One More Holy Grail

Originally Posted by igorad

Hi,

Please take a look at 2 ExFit oscillators: ExFit Stochastic and ExFit Fisher.

Code:

extern int     Length         =  25;   //Period of Smoothing
extern int     Order          =   2;   //Fitting Order
extern double  WeightFactor   =   2;   //WeightFactor(eg. 2-EMA,1-Wilder) 
extern double  OverSold       =  30;   //OverSold Level
extern double  OverBought     =  70;   //OverBought Level
extern int     Window         = 500;   //Window size in bars

Attachment 5254

Regards,
Igor

Hi Igor and ND,

Are these indicators recalculating?If yes how many bars?Thanks in advance.

Originally Posted by Tovim

Hi Igor and ND,

Are these indicators recalculating?If yes how many bars?Thanks in advance.

Hi Tovim,

These indicators recalculates all bars that are given in the Window parameter.

Regards,
Igor

This EA for MT4 (attached) was created as a joke by programmers from mql5 portal. They told that EA will be profitable in backtesting for any timeframe.
And they uploaded the following backtesting result:

I backtested it too (for EURUSD) and I found that it is profitable in backtesting:

Doesn't open any orders in my tester, on any TF or symbol

It did not open for GBPJPY and GBPUSD, but it is fine for EURUSD.

So, I am waiting for fixing (I asked them on mql5 forum to fix).

Seems - the other "grail" ... the author is asking to find the error in his EA. Means - "this is a crappy EA that converts 900 USD into 4.000.000 USD in about 5 years in testing. EURUSD 5 min. Someone can help me to find the error and how is it generated?."
From this thread.

It is his backtesting result:

I backtested it too -

EA is attached.

Chinese traders joking ... I found the thread in Chinese language with backtesting results and with some comments.

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"To interpret this graph - take a look at the test history from the start and to the end time of testing, and look at this delightful amplitude/time line":

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"Since 1971? My sister was born at this time, now she is almost 50 years old. Since foreign exchange transactions do not allow you to make quick money, there's nothing to talk about":

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I did not find EAs which they tested sorry ...

Originally Posted by igorad

Multi-order Exponentilal Fitting

---

Hi,

Time to time I receive the requests to make profitable strategies using the fitting indicators such as TMA, Hodrick-Prescott filter, SSA, Solar Wind(or Fisher yur4ik) and others that look perfect on the history.
So I decided to add one more "Holy Grail" to them - the Multi-order Exponentilal Fitting indicator.

Code:

extern int     Price          =   0;   //Price Mode (0...6) 
extern int     Length         =  25;   //Period of Smoothing
extern int     Order          =   2;   //Fitting Order
extern double  WeightFactor   =   2;   //WeightFactor(eg. 2-EMA,1-Wilder) 
extern int     Window         = 500;   //Window size in bars

Attachment 5130

Regards,
Igor

Igor,
thank you for your efforts

Fallacies, Part 1: Money Management is Secondary and Not Very Important

In this article we will discuss very simple things that can very often be deceptive - the graphs of an account balance in the testing report. In reports of strategy testing by beginners we can often see exponential balance/equity graphs and multibillion results by the end of the testing period. Such results usually invoke skeptical comments of experienced EA writers who know where these exponents come from, and immediately recommend to show results on a fixed lot (usually 0.1).

Fallacies, Part 2. Statistics Is a Pseudo-Science, or a Chronicle of Nosediving Bread And Butter

The first part of the article heading is a quotation from the post by SergNF dated April 17, 2008 14:04, https://www.mql5.com/ru/forum/108164. Well, even the most strict mathematics turns into a pseudo-science when used by a "researcher" that decides to play with attractive formulas without any practical application.

The skepticism of the quotation author, even moderated with three "smiles", is obvious. The reasons for this are quite clear: the numerous attempts to apply statistical methods to the objective reality, i.e. to financial series, crash when met with the nonstationarity of processes, "fat tails" of accompanying probability distributions, and insufficient volume of financial data. None of the existing market models can be recognized as sufficiently adequate to reality. And even if we manage to find some statistical regularities, the results of their utilization appear to be disproportionate to the efforts invested into their eduction.

In this publication I will try to refer not to the financial series as such, but to their subjective presentation - in this case, to the way a trader tries to halter the series, i.e. to the trading system. The eduction of statistical regularities of the trading results process is a rather enthralling task. In some cases quite true conclusions about the model of this process can be made, and these can be applied to the trading system.