- There are many algorithms for training Neural Networks. The most popular is Back Propagation Algorithm. It requires “teacher”, ie special etalon signals for your Neural Network Output, and once you have those signals – your...
- The optimization could be made w/ the genetic algorythm I just upload it
- The question I ask myself How could you know that the whole optimizing efforts were not in vain? Below those posts are my main ideas on the...
- Yes, I agree a solution could be a bunch of indicators from the fractals class as it's written but, sure those algorythm requires extensive use of data mining and a lot's of work of tuning, optimizing parameters. In a practical way, as...
- The massive extinction of technical indicatorsComments
- jaguar1637 1863 days ago
Yes, I agree

a solution could be a bunch of indicators from the fractals class as it's written

but, sure those algorythm requires extensive use of data mining and a lot's of work of tuning, optimizing parameters. In a practical way, as far as I see, big computers w/ big CPU and high memory are mandatory.

To perform this task, this should be made in C or in C++ or C#. In my humble opinion, MQ4L is now obsolete, or it must be connected to a database and a mathematical software like mathlab

- JohnLast 1863 days ago
The question I ask myself

How could you know that the whole optimizing efforts were not in vain?

Below those posts are my main ideas on the topic

http://beathespread.com/blog/view/16854/optimization-of-trading-strategy-is-there-something-wrong-part-2#comment_7167

It looks like some strategies produce much more positive randomely generated results than others.

This can be used as some kind of robusteness of the strategy. Comparing spinal implant with asctrend both using the logistic kernel I found out that the spinal implant is producing less randomely generated positive equity flows than the Asctrend.

- JohnLast commented on the blog Why all those complex Artificial intelligence models fail predicting the markets? 1911 days agoPlease, Do not take very seriously this post but I think Douglas Adams had much deeper insights than we may think. Especially the idea that we humans we are designed to find the right question, not to find the answer. The answer will be...
- JohnLast published a blog post Why all those complex Artificial intelligence models fail predicting the markets? 1983 days agoWhy all those complex Artificial intelligence models fail predicting the markets?Comments
- JohnLast 1911 days ago
Please, Do not take very seriously this post but I think Douglas Adams had much deeper insights than we may think. Especially the idea that we humans we are designed to find the right question, not to find the answer.

The answer will be given by machines.

- JohnLast commented on the file Monte Carlo analysis for trading results for system risk control for real newbies 2009 days agoI was experimenting with excel sheets of Monte Carlo simulation but they were doing a diferent thing. Based on the performance of the system: % of profit trades and profit factor it simulates the hypothetic performance of the system. But this is...
- JohnLast published a blog post Optimization of trading strategy: is there something wrong 2011 days agoOptimization of trading strategy: is there something wrong
- jaguar1637 commented on the file Monte Carlo analysis for trading results for system risk control for real newbies 2037 days agoYes, the Monte Carlo is one of the new topic. I would like to have a look on Levenmark algorythm too
- JohnLast bookmarked Trading strategies: using computing simulation to maximize profits and to control risk 2037 days agoThis is a free e-book from Larry C. Sanders from his website tradelabstrategies.com. On this discussion forum you can read an interesting discussion about it. Larry C. Sanders addresses the topics of probability, marble game and MonteCarlo...
- JohnLast commented on the file Monte Carlo analysis for trading results for system risk control for real newbies 2038 days agoI checked what is available on FF regarding the use of Monte Carlo simulation. Here I found spread sheets for Monte Carlo simulation.However I think not every system can be modeled using those spreadsheets. In those spreadsheets it is...
- JohnLast commented on the file Monte Carlo analysis for trading results for system risk control for real newbies 2041 days agoI suggest you take a loot at the book Urban Jaeckle, Emilio Tomasini, 'Trading Systems A new approach to system development and portoflio optimization' Hariman house, p.101-108 It is quite interesting.
- stevegee58 commented on the file Monte Carlo analysis for trading results for system risk control for real newbies 2041 days agoI hadn't considered this before. I've seen many systems that were profitable or not depending on the starting point. By mixing up the trade results you can shed more light on if a system is really good or bad.
- JohnLast uploaded the file Monte Carlo analysis for trading results for system risk control for real newbies 2041 days agoThis an article that I wrote about Monte Carlo analysis of trading results for system risk control. Here I compiled the best ressourses I've found about this aspect of risk control of trading systems. I hope you will like it. The...Comments
- JohnLast 2038 days ago
I checked what is available on FF regarding the use of Monte Carlo simulation. Here I found spread sheets for Monte Carlo simulation.

However I think not every system can be modeled using those spreadsheets.

In those spreadsheets it is about modeling system expectancy. So it would be OK if your system has fixed stops and take profit levels so you can calculate exactly the win/loss. By doing that you can model it.

However if you use stop and reverse signals and no stop loss, or if you use a time filter or trailing stop. I think that in those case the system expectancy is not modeled properly. - jaguar1637 2037 days ago
Yes, the Monte Carlo is one of the new topic.

I would like to have a look on Levenmark algorythm too

- JohnLast 2009 days ago
I was experimenting with excel sheets of Monte Carlo simulation but they were doing a diferent thing. Based on the performance of the system: % of profit trades and profit factor it simulates the hypothetic performance of the system. But this is something else and I wonder of it possible application for the evaluation of trading systems.

However the tool is interesting to see how the changes in the % of profit trades and profit factor affect the possible equity curves.

There are some paid excel addons doing selection without replacement monte carlo simulations. I even found a free video tutorials but it looks quite tricky for me and requires some coding for excel to get something usefull.

- Yep, I need now a way to calculate w/ C language and send the result to Metatrader 4
- I was thinking about something else when writing this blog - to try to find the best combinaison of weights to fetch the best correlation to the price Means, a series of 4 weights during 300 bars, calculate the sum of the each correlation...
- Please check this blog post. This is about the Spinal Implant EA. What we do with Spinal Implant and the perceptrones is that we use the native mt4 genetic algorythm. 1. We make a classification: The neural net provide output signals....
- http://www.lri.fr/~antoine/Courses/DEA-I3/Tr-IA-inapg-NN.pdf
- Cascade correlation for tuning perceptrons http://www.ra.cs.uni-tuebingen.de/SNNS/UserManual/node164.html Cascade-Correlation (CC) The Algorithm Mathematical Background Pruned-Cascade-Correlation (PCC) The Algorithm Mathematical...