Can you develop a little bit more? Is a high correlation a good thing to you? Correlation can been seen as a hint of causality: one variable explains the other one. But the correlation can also be looked at as a convolution: how two curves have a ...

Walk Forward Analysis - the only logical successor to backtest

Correct but could you tell me the logic, mentality, and MM from the picture alone before reading the answers? The WFA is a tool to evaluate the idea behind the EA not to build the EA. Logic: Guts feeling entry in the market. Mentality: Refuse to ...

Walk Forward Analysis - the only logical successor to backtest

Questions for you Darwin: You say that the WFA aims at adapting the EA parameters to the evolution of the market. But you seem to assume, as a given, that the EA already has some edge. When you optimize an EA and you get a result such as the curve ...

Walk Forward Analysis - the only logical successor to backtest

I can only disagree with this statement. Look at the image below. This is a backtest (not a WFA). There are more than 500 trades. What is the logic behind? What is the "mentality" (if ever an EA has a mentality). What is the money management? Over ...

Walk Forward Analysis - the only logical successor to backtest

"One year of intense research". I just love it!

New Indestructible, Unbreakable, Unshakable Holy Grail System

The walk forward analysis is a... hmm... an ANALYSIS tool! It is not a EA factory. Please stop spoiling what could become a good very thread.

Why backtests are useless & EAs are flawed [discuss]

I store my candles in binary format, no compression. I store the O,H,L,C of course but also the open time, close time, time of the high, time of the low, the number of up and down ticks and the maximum spread that occurred during the candle. 48 ...

Any broker with API trading on small accounts?

There is no such thing as a *half true* mathematical proof. Either it is correct or there is a mistake in the demonstration. How do you know there won't be a 8th loser => I think it works What if you DO hit the 8th loser? => You take this big loss ...

Does the martingale system really work?

No Nobel for me. I'm afraid a lot of smarter people already thought about all of this. I just meant that Kelly is the optimal solution using U(x)=ln(x) as the utility function. You can optimize using other functions like U(x)=sqrt(x). None of them ...

One Way to Develop a Winning System

Very interresting (as usual). I personally thought about an EMA of the bet size for the same reasons. The constant of the EMA would define the rate of adaptation from the current bet size to the target, currently estimated Kelly, bet size. The EMA ...

One Way to Develop a Winning System

The martingale fallacy comes from the fact that the expectancy of the limit is not equal to the limit of the expectancy. What does this mean? Suppose you have a edge-less game like a fair coin flipping with the same reward as risk. win rate 50%, R:R ...

Does the martingale system really work?

Here is the result of what I meant image

Expectancy Management

Note there is a little danger with the WFA: 1- You write an EA 2- You WFA it over your E/U data 3- Results suck! 4- You change this and that in your code 5- You WFA it over your E/U data 6- Results are slighly better 7- You change this and that in ...

Why backtests are useless & EAs are flawed [discuss]

Do you remember that I'm a computer guy not a maths guy? I'm leaving in a discret world To me a convolution isn't an infinite integral, its a sigma sign Also I usually use a compact support: the kernel is zero outside a range [a, b]. So the ...

Expectancy Management

Mathematically speaking, yes there is: Not doing it at all! In your 2nd chart the very best possible 2nd entry would have been right at the lowest price. There is no better set of positions (smaller cummulated lot size) which could average the price ...

MA-based trading Idea

I thought about a much faster way to do this! All of the following is under the assumption that the trades are independent. Let's assume in the following example that the win rate is 60% with a R:R of 1. The bet size if fixed to $1 per trade. Let's ...

Expectancy Management

Open to close. The high/low was not taken into account. Correct. Exact. Under the assumption of independence Pr(A|B) = Pr(A) and the join probability reduces to Pr(A,B) = Pr(A)*Pr(b) BTW n=3080

Day's first H4 candle correlation to daily candle

What do you mean by random? Say you are watching by your window and you see a car stopping at the stop sign. Is it going to turn left or right? To the best of your knowlegde this is 50% likely for each of the two directions. Do you think the driver ...

Do you believe this market is random?

Hi, I've built the probability distributions of a move for H4 and D1 candles for AUD/USD. They are grouped in 20 pip bins. Then I've build the matrix of the probability of D1 given H4. The excel file shows two cells per entry. The expected value is ...

Day's first H4 candle correlation to daily candle

They perfectly belong this place. Please go ahead.

Expectancy Management