean - what such mechanism does is sort of understandable it helps to follow trend x3 difference it makes is what I find... err... quite peculiar and it's not like there's 10 lucky trades. think it was like 3k trades over 5 month period or something

Re: Lapsa's very own thread [Re: Lapsa] #484274 09/28/21 23:07 09/28/21 23:07
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	got an old Toshiba laptop with an Arch Linux running on top of it took awhile but I've managed to run Zorro via Wine on it successfully fails to play those lovely sound notifications though https://freesound.org/people/andrewweathers/sounds/25423/ https://freesound.org/people/dpren/sounds/248143/ https://freesound.org/people/phatcorns/sounds/250104/ --------------- weirdly requires manual creation of Cache folder and sadly - eventually stops working in an hour or so but it did open and close a (successful!) trade Last edited by Lapsa; 09/30/21 19:13.

Re: Lapsa's very own thread [Re: Lapsa] #484275 09/29/21 01:39 09/29/21 01:39
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	with all-in compounding $5k Quote Monte Carlo Analysis... Median AR 233% Win 47545$ MI 12061$ DD 9470$ Capital 7335$ Trades 1791 Win 60.1% Avg +19.8p Bars 88 CAGR 128676.60% PF 1.23 SR 0.00 UI 0% R2 1.00 sometimes worth taking a look at those cute numbers

Re: Lapsa's very own thread [Re: Lapsa] #484291 10/01/21 00:25 10/01/21 00:25
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	some probably quite useless thoughts... when it comes to crypto, I think the best strategy is to work on really short periods of time what I mean is - most of the indicators should be very short sighted like 3m, 5m, 9m even 2m. perhaps some high pass filtering on 20m, 30m 1. spam confirmations. as indicators are shortsighted - they are likely to align. indicator combinations yield much more precise control over entries / exits 2. use something trend following like Ehler's even better sinewave to avoid whipsaws. alternatively - some form of "throttling". like RSIS trick I described. falling MMI on (!) 4m also qualifies 3. rely on trailing stops and do set a (quite loose) stop loss 4. favor priceClose() over price(). do test both though. some indicators tend to be more strategic than tactical by their intrinsic nature 5. occasionally - some roofing, filtering, windowing, smoothing can be a game changer 6. favor steadily raising equity curve over flat one with spikes during black swans. do make sure algo would have survived those in past 7. any change affects everything. rules can become obsolete, hindering, improvable. parameter optimization can be helpful but it can also lead you astray

Re: Lapsa's very own thread [Re: Lapsa] #484292 10/01/21 00:29 10/01/21 00:29
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	in other news: did notice that Zorro via Wine suddenly shows up (surprisingly high) Sharpe Ratio on test runs not sure what's up with that always damn zero on Win10 Last edited by Lapsa; 10/01/21 00:33.

Re: Lapsa's very own thread [Re: Lapsa] #484372 10/17/21 10:58 10/17/21 10:58
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	still around, tuning my indicator soup, slowly scaling up zero to hero porn:

Re: Lapsa's very own thread [Re: Lapsa] #484383 10/18/21 21:09 10/18/21 21:09
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	day in profits

Re: Lapsa's very own thread [Re: Lapsa] #484392 10/21/21 06:01 10/21/21 06:01
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	day in losses

Re: Lapsa's very own thread [Re: Lapsa] #484396 10/21/21 14:52 10/21/21 14:52
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	upgraded to Zorro v2.42 Sharpe Ratio is alive!!!111 woohoooooo!

Re: Lapsa's very own thread [Re: Lapsa] #484402 10/22/21 15:35 10/22/21 15:35
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	I wonder why backtest differs from actual trades. Zorro just skipped 2 trades in last couple hours. Makes whole thing sort of useless.

Re: Lapsa's very own thread [Re: Lapsa] #484404 10/22/21 19:10 10/22/21 19:10
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Are you still running Zorro in a Wine environment? This could be a problem. So far, I only noticed some visual issues (like minimizing and then maximizing the Zorro window results in an unreadable screen and the current performance gets replaced by the bar counter when not being in a trade in test mode) I would suggest to create a trade log with relevant variable values & broker calls (i.e. brokerCommand calls). Last edited by Grant; 10/22/21 19:11.

Re: Lapsa's very own thread [Re: Lapsa] #484405 10/22/21 19:52 10/22/21 19:52
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	@Grant Nope... Specifically installed Win7 on laptop. Currently seems to be running fine. Need to collect more data indeed.

Re: Lapsa's very own thread [Re: Lapsa] #484406 10/22/21 20:02 10/22/21 20:02
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	This is what I'm running live (scaled up). I do expect it to at least break even. Quote Lots=10; StartDate = 20210501; EndDate = 20211231; Quote Test: foxer MATICUSDT 2021 Monte Carlo Analysis... Median AR 825% Win 103$ MI 18.03$ DD 4.44$ Capital 22.82$ Trades 2135 Win 59.6% Avg +48.5p Bars 102 AR 949% PF 1.50 SR 7.76 UI 1% R2 0.00 And I sort of like this bit: Quote divergence != 8 It's possible to enable hedge mode on Binance. Although unsure if I want to. Last edited by Lapsa; 10/22/21 20:03.

Re: Lapsa's very own thread [Re: Lapsa] #484409 10/23/21 09:06 10/23/21 09:06
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Guess I panicked too fast. Whole thing is sensitive to starting point. Max trades 1, reliance on trailing stops, perhaps some internet lags. Whole thing is kind of bound to differ. I guess it syncs up eventually? Will keep an eye. Anyhow... Here's actual trade results: That 6 in a row looks sweet. Here's backtest: Still doing cent trades... Could pour in, but first - want an actual success not just paper trades and backtests.

Re: Lapsa's very own thread [Re: Lapsa] #484412 10/23/21 17:34 10/23/21 17:34
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	This is interesting to observe. It just shows how hard it is to simulate trades in a realistic way, esp in an intraday scenario. Not a knock on Zorro, because this is a true challenge that all platforms are dealing with.

Re: Lapsa's very own thread [Re: Lapsa] #484414 10/23/21 18:31 10/23/21 18:31
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	broke 1k % barrier Quote Test: foxer MATICUSDT 2021 Monte Carlo Analysis... Median AR 909% Win 109$ MI 18.95$ DD 4.12$ Capital 22.01$ Trades 2144 Win 59.6% Avg +50.9p Bars 102 AR 1033% PF 1.53 SR 8.16 UI 1% R2 0.00 day likely to end in profits Last edited by Lapsa; 10/23/21 18:33.

Re: Lapsa's very own thread [Re: Lapsa] #484419 10/24/21 08:43 10/24/21 08:43
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	I mean - if it would consistently pull out days like these: could afford to buy a house in couple months

Re: Lapsa's very own thread [Re: Lapsa] #484428 10/24/21 18:06 10/24/21 18:06
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	more squeezing Quote foxer compiling................ Test: foxer MATICUSDT 2021 Monte Carlo Analysis... Median AR 1049% Win 122$ MI 20.93$ DD 4.12$ Capital 21.97$ Trades 2127 Win 59.6% Avg +57.1p Bars 105 AR 1143% PF 1.61 SR 9.02 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #484442 10/26/21 07:39 10/26/21 07:39
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	scaled up, took losses what's the point of such PF if it's unstable anyhow... got some revelations algo gonna get some major reconstructions

Re: Lapsa's very own thread [Re: Lapsa] #484468 10/27/21 20:54 10/27/21 20:54
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	did attempt to reconstruct. found some new observations equity curve looked worse - can't argue with data. ended up improving existing one broke even from weekend losses and got into new ones cause of own mistake. there's a disaster waiting if you try to trade close to margin still learning...

Re: Lapsa's very own thread [Re: Lapsa] #484470 10/28/21 01:35 10/28/21 01:35
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Test: foxer MATICUSDT 2021 Monte Carlo Analysis... Median AR 1130% Win 133$ MI 22.45$ DD 4.12$ Capital 21.88$ Trades 2084 Win 60.3% Avg +63.7p Bars 109 AR 1232% PF 1.68 SR 9.68 UI 1% R2 0.00 with silly `Lots = max(50, Balance);` Quote Test: foxer MATICUSDT 2021 Monte Carlo Analysis... Median AR 124% Win 1515868$ MI 256543$ DD 378716$ Capital 2856496$ Trades 2084 Win 60.3% Avg +63.7p Bars 109 AR 108% PF 1.19 SR 2.65 UI 7% R2 0.58

Re: Lapsa's very own thread [Re: Lapsa] #484482 10/29/21 07:50 10/29/21 07:50
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237

Re: Lapsa's very own thread [Re: Lapsa] #484485 10/29/21 10:00 10/29/21 10:00
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Falling MMI 4 Quote Thus, when we know that MMI is rising, we assume that the market is becoming more efficient, more random, more cyclic, more reversing or whatever, but in any case bad for trend trading. However when MMI is falling, chances are good that the next beginning trend will last longer than normal. jcl Figured I should visualize this falling MMI 4 trick I've been using. And it sort of works just as I imagined - as a smart throttler. A means to recognize start of the trend and follow it. Code function run() { set(LOGFILE\|PLOTNOW); BarPeriod = 60; MaxBars = 200; asset(""); // dummy asset ColorUp = ColorDn = 0; // don't plot a price curve vars Sine = series(genSine(60,30)); var mmi = MMI(Sine, 4); plot("Sine",Sine[0]-0.5,MAIN,BLUE); plot("MMI 4", mmi, NEW, RED); plot("MMI Falling", falling(series(mmi)), NEW, GREEN); } On 2 bars it (logically) refuses to speak. On 3 bars it skips. On 5+ bars it lags. I mean - indicator itself is definitely useful on longer periods. It's just not how I've built my algo. Here's numbehs to show crucial role this single rule is playing: Quote Trades 4069 Win 59.8% Avg +6.7p Bars 59 AR 117% PF 1.08 SR 1.90 UI 10% R2 0.00 Trades 2096 Win 60.2% Avg +62.8p Bars 109 AR 1217% PF 1.66 SR 9.53 UI 1% R2 0.00 Last edited by Lapsa; 10/29/21 10:11.

Re: Lapsa's very own thread [Re: Lapsa] #484486 10/29/21 12:11 10/29/21 12:11
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	I hate trailing stops, I really do so deceiving I mean - I'm pulling my hair fine tuning entries yet somehow such simple mechanic as trailing stop is supposed to be helpful

Re: Lapsa's very own thread [Re: Lapsa] #484491 10/30/21 07:40 10/30/21 07:40
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	squeezing squeezing! Quote Monte Carlo Analysis... Median AR 1255% Win 146$ MI 24.36$ DD 4.12$ Capital 21.81$ Trades 2074 Win 60.7% Avg +70.3p Bars 111 AR 1340% PF 1.75 SR 10.38 UI 1% R2 0.00 broken milestones: - 1300% - PF 1.7 - SR 10

Re: Lapsa's very own thread [Re: Lapsa] #484496 11/01/21 17:08 11/01/21 17:08
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	need to figure out how to compound it correctly

Re: Lapsa's very own thread [Re: Lapsa] #484505 11/03/21 04:27 11/03/21 04:27
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	losses only to the point I'm willing to drop the ball burn it all down or reborn like a phoenix!

Re: Lapsa's very own thread [Re: Lapsa] #484513 11/03/21 19:26 11/03/21 19:26
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	oh well... it's not that bad

Re: Lapsa's very own thread [Re: Lapsa] #484518 11/06/21 12:11 11/06/21 12:11
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Code setf(PlotMode,PL_ALL+PL_FINE+PL_ALLTRADES+PL_BENCHMARK);

Re: Lapsa's very own thread [Re: Lapsa] #484519 11/06/21 19:07 11/06/21 19:07
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Test: foxer SOLUSDT 2021 Monte Carlo Analysis... Median AR 529% Win 65.80$ MI 11.25$ DD 5.57$ Capital 25.51$ Trades 1413 Win 62.1% Avg +32.8p Bars 181 AR 529% PF 1.57 SR 6.95 UI 2% R2 0.77 won't trade this one yet - numbahs unsatisfying but I do have in mind adding another asset/s Last edited by Lapsa; 11/06/21 19:08.

Re: Lapsa's very own thread [Re: Lapsa] #484535 11/09/21 07:07 11/09/21 07:07
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 784% Win 128$ MI 21.94$ DD 9.02$ Capital 34.09$ Trades 1747 Win 63.2% Avg +73.5p Bars 146 AR 772% PF 1.80 SR 8.35 UI 1% R2 0.00 breaking PF 1.80 Sharpe unhappy cause I took off stop losses while tweaking

Re: Lapsa's very own thread [Re: Lapsa] #484544 11/10/21 22:30 11/10/21 22:30
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Channeling and Elliott Waves Channeling an impulse wave can frequently help predict the approximate ending locations of various waves. wtf o_0 anyhow - algo doing bit badly. an ugly, prolonged drawdown tweaked a bit, slightly lowered the bet lo and behold - half way there to breaking even with a single trade bugcoin doing funny moves Last edited by Lapsa; 11/10/21 22:31.

Re: Lapsa's very own thread [Re: Lapsa] #484545 11/11/21 06:58 11/11/21 06:58
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	this is beautiful I love Wednesdays should finally do something about those pesky weekends sort of bummer knowing they almost always red ------ 1-2 weeks scale up if breaks even / in profits ------ backtests makes zero sense what the hell is going on? Last edited by Lapsa; 11/11/21 20:19.

Re: Lapsa's very own thread [Re: Lapsa] #484585 11/15/21 21:05 11/15/21 21:05
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	yet to see a good use for windowing I guess my approach just isn't compatible

Re: Lapsa's very own thread [Re: Lapsa] #484615 11/20/21 20:18 11/20/21 20:18
Joined: Aug 2021 Posts: 101 M MegaTanker Member
MegaTanker Member M Joined: Aug 2021 Posts: 101	What's the deal with these insane backtests? 1000+% annual return, but it sounds like the live results don't live up to this, if I read that correctly?

Re: Lapsa's very own thread [Re: MegaTanker] #484616 11/20/21 22:43 11/20/21 22:43
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	I think that's the issue with cryptocurrencies. Their extreme volatility makes it pretty much impossible to create reliable backtests.

Re: Lapsa's very own thread [Re: MegaTanker] #484617 11/20/21 23:15 11/20/21 23:15
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Originally Posted by MegaTanker What's the deal with these insane backtests? 1000+% annual return, but it sounds like the live results don't live up to this, if I read that correctly? Well... That's the thing with backtests. Past doesn't repeat itself. Green backtest is just a small step to trade effectively. Markets aren't simple - there's a lot of stuff going on. Trading fully automatically while basing decisions purely on TA (with no access to volume) is quite ambitious. About 600% from those ~1200% are from May crypto crash which is a black swan and doesn't repeat monthly. I do think it's important to include ability to surf such waves. Out of those 600% - I would say 50% to 200% might be sort of actually realistic. One issue with measuring performance is that I'm constantly tinkering with it. However - I do believe in such approach. If you keep bashing squares into circled holes - eventually they become circles. Backtest shows PF1.7 (on a flat bet) but I see PF0.9, maybe PF1.2 October was in slight profits. But there were like at least 10 iterations of algo updates (starting from about AR 300%). And mostly on fixed $10 trades. November is red so far. Markets retesting all time highs, stuck in indecisiveness. Probably not for long. Quote from $5k Monte Carlo Analysis... Median AR 83% Win 555327679$ MI 83282622$ DD 278602844$ Capital 1614994560$ Trades 2087 Win 59.7% Avg +70.8p Bars 121 AR 62% PF 1.18 SR 2.09 UI 7% R2 0.45 Even if history did repeat - soon enough it wouldn't. Pulling out 5% of total market cap can't go unnoticed. But you never know unless you live trade. Last edited by Lapsa; 11/20/21 23:31.

Re: Lapsa's very own thread [Re: Lapsa] #484618 11/20/21 23:19 11/20/21 23:19
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Also - it's important to understand that 0% -> 10% is not the same as 1000% -> 1010% on a simulated compounding system. Those numbers get ridiculous really fast.

Re: Lapsa's very own thread [Re: Lapsa] #484619 11/21/21 07:09 11/21/21 07:09
Joined: Aug 2021 Posts: 101 M MegaTanker Member
MegaTanker Member M Joined: Aug 2021 Posts: 101	Originally Posted by Lapsa One issue with measuring performance is that I'm constantly tinkering with it. However - I do believe in such approach. If you keep bashing squares into circled holes - eventually they become circles. Backtest shows PF1.7 (on a flat bet) but I see PF0.9, maybe PF1.2 I don't know what your strategies and workflow look like but "tinkering" here sounds a lot like overfitting, doesn't it? If you're adjusting parameters or adding new mechanisms that increase the AR in the backtest, you can introduce all sorts of biases into it even with OOS testing. Originally Posted by Lapsa About 600% from those ~1200% are from May crypto crash which is a black swan and doesn't repeat monthly. I do think it's important to include ability to surf such waves. You have to be confident that your strategy wins this black swan event not by chance though. I've also played around with the MATIC coin some time and the backtests were often defined by that burst of volatility in may. But if there are 2-3 trades happening that capture these insane price jumps, I just don't know how I can know if that is random luck or if the script can actually be on the right side of these reliably. And since I'm pessimistic, I rather exclude those times from the backtest personally. Though I also don't include any mechanism in the scripts so far that specifically react to these moments.

Re: Lapsa's very own thread [Re: MegaTanker] #484621 11/21/21 09:43 11/21/21 09:43
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Originally Posted by MegaTanker I don't know what your strategies and workflow look like but "tinkering" here sounds a lot like overfitting, doesn't it? If you're adjusting parameters or adding new mechanisms that increase the AR in the backtest, you can introduce all sorts of biases into it even with OOS testing. Yes and no. I mean - I would gladly have PF0 algo that somehow magically is vastly profitable. Question is - how do you know? How do you determine this mythical boundary at which improvements suddenly becomes overfitting? 5 successes out of 10 are much less meaningful than 500 out of 1000. One of my rules is to strive for relatively high trade count (>2000). I have removed couple weird rules despite losing %. I still have some of them. Trade and see. Adapt. Think deeply about every rule you adjust. It's not random. You can enter a long, see a dip and think - it's over. Or you can see it as a temporary sweep, wait a bit longer and be in profits. Originally Posted by MegaTanker You have to be confident that your strategy wins this black swan event not by chance though. I've also played around with the MATIC coin some time and the backtests were often defined by that burst of volatility in may. But if there are 2-3 trades happening that capture these insane price jumps, I just don't know how I can know if that is random luck or if the script can actually be on the right side of these reliably. And since I'm pessimistic, I rather exclude those times from the backtest personally. Though I also don't include any mechanism in the scripts so far that specifically react to these moments. I am reasonably confident. It's not just 2-3 trades. There's like hundred in May. Would say - it's actually algo's strong suit to handle such times. Marked other bursts of volatility. Either it rides it or gets stopped out and stays relatively flat. Originally Posted by MegaTanker I rather exclude those times from the backtest personally Mentally - I do that. Practically - I would rather have them just to keep some sort of assurance whole thing won't go bankrupt in seconds. Keeping such ability seemingly hinders algo, removes a lot of room during "normal times". But on grand scale of things - I think it actually rises the bar and increases adaptivity. Originally Posted by MegaTanker or adding new mechanisms It's important to think about synergy. I try to build it from "you don't want to flip here" standpoint instead of "this is the time you trade". Instead of SMA 50-200 cross or perhaps valley/peak like rule - I favor rise & fall. It's careful filtering instead of catching glaringly obvious tells (in fact - I might include such layer in future). When you build it such way - rules seem to indicate same thing yet do that differently. Once you get to combinations of rules - they start to cover up each others weaknesses. If we take that same SMA 50-200 cross and combine it with (imo shitty) UO - there's a good chance you can change it to 49-199 cross. Last edited by Lapsa; 11/21/21 10:20.

Re: Lapsa's very own thread [Re: Lapsa] #484627 11/22/21 10:25 11/22/21 10:25
Joined: Aug 2021 Posts: 101 M MegaTanker Member
MegaTanker Member M Joined: Aug 2021 Posts: 101	Well, I think we have very different styles to be sure Like, if your strategy actually works the way it appears in the backtest, then you will be filthy rich quickly. But if it doesn't, if you don't know to what extent it is biased/fitted, if you don't know to what extent it represents reality, I wouldn't use it at all to judge my strategy.

Re: Lapsa's very own thread [Re: MegaTanker] #484630 11/22/21 18:43 11/22/21 18:43
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	@MegaTanker I don't think it works just as good as in backtest. But the past is reality. If your algo captures every movement in complete asset's history - there is no better bet. Unless you are talking to time travelers. Sure - some rules that worked in past might hinder in future. Which is why I'm pro-tinkering. I find it similar to software development - if your code is scary to touch, contradictory to your feelings, you want to bash it more until it isn't. Every bias, every fitting is an improvement at particular point in time. Trick is to align them so they don't interfere. Speaking of ridiculous numbers - those are rookie numbers. Once wrote a script that iterates backwards in time, captures everything in generated code. Theoretically speaking - you can get to gazillion in couple days starting from couple bucks. Slightly less as I didn't include fees that time but you get the idea. Can't align those rules.

Re: Lapsa's very own thread [Re: Lapsa] #484631 11/22/21 18:57 11/22/21 18:57
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote price(int offset) : var Returns the mean price of the selected asset, by averaging all price ticks of the given bar or time frame (TWAP, time-weighted average price). I suspect this is the main reason live differs from backtest. Got no ticks. Perhaps can be fixed by using MedPrice() but I'm unsure if that's desirable. Last edited by Lapsa; 11/22/21 18:57.

Re: Lapsa's very own thread [Re: Lapsa] #484632 11/22/21 19:58 11/22/21 19:58
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	oh my... that's a new one

Re: Lapsa's very own thread [Re: Lapsa] #484676 11/29/21 00:32 11/29/21 00:32
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	@MegaTanker Here's an example of "my workflow" and tinkering. Algo has a nasty draw down on November. (or perhaps - more accurate picture of an actual performance) Anyhow... Copied algo into a new file, called it foxer_black_friday.c Placed start date 2 weeks ago. Killed all rules I found vaguely superficial. Tweaked all rules till I reached ~1.5k% (from red abyss of -300% something). And then - carefully incorporated only the best parts back into original. 2 week period retest went down to "only" +50%. In ROFLcopter numbehs: Quote May 1st, $180 start => Test: foxer MATICUSDT 2021 Monte Carlo Analysis... Median AR 96% Win 6169001$ MI 886650$ DD 2514043$ Capital 14074158$ Trades 2345 Win 60.7% Avg +62.4p Bars 114 AR 76% PF 1.15 SR 2.03 UI 6% R2 0.68 Last edited by Lapsa; 11/29/21 01:07.

Re: Lapsa's very own thread [Re: Lapsa] #484677 11/29/21 00:56 11/29/21 00:56
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Why MATIC? As it's futures algo trading - I don't really care much about the underlying asset. But... There are some considerations. First and foremost - the fees! .5% movement in BTC will show up as 2% movement in MATIC Given fees on Binance are percentage based - you end up wasting less. Second - the nature of asset. MATIC is pretty much a tech lubricant with a promise of providing less transaction fees for Ethereum. (haven't even read up on details) That causes an entanglement. I find it unlikely for MATIC to "moon" or dump completely unless it follows ETH. I believe this intrinsic entanglement also causes pattern repetition. Some sort of similar swings around ETH. It's not a glaringly obvious pump & dump scam scheme. It's not completely hype based (well... sort of. whole crypto thing can be seen as such). And that pretty much sums it up. Last edited by Lapsa; 11/29/21 00:57.

Re: Lapsa's very own thread [Re: Lapsa] #484761 12/08/21 08:10 12/08/21 08:10
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	more tweaks Quote Monte Carlo Analysis... Median AR 1109% Win 153$ MI 21.15$ DD 5.61$ Capital 24.22$ Trades 2524 Win 60.4% Avg +60.7p Bars 110 AR 1048% PF 1.62 SR 9.21 UI 1% R2 0.00 all time high numbers were PF 1.70 SR 10 about 2 months of new data since start fact that it's still going 24/7 is already an achievement ------------------------------------ in ROFLcopter numbehs and land of sunshine - even Zorro refuses to take it seriously ^ $5k start capital Last edited by Lapsa; 12/08/21 08:15.

Re: Lapsa's very own thread [Re: Lapsa] #484792 12/09/21 22:37 12/09/21 22:37
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	during Tuesday -> Wednesday, doubled up whole capital I mean, it's trading - could disappear just as fast good news is that compounding setup seems to be satisfactory so far tuned up tradingview - OHLC/4, Ichimoku, MESA, Volume. nice & clean

Re: Lapsa's very own thread [Re: Lapsa] #484795 12/10/21 15:20 12/10/21 15:20
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	I assume you're still paper trading or are you running a live account?

Re: Lapsa's very own thread [Re: Lapsa] #484797 12/10/21 17:16 12/10/21 17:16
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	@Grant no. I'm running live account, 24/7. about 10-20 trades per day backtests are in period May 1st until now (see specific post creation date)

Re: Lapsa's very own thread [Re: Lapsa] #484798 12/10/21 17:35 12/10/21 17:35
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Being profitable in the volatile crypto space is no joke, so congratulations with that! Was there a specific statistical edge during your testing phase that gave you enough confidence to go live? I'm asking this because I'm in the process to make this step in the near future.

Re: Lapsa's very own thread [Re: Lapsa] #484801 12/10/21 18:25 12/10/21 18:25
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	@Grant too soon combined with all the failures of early experimentation - I am NOT a profitable trader yet. given algo stays stable - hoping to be in couple weeks, perhaps a month if I'm a lucky bastard - filthy rich in half a year. gut feels ~ 3% chance > Was there a specific statistical edge during your testing phase that gave you enough confidence to go live? well... after fiddling for hours - seeing profit factor of 1.5 over six months period was enough to pull the trigger. relatively high trade count is also reassuring. and I already had experimented before so had some thoughts of what to expect as I see it - you want to go live as soon as possible. and threshold of doing that should be sustainability when trading lowest possible bets - I'm basically buying insight for couple bucks. aim is a stable system with an actual track record as opposed to couple miracle trades

Re: Lapsa's very own thread [Re: Lapsa] #484804 12/10/21 21:03 12/10/21 21:03
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	With a daily average of 10-20 trades/day it shouldn't take too long to draw conclusions. Hopefully, your relative drawdown is within an acceptable range. Yeah, things can go fast once you have enough confidence to raise your leverage (do not forget to post a pic of your Malibu residence). An out-of-sample p.f. of >1.5 is definitely impressive for a long period. I have similar results for the EURUSD, but those are still offline ones. I will start paper trading on a demo once I have similar stats on 4 other pairs as well. Mind you, I'm very cautious given my formal live experience with MT4. It went great for 2-3 months, but at some point a couple of poor trades with too much leverage turned my system into a nightmare. So yeah, your suggestion to be conservative with leverage in the early stage is a good one.

Re: Lapsa's very own thread [Re: Lapsa] #484812 12/11/21 11:21 12/11/21 11:21
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	moar tweaks Quote Monte Carlo Analysis... Median AR 1150% Win 164$ MI 22.24$ DD 5.56$ Capital 23.98$ Trades 2590 Win 60.6% Avg +63.3p Bars 109 AR 1113% PF 1.65 SR 9.56 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #484823 12/13/21 05:01 12/13/21 05:01
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	it's going suspiciously well lately think every day past week got into green zone (!) including the weekend lets see if it flops this week. at such rate - beating job salary income ain't far away

Re: Lapsa's very own thread [Re: Lapsa] #484851 12/18/21 12:52 12/18/21 12:52
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	break even -ish week. which is fine Saturday's number crunching Quote Test: foxer_prev MATICUSDT 2021 Monte Carlo Analysis... Median AR 1015% Win 167$ MI 22.03$ DD 5.56$ Capital 23.79$ Trades 2691 Win 60.5% Avg +62.2p Bars 108 AR 1111% PF 1.63 SR 9.46 UI 1% R2 0.00 Test: foxer MATICUSDT 2021 Monte Carlo Analysis... Median AR 1191% Win 170$ MI 22.36$ DD 5.51$ Capital 23.70$ Trades 2656 Win 60.5% Avg +64.0p Bars 109 AR 1132% PF 1.64 SR 9.62 UI 1% R2 0.00 $500 -> $18M in 7 months

Re: Lapsa's very own thread [Re: Lapsa] #484886 12/26/21 10:25 12/26/21 10:25
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	🎉 I'm a Profitable Trader 🎉

Re: Lapsa's very own thread [Re: Lapsa] #484896 12/27/21 19:34 12/27/21 19:34
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Good to hear this, congratulations! Given all the posted code concepts/prototypes, It's obvious that you've put a lot of effort in this. I saw that most of your recent performance updates involved the MATICUSDT currency. Is this the only currency you trade in an algo trade fashion? Also, are you confident enough to increase/optimize your leverage?

Re: Lapsa's very own thread [Re: Lapsa] #484897 12/27/21 22:04 12/27/21 22:04
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Ultimately - any trading system is just 2 big IFs: Code if price low? then buy if price high? then sell Mine is no different. December numbers... Quote Trades 334 Win 60.2% Avg +72.7p Bars 101 AR 1181% PF 1.48 SR 9.48 UI 6% R2 0.95 By removing couple rules: Quote Trades 385 Win 60.5% Avg +72.0p Bars 89 AR 1563% PF 1.50 SR 10.79 UI 5% R2 0.90 Sadly - hinders overall performance since May too much. Hits like -500%. But I have identified them, can tweak numbers, nudge data, think about the system!

Re: Lapsa's very own thread [Re: Grant] #484898 12/27/21 23:08 12/27/21 23:08
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Originally Posted by Grant Good to hear this, congratulations! Given all the posted code concepts/prototypes, It's obvious that you've put a lot of effort in this. I saw that most of your recent performance updates involved the MATICUSDT currency. Is this the only currency you trade in an algo trade fashion? Also, are you confident enough to increase/optimize your leverage? Yes. I don't really believe in universal systems. Or at least - find them too slow. Or too hard and confusing to maintain. Anyhow - requires totally different basis, principles, mental model than what I got. Was thinking about twin trading another pair but scratched idea. Somehow I fail to see point in trading multiple assets unless that's a core of your competitive advantage (e.g. triangular trading system or whatever it's called). --------- When it comes to leverage - systems can flop real fast. My current money management is a total trash. (advice? literature suggestions?) Code Lots = max(floor_amount, Balance * .75) Depending on price, guess that's around 2x leverage or something. Maybe not. Who cares. What's important: - it has good enough potential to skyrocket ($100 -> $6689891 in 7 months sounds alright) - it's tested and can survive about 2-3 real shitty weeks and still come back - it's stupidly simple hence predictable and controllable Gut feels max lev it might survive is about 8x (with a splendid launch) x15 for degenerates x20 for actual scalpers? maybe? perhaps? x69 keif x100 gambler's choice x125 blink your eyes and it's gone Last edited by Lapsa; 12/27/21 23:28.

Re: Lapsa's very own thread [Re: Lapsa] #484901 12/28/21 13:22 12/28/21 13:22
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	I strongly believe that the portfolio composition (i.e. number of assets and their individual risk profiles) and the leverage are intertwined. You express confidence in your system (which is good!) by suggesting a reinvestment rate of 75%, but I believe this arbitrary number is probably way too high for a crypto currency (no need to explain their extreme volatilities *wink) in a single asset portfolio. With your profile (and yes, I've read your 3 pointers as well) I would suggest a conservative approach like the optimalF, or in case you want to go YOLO, the Kelly criterion. There's an excellent paper (page 21) (I love my bookmarks) about the differences between these two. As for 'universal systems'. In case you mean the exact same set of rules applied to multiple assets, I don't believe in that either. Just like you, I believe in simplicity, but with small variations for each asset. I see two main advantages in a multi asset portfolio, a more smooth equity curve (and better night sleeps, LOL) and the ability to go a little more aggressive with leverage. As for pairs trading, I recently saw this interesting keynote on pairs trading, using a Kalman filter as a spread basis. My current project takes too much time, but it was an insightful one. Last edited by Grant; 12/28/21 13:24.

Re: Lapsa's very own thread [Re: Grant] #484910 12/28/21 21:55 12/28/21 21:55
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	>but I believe this arbitrary number is probably way too high for a crypto currency Well... There definitely is a risk to burn it all down. It's still a small capital. I would rather risk it. Ain't my day job, just a hobby. And I don't think that's actually the case. I mean - running this for couple months already. Aim isn't steady income. Aim is to snowball to absurd numbers. That requires quite drastic measures. Somehow disliked optimalF. I guess there were some certain rationale behind the formula, but to me it felt akin to Fibonacci levels or Elliot waves. Weird. Haven't heard of Kelly criterion. Thanks for hooking me up - literature looks sort of promising. Should hold something useful. >but with small variations for each asset Not quite. I think the biggest gains comes from very asset-specific tweaks. Base ideas for similar assets do remain same though. Last edited by Lapsa; 12/28/21 22:24.

Re: Lapsa's very own thread [Re: Lapsa] #484911 12/28/21 22:09 12/28/21 22:09
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	2 red days quite substantial losses more useful data ----- algo surely hates slow and gradual price decline

Re: Lapsa's very own thread [Re: Lapsa] #485007 01/07/22 03:32 01/07/22 03:32
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	if server time is out of sync - that introduces interesting shift in price action (bit weirdly as exchange is supposed to reject out of sync requests or something) doji candles on backtest becomes a part of previous / next candles on actual performance graph whole thing becomes a mess and I think is a culprit for the drawdown algo experienced changed `price()` to `MedPrice()`, backtest results unchanged, synced time still not a perfect 1:1 to backtests, but at least now I see an actual resemblance ------- trading business ain't doing well lately

Re: Lapsa's very own thread [Re: Lapsa] #485010 01/07/22 16:47 01/07/22 16:47
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	-IMO- you've picked one of (if not THE) hardest market(s) to trade successfully. Have you tried your approach (or a similar one) on the regular forex markets? In my experience, it's already a challenge to be successful in that market, especially on the long haul.

Re: Lapsa's very own thread [Re: Lapsa] #485016 01/09/22 15:33 01/09/22 15:33
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	It's around full month of hard work to build something similar for forex. Bit too much to just "take a look".

Re: Lapsa's very own thread [Re: Lapsa] #485018 01/09/22 22:35 01/09/22 22:35
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1151% Win 184$ MI 22.06$ DD 4.65$ Capital 21.36$ Trades 2819 Win 60.6% Avg +65.3p Bars 113 AR 1239% PF 1.64 SR 9.58 UI 1% R2 0.00 hopefully next week prints a bit so there's more breathing room reluctant to feed the beast

Re: Lapsa's very own thread [Re: Grant] #485057 01/12/22 18:21 01/12/22 18:21
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Originally Posted by Grant As for pairs trading, I recently saw this interesting keynote on pairs trading, using a Kalman filter as a spread basis. My current project takes too much time, but it was an insightful one. tried watching. got bored. learned nothing will check out wtf is Kalman filter though

Re: Lapsa's very own thread [Re: Lapsa] #485060 01/12/22 22:23 01/12/22 22:23
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Originally Posted by Lapsa Originally Posted by Grant As for pairs trading, I recently saw this interesting keynote on pairs trading, using a Kalman filter as a spread basis. My current project takes too much time, but it was an insightful one. tried watching. got bored. learned nothing will check out wtf is Kalman filter though That Kalman part was the only part I was interested in. Maybe you've already found it, but there's also a Zorro / R implementation on https://robotwealth.com/kalman-filter-pairs-trading-with-zorro-and-r/

Re: Lapsa's very own thread [Re: Lapsa] #485064 01/13/22 12:04 01/13/22 12:04
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	some more creativity Quote Monte Carlo Analysis... Median AR 1208% Win 187$ MI 22.12$ DD 4.38$ Capital 20.74$ Trades 2861 Win 60.6% Avg +65.4p Bars 113 AR 1280% PF 1.64 SR 9.62 UI 1% R2 0.00 I mean - just couple days ago it was 1130%. thought it would be impossible to squeeze out more data keeps piling I will catch that dragon Last edited by Lapsa; 01/13/22 12:06.

Re: Lapsa's very own thread [Re: Lapsa] #485074 01/14/22 16:27 01/14/22 16:27
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Given the number of trades, you have an impressive profit factor and ulser index. Those are the 3 main stats I'm looking for when evaluating a strategy. Last edited by Grant; 01/14/22 16:29.

Re: Lapsa's very own thread [Re: Lapsa] #485076 01/15/22 01:00 01/15/22 01:00
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	actually, I think Ulser Index (and R2) might be borked Sharpe Ratio definitely was after Zorro's update - suddenly started working

Re: Lapsa's very own thread [Re: Lapsa] #485077
01/15/22 02:16 01/15/22 02:16

Joined: Aug 2021
Posts: 237

Lapsa

OP
Member

Lapsa

OP
Member

Joined: Aug 2021
Posts: 237

Ehlers Instantaneous Trend [LazyBear]

Code

var nz(var x, var y) {
	if (x != 0) return x;
	return y;	
}

function run() 
{
	set(PLOTNOW);
	StartDate = 20220114;
	BarPeriod = 1;
	LookBack = 100;
	BarMode = BR_FLAT;

	vars src = series(price());
	var a = .07;
	vars it = series(0, 3);
	it[0] =
		(a-((a*a)/4.0))*src[0]+0.5*a*a*src[1]
		-(a-0.75*a*a)*src[2]+2*(1-a)*nz(it[1], ((src[0]+2*src[1]+src[2])/4.0))
		-(1-a)*(1-a)*nz(it[2], ((src[0]+2*src[1]+src[2])/4.0));
	var lag=2.0*it[0]-it[2];
	plot("trend", it[0], MAIN, RED);
	plot("trigger", lag, MAIN, BLUE);
}

weird crap starts to happen once I try to extract a function

(original code)

(proof pictures)

wanted to try out how hard it is to convert a Pine script

Last edited by Lapsa; 01/15/22 02:21.

Re: Lapsa's very own thread [Re: Lapsa] #485078
01/15/22 13:46 01/15/22 13:46

Joined: Aug 2021
Posts: 237

Lapsa

OP
Member

Lapsa

OP
Member

Joined: Aug 2021
Posts: 237

Ehlers MESA Adaptive Moving Average [LazyBear]

(code)

Code

//
// @author LazyBear 
// 
// List of my public indicators: http://bit.ly/1LQaPK8 
// List of my app-store indicators: http://blog.tradingview.com/?p=970 
//
// study("Ehlers MESA Adaptive Moving Average [LazyBear]", shorttitle="EMAMA_LB", overlay=true, precision=3)
// src=input(hl2, title="Source")
// fl=input(.5, title="Fast Limit")
// sl=input(.05, title="Slow Limit")
// sp = (4*src + 3*src[1] + 2*src[2] + src[3]) / 10.0
// dt = (.0962*sp + .5769*nz(sp[2]) - .5769*nz(sp[4])- .0962*nz(sp[6]))*(.075*nz(p[1]) + .54)
// q1 = (.0962*dt + .5769*nz(dt[2]) - .5769*nz(dt[4])- .0962*nz(dt[6]))*(.075*nz(p[1]) + .54)
// i1 = nz(dt[3])
// jI = (.0962*i1 + .5769*nz(i1[2]) - .5769*nz(i1[4])- .0962*nz(i1[6]))*(.075*nz(p[1]) + .54)
// jq = (.0962*q1 + .5769*nz(q1[2]) - .5769*nz(q1[4])- .0962*nz(q1[6]))*(.075*nz(p[1]) + .54)
// i2_ = i1 - jq
// q2_ = q1 + jI
// i2 = .2*i2_ + .8*nz(i2[1])
// q2 = .2*q2_ + .8*nz(q2[1])
// re_ = i2*nz(i2[1]) + q2*nz(q2[1])
// im_ = i2*nz(q2[1]) - q2*nz(i2[1])
// re = .2*re_ + .8*nz(re[1])
// im = .2*im_ + .8*nz(im[1])
// p1 = iff(im!=0 and re!=0, 360/atan(im/re), nz(p[1]))
// p2 = iff(p1 > 1.5*nz(p1[1]), 1.5*nz(p1[1]), iff(p1 < 0.67*nz(p1[1]), 0.67*nz(p1[1]), p1))
// p3 = iff(p2<6, 6, iff (p2 > 50, 50, p2))
// p = .2*p3 + .8*nz(p3[1])
// spp = .33*p + .67*nz(spp[1])
// phase = atan(q1 / i1)
// dphase_ = nz(phase[1]) - phase
// dphase = iff(dphase_< 1, 1, dphase_)
// alpha_ = fl / dphase
// alpha = iff(alpha_ < sl, sl, iff(alpha_ > fl, fl, alpha_))
// mama = alpha*src + (1 - alpha)*nz(mama[1])
// fama = .5*alpha*mama + (1 - .5*alpha)*nz(fama[1])
// pa=input(false, title="Mark crossover points")
// plotarrow(pa?(cross(mama, fama)?mama<fama?-1:1:na):na, title="Crossover Markers")
// fr=input(false, title="Fill MAMA/FAMA Region")
// duml=plot(fr?(mama>fama?mama:fama):na, style=circles, color=gray, linewidth=0, title="DummyL")
// mamal=plot(mama, title="MAMA", color=red, linewidth=2)
// famal=plot(fama, title="FAMA", color=green, linewidth=2)
// fill(duml, mamal, red, transp=70, title="NegativeFill")
// fill(duml, famal, green, transp=70, title="PositiveFill")
// ebc=input(false, title="Enable Bar colors")
// bc=mama>fama?lime:red
// barcolor(ebc?bc:na)

var nz(var x) {
	return x;	
}

var nz(var x, var y) {
	if (x != 0) return x;
	return y;	
}

function run() 
{
	set(PLOTNOW);
	StartDate = 20220114;
	BarPeriod = 1;
	LookBack = 100;
	BarMode = BR_FLAT;

	vars src = series(price());
	vars dt = series(0, 3);
	vars sp = series(0, 6);
	vars q1 = series(0, 6);
	vars i1 = series(0, 6);
	vars jI = series(0, 6);
	vars jq = series(0, 6);
	vars i2 = series(0, 2);
	vars q2 = series(0, 2);
	vars re = series(0, 2);
	vars im = series(0, 2);
	vars p = series(0, 2);
	vars spp = series(0, 2);
	vars phase = series(0, 2);
	vars mama = series(0, 2);
	vars fama = series(0, 2);
	vars p1 = series(0, 2);
	vars p3 = series(0, 2);
	
	var fl = .5;
	var sl = .05;
	
	sp[0] = (4*src[0] + 3*src[1] + 2*src[2] + src[3]) / 10.0;
	dt[0] = (.0962*sp[0] + .5769*nz(sp[2]) - .5769*nz(sp[4])- .0962*nz(sp[6]))*(.075*nz(p[1]) + .54);
	q1[0] = (.0962*dt[0] + .5769*nz(dt[2]) - .5769*nz(dt[4])- .0962*nz(dt[6]))*(.075*nz(p[1]) + .54);
	i1[0] = nz(dt[3]);
	jI[0] = (.0962*i1[0] + .5769*nz(i1[2]) - .5769*nz(i1[4])- .0962*nz(i1[6]))*(.075*nz(p[1]) + .54);
	jq[0] = (.0962*q1[0] + .5769*nz(q1[2]) - .5769*nz(q1[4])- .0962*nz(q1[6]))*(.075*nz(p[1]) + .54);
	var i2_ = i1[0] - jq[0];
	var q2_ = q1[0] + jI[0];
	i2[0] = .2*i2_ + .8*nz(i2[1]);
	q2[0] = .2*q2_ + .8*nz(q2[1]);
	var re_ = i2[0]*nz(i2[1]) + q2[0]*nz(q2[1]);
	var im_ = i2[0]*nz(q2[1]) - q2[0]*nz(i2[1]);
	re[0] = .2*re_ + .8*nz(re[1]);
	im[0] = .2*im_ + .8*nz(im[1]);
	
	if(im[0]!=0 && re[0]!=0) {
		p1[0] = 360/atan(im[0]/re[0]);
	} else {
		p1[0] = nz(p[1]);
	}
	
	var p2;
	if(p1[0] > 1.5*nz(p1[1])) {
		p2 = 1.5*nz(p1[1]);
	} else {
		if (p1[0] < .67*nz(p1[1])) {
			p2 = .67*nz(p1[1]);
		} else {
			p2 = p1[1];
		}
	}
	
	if (p2<6) {
		p3[0] = 6;
	} else {
		if (p2 > 50) {
			p3[0] = 50;
		} else {
			p3[0] = p2;
		}
	}
	
	p[0] = .2*p3[0]+.8*nz(p3[1]);
	spp[0] = .33*p[0]+.67*nz(spp[1]);
	phase[0] = atan(q1[0] / i1[0]);
	var dphase_ = nz(phase[1]) - phase[0];
	
	var dphase;
	if (dphase_ < 1) {
		dphase = 1;
	} else {
		dphase = dphase_;
	}
	
	var alpha_ = fl / dphase;
	var alpha;
	if (alpha_ < sl) {
		alpha = sl;
	} else {
		if (alpha_ > fl) {
			alpha = fl;
		} else {
			alpha = alpha_;
		}
	}
	
	mama[0] = alpha * src[0] + (1 - alpha)*nz(mama[1]);
	fama[0] = .5*alpha*mama[0]+(1-.5*alpha)*nz(fama[1]);
	
	plot("mama", mama, NEW, RED);
	plot("fama", fama, END, BLUE);
	
	MAMA(src, fl, .5);
	plot("z mama", rMAMA, NEW, RED);
	plot("z fama", rFAMA, END, BLUE);
}

(img)

Re: Lapsa's very own thread [Re: Lapsa] #485079 01/15/22 15:00 01/15/22 15:00
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Originally Posted by Lapsa actually, I think Ulser Index (and R2) might be borked Sharpe Ratio definitely was after Zorro's update - suddenly started working I've made a template in Google Sheets to calculate/compare certain performance stats, based on 'testtrades.csv'. By doing so I can calculate any metric. This comes in handy now that I realize that 3 out of 5 profitable models have a slightly negative performance on the short side, about 7% performance drop for my multi asset strategy. From what I remember from the Wine bug forum, was that JCL discussed the SR differences between Zorro in a Linux/Wine vs a Windows environment. It seems that either JCL and/or the Wine devs resolved this issue. This might had effect on Zorro under Windows as well. Last edited by Grant; 01/15/22 15:01.

Re: Lapsa's very own thread [Re: Lapsa] #485080 01/15/22 23:04 01/15/22 23:04
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	@Grant I like Sharpe Ratio. occasionally I do favor higher SR and trade count despite of lower AR had no luck with Wine - system error`ed out every day

Re: Lapsa's very own thread [Re: Lapsa] #485081 01/15/22 23:08 01/15/22 23:08
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	week in mild profits and by "mild" I mean like +20% increase in capital (which sounds superb if we ignore earlier losses) part of me is itching again, wanting to scale up I mean, can afford it and it definitely makes everyday more exciting should check news. gut feels modest bull run

Re: Lapsa's very own thread [Re: Lapsa] #485083 01/16/22 00:25 01/16/22 00:25
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Originally Posted by Lapsa @Grant I like Sharpe Ratio. occasionally I do favor higher SR and trade count despite of lower AR With fixed lot sizes, a 'low' AR shouldn't be a concern. Once your profit to risk (PF, SR... pick your own flavor) is high, you can boost the AR anyway with more aggressive position sizes. Originally Posted by Lapsa week in mild profits and by "mild" I mean like +20% increase in capital (which sounds superb if we ignore earlier losses) part of me is itching again, wanting to scale up I mean, can afford it and it definitely makes everyday more exciting What is holding you from not doing so? You should be good to go once you ran some successful back tests with more leverage.

Re: Lapsa's very own thread [Re: Lapsa] #485085 01/16/22 15:42 01/16/22 15:42
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	timing is important -1k$ today hurts and if it's good enough, I will have that +1k in a week or something I mean - as long as it got enough fuel to snowball, why bother?

Re: Lapsa's very own thread [Re: Lapsa] #485086 01/16/22 15:47 01/16/22 15:47
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	hey! do You want to run Laguerre in Bollinger Bands Oscillator? well... NOW YOU CAN! Code // percentage of a variable within a band var percent(var a,var l,var h) { if(l == h) return 50.; return 100.(a-l)/(h-l); } // Bollinger Bands Oscillator var BBOscDeluxe3000(var Data,int Period,var NbDev) { var basis = Laguerre(Data, .5); // random alpha, no ideas var dev = StdDev(Data, Period); var upper = basis + devNbDev; var lower = basis - devNbDev; return percent(Data[0],lower,upper); } for only 9.99$ per month or something ain't saying you should emm... anyhow... just flexing skillz feels good to slice it up whichever way I want to

Re: Lapsa's very own thread [Re: Lapsa] #485087 01/16/22 16:52 01/16/22 16:52
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Can't argue that! Time to get back to the drawing board and look for more consistency.

Re: Lapsa's very own thread [Re: Lapsa] #485090 01/18/22 07:30 01/18/22 07:30
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	found out the rule that caused losses in January it's sitting around -113% removing it turns into +100% in overall backtest, that's a drop from ~1260% to ~1157% tweaking it a bit makes January go to +500% but screws up overall way more ------ what it does is basically gives a green light when volatility increases but the market in January is stagnating so what previously meant increase in volatility, nowadays means already peaking ------ no actions taken. give me moar of those losses, please

Re: Lapsa's very own thread [Re: Lapsa] #485094 01/19/22 22:07 01/19/22 22:07
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Trade foxer MATICUSDT (TICKS), Zorro 2.440 Bar period 1 min (avg 1 min) Trade period 2022-01-17..2022-01-19 Spread 2.0 pips (roll 0.00/0.00) Commission -0.10 Contracts per lot 1.0 Gross win/loss 222$-116$, +1821.3p Average profit 18320$/year, 1527$/month, 70.46$/day Max drawdown -43.38$ 41.2% (MAE -57.51$ 54.6%) Max down time 4 hours from Jan 2022 Max open margin 748$ Max open risk 1.17$ Trade volume 27686$ (4812174$/year) Transaction costs -1.41$ spr, -0.32$ slp, 0$ rol, -27.71$ com Capital required 878$ Number of trades 22 (3824/year, 74/week, 15/day) Percent winning 68.2% Max win/loss 30.12$ / -26.45$ Avg trade profit 4.79$ 82.8p (+255.5p / -287.3p) Avg trade slippage -0.0145$ -0.3p (+4.7p / -10.8p) Avg trade bars 129 (+120 / -147) Max trade bars 565 (9 hours) Max open trades 1 Max loss streak 2 Annual return 2087% Profit factor 1.91 (PRR 1.03) Scholz tax 28 EUR Portfolio analysis OptF ProF Win/Loss Result MATICUSDT .1000 1.91 15/7 +105 MATICUSDT:L .1000 0.70 6/5 -31 MATICUSDT:S .1000 10.74 9/2 +136 writing it down before it evaporates Last edited by Lapsa; 01/19/22 22:16.

Re: Lapsa's very own thread [Re: Lapsa] #485095 01/21/22 05:20 01/21/22 05:20
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	and it's gone bugcoin goin to zero

Re: Lapsa's very own thread [Re: Lapsa] #485096 01/21/22 08:23 01/21/22 08:23
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	every draw down is a chance to improve my algo

Re: Lapsa's very own thread [Re: Lapsa] #485107 01/23/22 12:38 01/23/22 12:38
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	bunch of changes Quote Monte Carlo Analysis... Median AR 1147% Win 185$ MI 21.11$ DD 4.31$ Capital 20.42$ Trades 2965 Win 60.7% Avg +62.4p Bars 112 AR 1240% PF 1.60 SR 9.23 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485108 01/23/22 13:26 01/23/22 13:26
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	and some more Quote Monte Carlo Analysis... Median AR 1153% Win 186$ MI 21.20$ DD 4.31$ Capital 20.42$ Trades 2961 Win 60.7% Avg +62.8p Bars 113 AR 1245% PF 1.60 SR 9.26 UI 1% R2 0.00 now start printing some dough you piece of shit

Re: Lapsa's very own thread [Re: Lapsa] #485109 01/23/22 13:49 01/23/22 13:49
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	crypto sheldon said it's going to 200k in January (Elliot waves my ass) I thought 80k by the end of year is realistic

Re: Lapsa's very own thread [Re: Lapsa] #485110 01/24/22 12:29 01/24/22 12:29
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	healthy market behavior

Re: Lapsa's very own thread [Re: Lapsa] #485111 01/24/22 12:55 01/24/22 12:55
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	losses after losses after losses yay

Re: Lapsa's very own thread [Re: Lapsa] #485112 01/24/22 13:16 01/24/22 13:16
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	all those fib retracements eating dust inflation through the roof, great war prospects in Europe now we just need usdt & usdc collapse WYCKOFFF STRUCTURE!!1111ELEVEN Last edited by Lapsa; 01/24/22 13:34.

Re: Lapsa's very own thread [Re: Lapsa] #485114 01/24/22 14:17 01/24/22 14:17
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	percents go down, I push them back Quote Monte Carlo Analysis... Median AR 1137% Win 184$ MI 20.90$ DD 4.31$ Capital 20.40$ Trades 3010 Win 60.5% Avg +61.3p Bars 111 AR 1230% PF 1.59 SR 9.14 UI 1% R2 0.00 print some money already...

Re: Lapsa's very own thread [Re: Lapsa] #485115 01/24/22 14:36 01/24/22 14:36
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Separately, it is worth taking note of the Chart Pattern Elliott Wave indicator. This indicator compares the price movement with the most common Elliott Wave theory models — impulse and zigzag, and if it finds a match, it displays the best of them on the chart. tradingview adding new indicators ironically - Chart Pattern Elliot Wave indicator fails to draw anything Last edited by Lapsa; 01/24/22 14:36.

Re: Lapsa's very own thread [Re: Lapsa] #485121 01/24/22 23:30 01/24/22 23:30
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	some life

Re: Lapsa's very own thread [Re: Lapsa] #485122 01/25/22 07:23 01/25/22 07:23
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1175% Win 189$ MI 21.31$ DD 4.31$ Capital 20.39$ Trades 2998 Win 60.4% Avg +62.9p Bars 112 AR 1255% PF 1.60 SR 9.32 UI 1% R2 0.00 laptop gets about 1 second delay per day bit ludicrous should automate time sync QLSMA banned, ALMA in, some decycler love for longs, trix stuff spliced per side, some additional lag here and there and with all the updates - January doesn't look half bad retrospectively... -_- Last edited by Lapsa; 01/25/22 07:39.

Re: Lapsa's very own thread [Re: Lapsa] #485126 01/25/22 21:47 01/25/22 21:47
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	10 / 14 calls clock out of sync by a second again hacks here and there sync per week -> per 7 minutes let's see how it behaves Last edited by Lapsa; 01/25/22 22:01.

Re: Lapsa's very own thread [Re: Lapsa] #485127 01/25/22 23:42 01/25/22 23:42
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237

Re: Lapsa's very own thread [Re: Lapsa] #485166 01/30/22 20:09 01/30/22 20:09
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	clock syncing up nicely (have achieved 0 maintenance) week in red whole thing looks kinda pointless

Re: Lapsa's very own thread [Re: Lapsa] #485168 01/31/22 10:56 01/31/22 10:56
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	numbehs go down, I push them back Quote Monte Carlo Analysis... Median AR 1205% Win 196$ MI 21.66$ DD 4.31$ Capital 20.29$ Trades 3035 Win 60.4% Avg +64.6p Bars 113 AR 1281% PF 1.62 SR 9.52 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485179 02/01/22 08:06 02/01/22 08:06
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1225% Win 198$ MI 21.84$ DD 4.31$ Capital 20.27$ Trades 3010 Win 60.3% Avg +65.9p Bars 114 AR 1293% PF 1.63 SR 9.62 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485188 02/02/22 01:33 02/02/22 01:33
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	UI and R2 are not broken works fine when I plug in compounding on Balance*.25 it's UI 2% and R2 .8 even looks reasonably sane but that's not quite what I'm looking for I want that snowball Quote Monte Carlo Analysis... Median AR 1227% Win 200$ MI 21.96$ DD 4.31$ Capital 20.26$ Trades 3009 Win 60.3% Avg +66.4p Bars 114 AR 1300% PF 1.63 SR 9.68 UI 1% R2 0.00 pushed even further 9 months of data

Re: Lapsa's very own thread [Re: Lapsa] #485193 02/02/22 11:40 02/02/22 11:40
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	I believe that 25% is a fair rate, which is prob similar to an Optimal F output. Last edited by Grant; 02/02/22 14:19.

Re: Lapsa's very own thread [Re: Lapsa] #485196 02/02/22 15:48 02/02/22 15:48
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	@Grant yeah, got similar thinking. which is why I played around those values but that's late game. I want that snowball ---------------- looks like markets gonna struggle down further bunch of fake optimism without an actual rebound US debt records, Russian drama, SPY falling again but at least that's a movement! enough of that 1% channel sideways bullshit Last edited by Lapsa; 02/02/22 15:56.

Re: Lapsa's very own thread [Re: Lapsa] #485204 02/03/22 08:28 02/03/22 08:28
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	stuff that I dislike: AC ADO ADX ADXR Alligator BOP CCI CMO Coral DPO DX FractalHigh HMA MinusDI NumWhiteBlack PlusDI QLSMA ROC RSI SAR SentimentLW SentimentG SIROC StochRSI T3 UltOsc VolatilityC VolatilityMM WCLPrice WillR WMA

Re: Lapsa's very own thread [Re: Lapsa] #485205 02/03/22 09:05 02/03/22 09:05
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1210% Win 202$ MI 22.14$ DD 4.31$ Capital 20.24$ Trades 3018 Win 60.5% Avg +67.1p Bars 114 AR 1312% PF 1.64 SR 9.78 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485206 02/03/22 20:37 02/03/22 20:37
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1218% Win 204$ MI 22.28$ DD 4.31$ Capital 20.24$ Trades 3016 Win 60.5% Avg +67.5p Bars 114 AR 1320% PF 1.65 SR 9.85 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485209 02/04/22 08:59 02/04/22 08:59
Joined: Feb 2018 Posts: 25 1 1ND1G0 Newbie
1ND1G0 Newbie 1 Joined: Feb 2018 Posts: 25	Out of interest, what is strategy performance like when you backtest with WFO? While some of the metrics you post look good, I do wonder how robust the logic actually is, and whether you are massively overfitting entry / exit criteria just to generate good number on paper.

Re: Lapsa's very own thread [Re: Lapsa] #485211 02/04/22 20:43 02/04/22 20:43
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	man... where do I even start... WFO ain't some kind of magic bullet you do realize those numbers are over 9 months period of time, right? to put it in perspective - January performance shows AR of 64% yes, I am massively overfitting that's the whole idea - THE strategy what you call overfitting - I call strategy development there are tricks so arcane Mr. Ehler himself would start crying it's not "just to generate good number on paper" but gradually, over time - filter out good stuff until it starts behaving live that's all there is - a backtest. somewhat close approximation of what would have happened in past that is the ONLY weapon you get unless you are into moon phases or insider trading

Re: Lapsa's very own thread [Re: Lapsa] #485212 02/05/22 00:34 02/05/22 00:34
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	I try to understand your thought process, but I don't. Why would you develop a system, knowing on beforehand that it will clearly over-fit on your in-sample data? Knowing how your system behaves on out-of-sample data should be key before going live. Last edited by Grant; 02/05/22 00:36.

Re: Lapsa's very own thread [Re: Lapsa] #485213 02/05/22 05:01 02/05/22 05:01
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	because you don't consider that my in-sample data is all the meaningful data there is my out-of-sample data is tomorrow's failure what else you want me to test it on? different asset? generated white noise? Mozart's 40th symphony? ---------- WFO moves the starting point and tries to find best optional parameters I run it on full history and don't parameterize strategy apart from stuff that controls position size (although occasionally I do slice it up and analyze particular week or month to gain insight about most conflicting parts)

Re: Lapsa's very own thread [Re: Lapsa] #485214 02/05/22 05:31 02/05/22 05:31
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	With `EndDate = 20220202;` Quote Monte Carlo Analysis... Median AR 1244% Win 204$ MI 22.29$ DD 4.31$ Capital 20.25$ Trades 3015 Win 60.5% Avg +67.5p Bars 114 AR 1321% PF 1.65 SR 9.85 UI 1% R2 0.00 Without `EndDate = 20220202;` Quote Monte Carlo Analysis... Median AR 1081% Win 202$ MI 21.89$ DD 5.57$ Capital 22.71$ Trades 3030 Win 60.4% Avg +66.5p Bars 115 AR 1157% PF 1.64 SR 9.70 UI 1% R2 0.00 With `StartDate = 20220201` Quote Loss -2.51$ MI -18.11$ DD 2.71$ Capital 19.83$ Trades 43 Win 46.5% Avg -58.4p Bars 109 AR -1096% PF 0.44 SR -16.88 UI 100% R2 0.00 Last edited by Lapsa; 02/05/22 05:35.

Re: Lapsa's very own thread [Re: Lapsa] #485215 02/05/22 06:42 02/05/22 06:42
Joined: Feb 2018 Posts: 25 1 1ND1G0 Newbie
1ND1G0 Newbie 1 Joined: Feb 2018 Posts: 25	Yep, I'm with Grant and don't really understand what your approach is here. Are you looking for feedback by posting here, or are you just using the forum as a place to dump your notes? I think most of the rest of us just use a document on our local machines for some of the observations you are making. But each to their own. To clarify - are you live with any of these strategies or do you have a method you are following that is taking you closer to going live with these? It sometimes seems like you are generating metrics just for the sake of generating them, however big numbers are meaningless (at least to most readers here I would suspect) if they are not robust. Have a read of this (if you haven't done so already): https://financial-hacker.com/build-better-strategies-part-3-the-development-process/ and see if this can help focus the mind.

Re: Lapsa's very own thread [Re: Lapsa] #485216 02/05/22 06:59 02/05/22 06:59
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	I welcome feedback, but mostly second I don't generate them. those are actual backtest results. all of them meaningless? monthly income of 34196129$ doesn't spark your interest? live since October define robustness! mine is simple - it's robust if you became filthy rich. after the fact only have read all of that blog

Re: Lapsa's very own thread [Re: Lapsa] #485217 02/05/22 07:36 02/05/22 07:36
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	sure looks bad. but it's useful

Re: Lapsa's very own thread [Re: Lapsa] #485218 02/05/22 07:43 02/05/22 07:43
Joined: Feb 2018 Posts: 25 1 1ND1G0 Newbie
1ND1G0 Newbie 1 Joined: Feb 2018 Posts: 25	I'm sure JCL or one of the many other experts here could better define robustness, but I suppose I generally look to see how similar my backtest performance was when compared to forward testing or live trading. This will show how sensitive the indicative results during the backtest are to parameter settings / period of test / market conditions / asset etc... Are you seeing annualised returns of 1000%+ during live trading in line with some of the recent results you are posting here? Does your win rate / drawdown etc. align with your expectations from the development process?

Re: Lapsa's very own thread [Re: Lapsa] #485219 02/05/22 08:10 02/05/22 08:10
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote but I suppose I generally look to see how similar my backtest performance was when compared to forward testing or live trading and what do you think I do? Quote Are you seeing annualised returns of 1000%+ during live trading in line with some of the recent results you are posting here? are you from the past? it's the worst crash since March 2020 either way equity curve goes - high linearity is the least likeable attribute of it yes, they do align. but only because my expectations are sane Last edited by Lapsa; 02/05/22 08:21.

Re: Lapsa's very own thread [Re: Lapsa] #485220 02/05/22 08:20 02/05/22 08:20
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1092% Win 202$ MI 21.91$ DD 5.48$ Capital 22.54$ Trades 3037 Win 60.4% Avg +66.4p Bars 114 AR 1167% PF 1.64 SR 9.72 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485224 02/05/22 09:39 02/05/22 09:39
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Originally Posted by Lapsa because you don't consider that my in-sample data is all the meaningful data there is my out-of-sample data is tomorrow's failure what else you want me to test it on? different asset? generated white noise? Mozart's 40th symphony? I will answer that by explaining what I did (without implying to be mr know it all!). I've picked February & March 2020 as my in-sample period (1M data). Why? Because February had a relative low volatility, but March was sky high. So this short period contained at lot of valuable information. Then I ran a ton of backtests from February 2020 till May 2021, just to see how my models (I use ML, hence 'models') behave in- and out-of-sample. By doing so, you see exactly how easy it is to over-fit a model. In- and out-of-sample Out-of-sample Last edited by Grant; 02/05/22 12:02.

Re: Lapsa's very own thread [Re: Lapsa] #485234 02/06/22 11:00 02/06/22 11:00
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	@Grant I'm missing your point it feels like you are stating obvious --------- also - there is a bit of difference when working with machine learning the idea being - when you over fit ML model, you can't go back and cherry pick out the good parts out of trained model cause it's gibberish at the very least - not as easy --------- about mr know it all well... excuse my tone - I deliberately try to be dense, direct and open I think that's just the fastest way to knowledge you have made me think about things that would otherwise fly by unnoticed, so thanks Last edited by Lapsa; 02/06/22 11:16.

Re: Lapsa's very own thread [Re: Lapsa] #485235 02/06/22 12:49 02/06/22 12:49
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	I appreciate that 'tone' sir, so no problem! I find the different approaches on this forum and financial-hacker refreshing to read. Yes, there's nothing magical about my approach in general, but why would you not out-of-sample test your strategy first on recent historical data, and once it behaves stable, test it on a demo account? By skipping the first part, the uncertainty is even higher and so will be your failure rate, so you're wasting more time in your development process. As for ML, I'm well aware of the bias-variance tradeoff. I apply techniques like cross-validation and regularisation to control this issue as much as possible, but granted, it's tough, esp with financial market data.

Re: Lapsa's very own thread [Re: Lapsa] #485241 02/07/22 06:22 02/07/22 06:22
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	most problematic period of time conflicting rules identified curve looks reasonably nice if we throw them out

Re: Lapsa's very own thread [Re: Lapsa] #485242 02/07/22 09:05 02/07/22 09:05
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	numbehs go down, I push them back Quote Monte Carlo Analysis... Median AR 1185% Win 203$ MI 21.91$ DD 4.42$ Capital 20.41$ Trades 3030 Win 60.4% Avg +67.1p Bars 115 AR 1288% PF 1.64 SR 9.52 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485252 02/09/22 08:49 02/09/22 08:49
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	finally some green. about 6.5% / day that's a house in half a year if things were so simple...

Re: Lapsa's very own thread [Re: Lapsa] #485253 02/09/22 09:05 02/09/22 09:05
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	speaking of Kelly Criterion Last edited by Lapsa; 02/09/22 19:47.

Re: Lapsa's very own thread [Re: Lapsa] #485256 02/09/22 17:12 02/09/22 17:12
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	numbehs go up themselves Quote Monte Carlo Analysis... Median AR 1206% Win 210$ MI 22.47$ DD 4.42$ Capital 20.38$ Trades 3065 Win 60.7% Avg +68.6p Bars 115 AR 1324% PF 1.66 SR 9.77 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485258 02/09/22 19:41 02/09/22 19:41
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	woah... marked that channel right when it started at 20:00 resistance at high volume short wall built ~15min ago support at 1h Tenkan

Re: Lapsa's very own thread [Re: Lapsa] #485265 02/11/22 00:05 02/11/22 00:05
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	I feel bearish for the weekend - there's gonna be blood way above MESA daily gonna re-test Kumo 42k again it is not that I'm good at predictions funky week

Re: Lapsa's very own thread [Re: Lapsa] #485266 02/11/22 11:48 02/11/22 11:48
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	PF 1.7 has been breached! Quote Monte Carlo Analysis... Median AR 1227% Win 220$ MI 23.42$ DD 4.77$ Capital 21.03$ Trades 2969 Win 60.7% Avg +74.2p Bars 119 AR 1336% PF 1.71 SR 10.20 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485267 02/12/22 08:20 02/12/22 08:20
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote daily gonna re-test Kumo 42k again it is

Re: Lapsa's very own thread [Re: Lapsa] #485268 02/12/22 14:50 02/12/22 14:50
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1265% Win 222$ MI 23.56$ DD 4.74$ Capital 20.96$ Trades 2919 Win 60.3% Avg +76.2p Bars 121 AR 1349% PF 1.72 SR 10.28 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485271 02/12/22 20:30 02/12/22 20:30
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1285% Win 223$ MI 23.60$ DD 4.37$ Capital 20.23$ Trades 2910 Win 60.2% Avg +76.7p Bars 122 AR 1400% PF 1.72 SR 10.30 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485273 02/13/22 03:51 02/13/22 03:51
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1333% Win 223$ MI 23.59$ DD 4.27$ Capital 20.03$ Trades 2904 Win 60.2% Avg +76.9p Bars 122 AR 1413% PF 1.73 SR 10.30 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485275 02/14/22 10:13 02/14/22 10:13
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1327% Win 228$ MI 23.96$ DD 4.27$ Capital 20.01$ Trades 2902 Win 60.2% Avg +78.5p Bars 123 AR 1437% PF 1.75 SR 10.48 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485281 02/16/22 14:11 02/16/22 14:11
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Don't skip series calls with if statements sad panda makes sense though

Re: Lapsa's very own thread [Re: Lapsa] #485283 02/16/22 15:38 02/16/22 15:38
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1370% Win 231$ MI 24.19$ DD 4.27$ Capital 19.99$ Trades 2898 Win 60.1% Avg +79.8p Bars 123 AR 1452% PF 1.76 SR 10.60 UI 1% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485349 02/28/22 12:46 02/28/22 12:46
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1415% Win 244$ MI 24.48$ DD 4.09$ Capital 19.47$ Trades 3020 Win 60.1% Avg +80.8p Bars 124 AR 1509% PF 1.78 SR 10.85 UI 1% R2 0.03 $100 start roflnumbehs Quote Monte Carlo Analysis... Median AR 113% Win 495459134$ MI 49692053$ DD 112745680$ Capital 661451776$ Trades 3020 Win 60.1% Avg +80.8p Bars 124 AR 90% PF 1.27 SR 2.96 UI 4% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #485395 03/05/22 17:06 03/05/22 17:06
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote Monte Carlo Analysis... Median AR 1443% Win 250$ MI 24.64$ DD 4.08$ Capital 19.38$ Trades 2999 Win 60.0% Avg +83.2p Bars 126 AR 1525% PF 1.80 SR 10.97 UI 0% R2 0.09

Re: Lapsa's very own thread [Re: Lapsa] #485401 03/07/22 15:03 03/07/22 15:03
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	trading is stupid slowly giving up

Re: Lapsa's very own thread [Re: Lapsa] #485402 03/07/22 19:02 03/07/22 19:02
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	No. You're a very good coder, but you're also very stubborn in your approach.

Re: Lapsa's very own thread [Re: Lapsa] #485403 03/07/22 21:54 03/07/22 21:54
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	cause it makes sense and thanks for the kind words.... Last edited by Lapsa; 03/07/22 21:55.

Re: Lapsa's very own thread [Re: Lapsa] #485404 03/07/22 21:59 03/07/22 21:59
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	backtest shows .7 billion dollars from $100 in 10 months yet system ain't profitable

Re: Lapsa's very own thread [Re: Lapsa] #485405 03/07/22 22:15 03/07/22 22:15
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	But that's in-sample (right?), which makes this return completely irrelevant. Why not reserve some history for out-of-sample testing? This will speed up your dev process. Last edited by Grant; 03/07/22 23:37.

Re: Lapsa's very own thread [Re: Lapsa] #485409 03/08/22 06:31 03/08/22 06:31
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	What do you mean by in-sample? That's the whole history there is. MATIC is around for couple years. I'm just ignoring the very initial stage when it had no traction at all. What's the point of keeping out-of-sample history if I'm gonna test it anyway? Doesn't that sort of make it in-sample too? I don't get your point. ---- > But that's in-sample (right?) I didn't fine tune it for a single week and then extrapolated expected returns. I fine tuned it for the (!) whole meaningful history I got. And those are the numbers that come up. Last edited by Lapsa; 03/08/22 07:14.

Re: Lapsa's very own thread [Re: Lapsa] #485410 03/08/22 13:37 03/08/22 13:37
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Let's compare strategy development cycles in a nut shell.. Yours: take the full data set (in-sample) for tuning > skip out-of-sample testing > test it right away on live market data > weeks go on and now you realize that it performs poorly (most cases) or you have an unicorn. The traditional way: take 75-90% from your data for tuning > test it out-of-sample on the rest of your data set > you realize almost right away that it performs poorly (most cases) or you have an unicorn > once you have that unicorn, you run it on live market data for a final test ride (better safe than sorry). Advantages of the traditional method: you save much time and you can compare out-of-sample results from multiple strategies / tune-settings (very important). Your strategy has much potential when I look at the in-sample results, but your tuning method leads to over-fitting. That's the main weakness that you need to fix. Last edited by Grant; 03/08/22 15:08.

Re: Lapsa's very own thread [Re: Lapsa] #485412 03/08/22 16:24 03/08/22 16:24
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Yeah, but you wait a month, test it again and you got your 10-25% out-of-sample data. I really don't see a benefit. What if we pick January 2022 as our out-of-sample data? Why such data should be allowed to trump everything else just because it got ignored while fine-tuning?

Re: Lapsa's very own thread [Re: Lapsa] #485413 03/08/22 16:58 03/08/22 16:58
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Once your OOS results are good (which is far from easy), you only need another month or so once. Sure, you can skip that second test phase, but that would be foolish. It's not about 'trump everything', it's about finding out right away how robust your strategy is. In most cases there's over-fitting, so you need to OOS test, adapt, OOS test, adapt, etc. over and over again before your strategy is tradeable.

Re: Lapsa's very own thread [Re: Lapsa] #485415 03/08/22 18:12 03/08/22 18:12
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	I just fail to see it. I mean, I do see some benefit in such approach. Some rules indeed work only temporarily. But I also feel it raises bunch of new concerns and uncertainties. Just wanted to highlight one of them - actually picking OOS data. No matter what's your approach on picking up robustness measurements - they would be based in OOS data. I think my biggest problem is with the definition of over-fitting itself. I don't know how to measure it (!) precisely. Have seen and made algos that are obviously over-fitted and fail immediately on any different data. But when it's such heaps of data and thousands of trades - I don't really believe it's that easy to over-fit. More and more the results legitimizes themselves as The Unicorn. -------- Btw, on actual performance - you might argue it's not half bad. Sort of break even-ish month. 1 week was great (dunno, +30% or something) - flattened out by others. Given the circumstances we currently live in - it's not really that much out of the line. In 2021 - it shows about 3 flat months in a row. Ulcer's might not like it, but hey - that's the path I chose! -------- Much of the frustration comes from the fact how hard it actually is to live trade. You need bravery - sending out bunch of money and putting it on the line isn't exactly that easy. Foolishness can help too (and backstab you later on). You need resilience - even after hitting stop loss like 5 times in a row, that may or may not tell anything. You need patience - those hours go by slowly. Even worse when you get bad gut feel predictions for days / weeks. And then the stuff automagically happens and you are TOO LATE. Either it failed or you are left with constant reminders that success ain't given freely and may very well disappear next week. Ridiculous of me initially thinking that sound alerts are a good idea.

Re: Lapsa's very own thread [Re: Lapsa] #485416 03/08/22 18:47 03/08/22 18:47
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	I can appreciate your honesty. Setting up successful algo trading isn't like just baking a cake There's no golden standard for robustness/over-fitting (both are -IMO- pretty much the same), so I can only speak for myself. I look for decent OOS statistics, enough trades (say 50+), combined with a decent PF (say 1.25+). More precise would be to look at the performance offsets between your in- and out-of-sample stats. To read it from a different perspective, check this interesting blog article https://quantlane.com/blog/avoid-overfitting-trading-strategies/ Believe me, even with 10 years of data with 1000+ trades you can have over-fitting, so a large in-sample set is not a guarantee for robustness. This largely depends on the complexity of your approach, the more complex, the higher the likelihood of over-fitting.

Re: Lapsa's very own thread [Re: Lapsa] #485417 03/08/22 20:00 03/08/22 20:00
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	sadly - I find that blog article empty. nicely written, good theory overview, near zero practical value > enough trades (say 50+) that's like couple days to my mind - tells nothing > not a guarantee for robustness I don't believe there is any > This largely depends on the complexity of your approach, the more complex, the higher the likelihood of over-fitting. already mentioned - think it's much more important when working with machine learning > Believe me, even with 10 years of data with 1000+ trades you can have over-fitting I know it's there. just don't think it's that easy to pick it out by delaying tests on some particular data

Re: Lapsa's very own thread [Re: Lapsa] #485418 03/08/22 22:24 03/08/22 22:24
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Originally Posted by Lapsa sadly - I find that blog article empty. nicely written, good theory overview, near zero practical value It provides basic guidelines. Don't expect effective 'recipes' in this secretive area. Quote > enough trades (say 50+) that's like couple days to my mind - tells nothing That's just a number to give an indication, just like reserving 10-25% from your data set for OOS testing. Quote > not a guarantee for robustness I don't believe there is any True, but I provide you some guidelines to increase the likelihood. Up to you what do with that, it's your broker account. Quote > This largely depends on the complexity of your approach, the more complex, the higher the likelihood of over-fitting. already mentioned - think it's much more important when working with machine learning > Believe me, even with 10 years of data with 1000+ trades you can have over-fitting I know it's there. just don't think it's that easy to pick it out by delaying tests on some particular data Yes, this is esp true with ML, but you can basically over-fit any method. I don't know about the complexity of your approach, but those in-sample stats are way too optimistic.

Re: Lapsa's very own thread [Re: Grant] #485419 03/09/22 06:02 03/09/22 06:02
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Originally Posted by Grant but those in-sample stats are way too optimistic. well... those are just numbers my expectations are slightly lower - I expect it to be profitable and that's all Last edited by Lapsa; 03/09/22 09:29.

Re: Lapsa's very own thread [Re: Lapsa] #485420 03/09/22 09:35 03/09/22 09:35
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	> This largely depends on the complexity of your approach, the more complex, the higher the likelihood of over-fitting. likelihood - perhaps... although would like to state that you can have whatever complexity you want as long as the rules work together in symphony

Re: Lapsa's very own thread [Re: Lapsa] #485427 03/09/22 13:13 03/09/22 13:13
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	Originally Posted by Lapsa [quote=Grant] my expectations are slightly lower - I expect it to be profitable and that's all expectations <-> reality When your actual returns were only slightly lower, then we wouldn't had this conversation. Sorry, but you need to face the reality, which is that your strategy is over-fitting big time.

Re: Lapsa's very own thread [Re: Lapsa] #485428 03/09/22 13:21 03/09/22 13:21
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	yeah whatever

Re: Lapsa's very own thread [Re: Lapsa] #485484 03/17/22 11:46 03/17/22 11:46
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	.88 billion $

Re: Lapsa's very own thread [Re: Lapsa] #485486 03/17/22 12:34 03/17/22 12:34
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	same data, same configuration, same code new version >300 millions of imaginary dollahs gone Quote Why do I get a different backtest result? Because of updated price histories, updated asset lists, or changes listed below. Find out by comparing both logs. has to be changes listed below I mean - perhaps it is more accurate and what not but surely does reinforce feeling how stupid and pointless whole thing is

Re: Lapsa's very own thread [Re: Lapsa] #485487 03/17/22 13:27 03/17/22 13:27
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	Quote [18455: Sat 21-05-01 02:16] 0.30 +0.18 2/0 (0.834370) [MATICUSDT::L36084] Reverse 10@0.833370: +0.17 at 02:16:00 [MATICUSDT::S45585] Short 10@0.833369 Risk 0 t at 02:16:00 [18456: Sat 21-05-01 02:17] 0.27 -0.0131 2/1 (0.833850) Quote [18455: Sat 21-05-01 02:16] 0.30 +0.18 2/0 (0.834370) [MATICUSDT::L36084] Reverse 10@0.834370: +0.18 at 02:16:00 [MATICUSDT::S45585] Short 10@0.834370 Risk 0 t at 02:16:00 [18456: Sat 21-05-01 02:17] 0.29 -0.0031 2/1 (0.833850) well... the algo seems to be working same so that's the good news with `Slippage = 0` - results are same and the mystery is solved probably some cheese got moved with the introduction of `Penalty` parameter in fact - 2.44 version indeed looks bit more suspicious. ~ price falls from 100 @ minute1 to 50 @ minute2, yet reversal in between happens at price 25. surely realistic and possible yet unknown how Zorro comes up with that anyhow - should read that help file a bit more

Re: Lapsa's very own thread [Re: Lapsa] #485592 03/29/22 06:23 03/29/22 06:23
Joined: Aug 2021 Posts: 237 L Lapsa OP Member
Lapsa OP Member L Joined: Aug 2021 Posts: 237	finally some life in markets

Re: Lapsa's very own thread [Re: Lapsa] #485610
03/30/22 14:50 03/30/22 14:50

Joined: Aug 2021
Posts: 237

Lapsa

OP
Member

Lapsa

OP
Member

Joined: Aug 2021
Posts: 237

my friend bought a hunting rifle, I bought a Zorro license

I like MFI

at least for a quick glance on how volume affects the price

Code

function MFI(var Period, var High, var Low, var Close, var Volume) {
	vars vol = series(Volume);	
	vars hlc = series((High + Low + Close) / 3);	
	var pos=.0;
	var neg=.0;
	var i = 0;
	for(i=0;i<Period;i++) {
		if (hlc[i] > hlc[i+1]) pos = pos + vol[i];
		if (hlc[i] < hlc[i+1]) neg = neg + vol[i];
	}
	var mfr = pos / neg;		
	var mfi = 0;
	if (1+mfr != 0) mfi = 100 - 100 / (1 + mfr);	
	return mfi;
}

Re: Lapsa's very own thread [Re: Lapsa] #485611 03/30/22 17:54 03/30/22 17:54
Joined: Aug 2017 Posts: 294 Netherlands G Grant Member
Grant Member G Joined: Aug 2017 Posts: 294 Netherlands	You actually bought a special sword with potential superpowers, a great investment.

Re: Lapsa's very own thread [Re: Lapsa] #485627
04/02/22 20:55 04/02/22 20:55

Joined: Aug 2021
Posts: 237

Lapsa

OP
Member

Lapsa

OP
Member

Joined: Aug 2021
Posts: 237

green week (ain't over yet...)
~15% capital gains

Quote

Monte Carlo Analysis... Median AR 1445%
Win 257$ MI 23.18$ DD 3.91$ Capital 18.76$
Trades 3216 Win 60.5% Avg +79.8p Bars 128
AR 1483% PF 1.81 SR 10.73 UI 0% R2 0.15

some more crap:

Code

function CMF(var Period, var High, var Low, var Close, var Volume) {
	var ad = ((2*Close-Low-High)/(High-Low))*Volume;
	return Sum(series(ad), Period) / Sum(series(Volume), Period)*100;
}

function VPT(var Volume, vars Close) {
	vars vpt = series(0, 2);
	vpt[0] = vpt[1] + Volume * ((Close[0] - Close[1])/Close[1]);
	return vpt[0];
}

function EOM(var Length, vars High, vars Low, var Volume) {
	var div = 10000000000; // improvised :D
	var eom = SMA(
		series(
			div * (
				(High[0]+Low[0])/2 - (High[1]+Low[1])/2
			) * (High[0] - Low[0]) / Volume
		),	Length
	);
	return eom*1000; // also improvised
}

aka Chaikin's money flow, volume price trend (or something) and ease of movement

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