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Re: Lapsa's very own thread [Re: Lapsa] #485420
03/09/22 09:35
03/09/22 09:35
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Lapsa Offline OP
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> 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
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Grant Offline
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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
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Posts: 237
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Lapsa Offline OP
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yeah whatever

Re: Lapsa's very own thread [Re: Lapsa] #485484
03/17/22 11:46
03/17/22 11:46
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Lapsa Offline OP
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.88 billion $

Re: Lapsa's very own thread [Re: Lapsa] #485486
03/17/22 12:34
03/17/22 12:34
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Lapsa Offline OP
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same data, same configuration, same code

new version

>300 millions of imaginary dollahs gone

[Linked Image]

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
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Lapsa Offline OP
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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
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Lapsa Offline OP
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finally some life in markets

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