I am trying to get them to pay me not to say, or at least to recommend the competition. I have had a love/hate relationship with ESignal for ten years. They are as good a service as I am a trader.
You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Arthur Deco Mentors ET Noobs
- Thread starter Arthur Deco
- Start date
I am trying to get them to pay me not to say, or at least to recommend the competition. I have had a love/hate relationship with ESignal for ten years. They are as good a service as I am a trader.
Thanks for the previous responses Mr Deco, I've found them insightful.
Is there an optimal ratio of how many bars should go into the signal for how many bars away it will probably take to hit the limit? Some of my first system attempts, the signals rarely worked well going forward. Then it occurred to me, it was unreasonable to expect a signal produced in 2-3 bars from some indicator values should target a limit of an amount that would probably take 50 bars for the instrument to travel that far. Now I'm looking for a new approach.
Happy to be of service. I hope I've worked my way up from noob to boob -- but that's ok, I like boobs!!Quote from Arthur Deco:
I thank you most profoundly for asking the kinds of questions I hoped to elicit, even though you clearly aren't a noob.
There it is -- that's the one step I haven't done. Recently I've run a backtest and optimized, then compared the performance against an equal period in the past, and they're never consistent. I'll go in the opposite direction -- get some old systems from last year from the archives, check them for consistency to the present, but probably not likely.
you ignore it for a few months
Is there an optimal ratio of how many bars should go into the signal for how many bars away it will probably take to hit the limit? Some of my first system attempts, the signals rarely worked well going forward. Then it occurred to me, it was unreasonable to expect a signal produced in 2-3 bars from some indicator values should target a limit of an amount that would probably take 50 bars for the instrument to travel that far. Now I'm looking for a new approach.
Hey, Art. I just thought I would stick my head up here to get out of the Politics & Religion gutter forum for a while. I was getting a headache, I need a little fresh air.
You're really giving the noobs some good info. This is almost like an "Ask God A Question" thread! Just don't give them the Holy Grail for at least a few weeks.
You're really giving the noobs some good info. This is almost like an "Ask God A Question" thread! Just don't give them the Holy Grail for at least a few weeks.
Quote from zedDoubleNaught:
Is there an optimal ratio of how many bars should go into the signal for how many bars away it will probably take to hit the limit? Some of my first system attempts, the signals rarely worked well going forward. Then it occurred to me, it was unreasonable to expect a signal produced in 2-3 bars from some indicator values should target a limit of an amount that would probably take 50 bars for the instrument to travel that far. Now I'm looking for a new approach.
I am sorry, I didn't understand what you meant. Happy hour started early today. Are you talking about how far back to back test?
Quote from pspr:
Hey, Art. I just thought I would stick my head up here to get out of the Politics & Religion gutter forum for a while. I was getting a headache, I need a little fresh air.
You're really giving the noobs some good info. This is almost like an "Ask God A Question" thread! Just don't give them the Holy Grail for at least a few weeks.
Nah, they're not from here! Non-Texans need not apply!
I think rather than ask God it is more like ask the oracle. Oracles were always stoned.
Quote from Arthur Deco:
I am sorry, I didn't understand what you meant. Happy hour started early today. Are you talking about how far back to back test?
Sorry for interfering with Happy Hour, I'll give an example and with easy numbers.
Suppose an instrument with its volatility usually moves about $1/bar. Take a Moving Average crossover signal, with fast n = 5, and slow n = 10, I suppose that signal would incorporate 10 bars. Could such a signal be expected to target a limit of $50, since the instrument would usually take about 50 bars to move $50 up or down? Or, should the target amount be closer to $10 to match the number of bars that went into the signal? Or, is this consideration not meaningful and irrelevant?
Quote from zedDoubleNaught:
Sorry for interfering with Happy Hour, I'll give an example and with easy numbers.
Suppose an instrument with its volatility usually moves about $1/bar. Take a Moving Average crossover signal, with fast n = 5, and slow n = 10, I suppose that signal would incorporate 10 bars. Could such a signal be expected to target a limit of $50, since the instrument would usually take about 50 bars to move $50 up or down? Or, should the target amount be closer to $10 to match the number of bars that went into the signal? Or, is this consideration not meaningful and irrelevant?
Thanks for explaining. Let me restate the question this way: if a setup takes N bars to become manifest out of market noise, how many bars should we expect the trade to last? Correct me if I am wrong, as English is not my native language.
That is an interesting way to think about setups. Rather than thinking about the profit potential, that is thinking about the duration of the validity of the signal, without reference to the signal being invalidated, as by the opposite crossover.
It seems like a valid hypothesis for testing. Instead of testing for the optimum profit, test for the optimum time in the trade. I have tried something like this as an exit criterion where I have already optimized for profit. In other words, if my profit target has not been achieved, should I bail after a certain time span? Turns out for my systems that it didn't work.
Bottom line is that if you aren't already doing so, you should think about learning to code and test. Programs like ESignal, much as I loathe the ugly bitch, make it relatively simple now with autocoding wizards to pick this skill up quickly. Then once you have their autocoded examples in hand, you can launch off on your own to do more unconventional things. The simple example you gave could be autocoded inEasySignal licka-da-split.
Thanks for the response Mr Deco, sounds like you have the idea I was going for.
I agree about coding, the best way to test ideas. For anyone who doesn't, I'd recommend it too. Start by spending just 2 weeks to get introduced to it, from there as you work your way through slightly larger projects it comes quickly.
I agree about coding, the best way to test ideas. For anyone who doesn't, I'd recommend it too. Start by spending just 2 weeks to get introduced to it, from there as you work your way through slightly larger projects it comes quickly.