Be In Phase

New comment
 

Hello,

i want to insert TSSF code in my EA as described in this article :https://championship.mql4.com/2008/news/366


Can someone explain me the following comment and formula for n trades window explained by Mr Fishchenko?


"It is better to choose the time window on the basis of the best/worst historical sequence of trades - say, if the Most consecutive wins = 9, Most consecutive losses = 4, %%Wins (in Tester) = 60%, then there is no reason to use a window that is smaller than 23 = 1.5*9/0.6 (or 30=2*9/0.6). (A remark by Sergey Fishchenko (aka FSV))."


I'm unable to establish the link between consecutive wins/losses/%wins and the formula behind.


Someone asked the same thing in the article comments and he got no answer.


I will be very happy to have an answer from smart persons! :D


Thanks for advance,

Dam.

 
damtoul:

Hello,

i want to insert TSSF code in my EA as described in this article :https://championship.mql4.com/2008/news/366


Can someone explain me the following comment and formula for n trades window explained by Mr Fishchenko?


"It is better to choose the time window on the basis of the best/worst historical sequence of trades - say, if the Most consecutive wins = 9, Most consecutive losses = 4, %%Wins (in Tester) = 60%, then there is no reason to use a window that is smaller than 23 = 1.5*9/0.6 (or 30=2*9/0.6). (A remark by Sergey Fishchenko (aka FSV))."


I'm unable to establish the link between consecutive wins/losses/%wins and the formula behind.


Someone asked the same thing in the article comments and he got no answer.


I will be very happy to have an answer from smart persons! :D


Thanks for advance,

Dam.

Uh? Is noone interested in MM here or noone unable to help me to decode a little formula? Or just discuss about this article and formula?


How bad. :(

 
damtoul:

Uh? Is noone interested in MM here or noone unable to help me to decode a little formula? Or just discuss about this article and formula?

Since you're desperate for any sort of discussion, I'll throw in something related... I know someone who earns several million dollars per year in performance fees from licensing his automated systems to hedge funds. As far as he is concerned, a system of his has a win loss ratio of something like 11:9 (which he would consider very good), but the pattern of wins/losses and the number of consecutive wins/losses is meaningless and random. He regards a system as equivalent to tossing a coin which is slightly weighted in one direction. Therefore, the pattern of results is - as far as he is concerned - as meaningless as the sequences of heads and tails when tossing a normal, fairly-weighted coin.

 

jjc thanks for your post....i'm very happy for friend... and your words about pobabilities, luck and coin. Though i'm not sure at all you've read the article i'm talking about before taking some minutes to write your post.


I'm only looking for someone smarter than me (not a difficult task) to explain to a poor idiot how FSV gives this formula.


Have a good night/day.


Dam.

 
damtoul:

jjc thanks for your post....i'm very happy for friend... and your words about pobabilities, luck and coin. Though i'm not sure at all you've read the article [...]

Not a "friend" of mine, merely a passing business acquaintance. The general point is that, from the point of view of my friend/acquaintance, the article you're talking about is utimately a long-winded form of curve-fitting. But this still isn't the sort of discussion you're looking for - I hope you have more luck with subsequent responses.

 
jjc:

Not a "friend" of mine, merely a passing business acquaintance. The general point is that, from the point of view of my friend/acquaintance, the article you're talking about is utimately a long-winded form of curve-fitting. But this still isn't the sort of discussion you're looking for - I hope you have more luck with subsequent responses.

I don't see this article as curve fitting, only as a second layer of money management which can be applied to an EA : if EA goes into trouble, it will stop itself with this piece of code instead of trading in a market too far from the EA logic. For doing that a self adapting history trade window is a good choice compared to a defined one, but i need to understand this weird formula that seems apparently illogic...


Dam.

 

The problem I see with the article is, if the EA stops trading, it never restarts.

My thought is to take what I posted here and multiply by MathMax(1,Avg.Win / Avg.Loss) or something like the French post I referenced in the other thread.

 

The original post is more than 1 year old. The OP is probably no longer waiting for an answer.

I think his question is "what is the rationale behind Sergey Fishchenko's proposal for the time frame?

To quickly restate the gist of "Be In-Phase" (https://championship.mql5.com/2012/en/2008)...

1. There is a zero return curve that relates Avg.Win/Avg.Loss ratios to %Win percentages.

2. Offset above the zero return curve is a "safety curve". These two curves create three areas: the relatively safe trading area located above the safety curve, the profitable, but potentially risky trading area located between the curves, and the losing trading area located below the zero return curve.

3. The object of the Trading System Safety Factor (TSSF) is to assess to what degree a trading system is safe in the current market conditions. To make this assessment, the trading system is tested over a time frame of N trades.

4. The author, Mikhail Korolyuk, suggests an arbitrary number of 20 for N. Sergey Fishchenko says "It is better to choose the time window on the basis of the best/worst historical sequence of trades" and then produces calculations that at first glance appear to have no explanation.

Thus the question. I don't have the answer, but I have another question...

Say you test 10 strategies across 20 trades as the author has done and one of them has the best TSSF. What do you do with the information?

Do you proceed on the assumption that the next 20 trades will be similar to the past 20? Or do you say the next 20 trades will be different from the past 20?

The straegy that was UP may stay up or the strategy that was DOWN may be the next one up.

To me, the answer to that question is more important than whether to use 20 trades or 23 trades or 30 trades for N.

Of course, finding the best system is not the only use of TSSF, see https://www.mql5.com/en/forum/124188, where TSSF is used to set the lot size.

A better way for setting lot size is the TSSF-based Trade Encouragement Factor TEF described here https://www.mql5.com/en/forum/110048

New comment
Reason: