Examples of the three circles on the heatmap (not exact, just visual to fit on the same screenshot) image

Quant basket trader? I need your help!

And this is the heatmap generated for it: image

Quant basket trader? I need your help!

Since the SL seems to have a great impact on what the optimal strategy is let's fix it so some arbitrary value. Let's say I want to trade a 10 pip range chart with a 10 pips SL. Where shall I buy and sell? image The black line is the estimated ...

Quant basket trader? I need your help!

Can you upload your template? Where do you put your SL and TP? Let's make it an EA!

Quant basket trader? I need your help!

Risk free rate is a free parameter. You can use the inflation rate of your country or the best rate you can find for a saving plan or whatever you like or simply 0%. Be careful not to use the formula you usually find on the Net for either Sharpe or ...

Forex Statistical formulas help

Good point. Rules say break of the weekly channel, not close.

Reverse Engineering a Profitable System (REPS)

You're correct howard. If U/J closes below the DC Friday a bearish series can be started.

Reverse Engineering a Profitable System (REPS)

The home run template made 42K from $100. That's 420R. If at some point you're sitting on, say 650R, you're much better than the perfect score. At that point you can "Keep your eye open at the top". For instance using a trendline. It's no greed, ...

Reverse Engineering a Profitable System (REPS)

Why do I keep posting in this forum seeking for an educated discussion with people trading out of Chinese proverbs?

Quant basket trader? I need your help!

Despite the apparent paradox there seems to exist statistical validity to Benevolent's statement. The strategy itself is part of the elements to determine if the market is bearish or bullish! To estimate if it is preferable to buy of to sell at a ...

Quant basket trader? I need your help!

It seems to me you missed the point of the previous post. Two very exact same traders, with the same mindset, skillset, risk tolerance, discipline and the same anything you could think of; two clones. Both trading the same market at the same time, ...

Quant basket trader? I need your help!

After some more thinking I built such a loss function. The problem is that I can't use it to determine the best exposure I should have at a given point in time in the market! Why? Because the best exposure I can have at a given point in time doesn't ...

Quant basket trader? I need your help!

DC-H1 is 1 pip above the entry. SL @BE

Reverse Engineering a Profitable System (REPS)

EXPERIMENTAL counter-trend E/U long with aggressive entry. Previous DC-W1 break was at 1.1098. Price a little bit above this now. DC-D1 last move was up. DC-H4 going down and just broke. SL 130 pips

Reverse Engineering a Profitable System (REPS)

experimental counter-trend was stopped out on E/C. Long open with 240 pips SL. This makes the lot size small. This is good to test if the winner can cover the losers.

Reverse Engineering a Profitable System (REPS)

What about normalizing in multiples of the initial risk? For instance I risk $25 on the first position, this is the unit. If I trail a series of SL to lock $53.6, I locked 2.14 units (53.6/25). It give the same value whatever your account size, ...

Reverse Engineering a Profitable System (REPS)

I missed this you're right.

Reverse Engineering a Profitable System (REPS)

I hear you Ferru. But look at the chart. According to the rules it is a down trend. Do you really want to keep entering short positions in this market?

Reverse Engineering a Profitable System (REPS)

This is the very reason I choose this pair. I want to see how the system behaves when it is caught in a "washing machine" PA. case 1 - I get kicked out every time I swap the direction, so many losers I won't recover -> my idea is proven wrong case 2 ...

Reverse Engineering a Profitable System (REPS)

I thought about this optimization problem. To optimize I need a loss function. I'd like to evaluate, thanks to the hindsight, if it would have been better to be long or short at a given point in time. Let's say I pick two points A and B on a chart ...

Quant basket trader? I need your help!