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JohnLast bookmarked Swami Stochastic- JohnLast commented on the file Basic Ehlers Cycle Strategy
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- JohnLast 4008 days ago
Hi, this is explained here. This is a pure cycle system (supposing that there are cycles in the prices and exploiting them).
When doing tests I see regularly more than 55 % of winners. That means to me without going any longer that there is something.
Some market frequencies (time frames) do not offer trading cycles: the very long (daily) and the very short (15m and below).
The medium market frequencies of 30m and 1 h represent a certain interest for trading cycles
That of course are results of tests on EURUSD on the recent market data from the last 6 - 8 months.
- JohnLast 4008 days ago
So the next logic question was about the alpha.
First we see that modifying the values of the alpha affects greatly the cycle period evaluations and that affects irectly the results of the expert.
Second and that was the second idea why not to use a neural network, or a basic kernel in order to use the the maximum the genetic algorythm of mt4.
That is what I did, as the stock values is 0.07 I used the chaotic kernel (you can use others too) to calculate the best value of smoothing giving the most optimal results in back-tests.
For the moment I can't make any objective evaluations because the results are hard to believe and also because when I see the actual trades they are counter-intuitive and some of them very stupid to me. And despite that the equity curve is nice.
But that can be explained easily by the fact that the market according to Ehlers has two basic modes cycle mode and trend mode.
In this expert ea we use only the cycle mode, and that is logic that it would counter the trend. But despite that it is able to generate a positive equity curve. Hmm.
So it is possible to make two things.
1. We can implement the Ehlers filter. He uses the Instanetious trend line combined with cycle period evaluation in order to classify between trend mode and cycle mode.
2. We can see easily that the expert is performing greatly within choppy periods and high volatility swings but fails to perform into hard unidirectional movements.
2.1 So a manual intervention would be needed.
2.2 Or this expert may be used to hedge the risks of another expert that performs greatly in hard unilateral movements.
So that is all for the moment. I will release the expert pretty soon so you can test it.
It will be available for logged users for free (as usual).
- JohnLast published a blog post Ehlers Cycle Strategy
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- JohnLast 4230 days ago
If you look at the history most of the most brilliant scientists were recruted.
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