11–14 of 14 posts
I just did a quick dive into forex trading online to see what it would take to get this setup and... is it just me or are the websites and companies that run in this space the sketchiest things ever? I definitely do not trust any of these sites with the minimum deposits they are asking for.
Earlier quoted context omitted.
It still just means you're finding parameters that match some subset of the relationships present in the data as a whole. All sliding the window does is discover the parameters that work for the whole data set in chunks - it is an artificial distinction. It still regresses to: you've found some number space generated by some function that matches some percentage of the numerical relationships (correlations) present i…
> The only way to prove your algorithm's robustness is to generate random data and test it on that. I would never to that. This algorithm appears to have worked well on EURUSD daily timeframe candlesticks data. It would be ridiculous to assume that it can work well on a random set of data, like global average temperatures daily or rate of births worldwide. Or even prices of oil or other currency pair.
Earlier quoted context omitted.
> The only way to prove your algorithm's robustness is to generate random data and test it on that. I would never to that. This algorithm appears to have worked well on EURUSD daily timeframe candlesticks data. It would be ridiculous to assume that it can work well on a random set of data, like global average temperatures daily or rate of births worldwide. Or even prices of oil or other currency pair.
"Random data" didn't mean a random data set from a different domain. It meant random data from the same domain - simulated price/volume data within a reasonable range. If it can't work well on that, then it isn't a trading algorithm, it is a glorified fit curve.
How do you know what is a reasonable range without hypothesis on the price distribution ?
Where does these hypothesis comes from ? historical data ?
So.. is that really valid ?
Earlier quoted context omitted.
"Random data" didn't mean a random data set from a different domain. It meant random data from the same domain - simulated price/volume data within a reasonable range. If it can't work well on that, then it isn't a trading algorithm, it is a glorified fit curve.
> It meant random data from the same domain - simulated price/volume data within a reasonable range How do you know what is a reasonable range without hypothesis on the price distribution ? Where does these hypothesis comes from ? historical data ? So.. is that really valid ?
I'm not making this up - this is how model testing is actually done, in multiple domains. Simulation is a reason banks, HFTs, hedge funds, etc. use massive compute infrastructure - doing it the right way, with many millions of plausible data sets, requires orders of magnitude more computing resources than back-testing on one data set that just happens to represent one way things could have played out (i.e. reality).
Thinking that one historical data-set is somehow special (in itself, without context) is largely a delusion. In fact you can generate near perfect historically accurate price charts just using a random walk algorithm seeded with an opening price.