Closing time = opening time + dt, dt is session period So one is always the independent and the other the dependent, in a linear fashion as stated above (Y = aX + b), a =1 Now, if you have a function to optimize F{Xi) and X(k+1) = closing time and X(k) = opening time, K < i, you can make the substitution X(k+1) = X(k) + b and you have now X(i-1) independent variables. The more relationships you find between two variables the better. For example, Profit Factor and win rate are related by ratio of avg. win to avg. loss. But relationship is not linear. Most are not. Hence, big problems. Hypersphere squeezes the hell out of many things.
Bill, I am so disappointed in you. I thought you might be the guru I have sought for so long. But clearly you do not know even the simplest of things, that opening time=closing time-dt. But I will cut you some slack and ask you an easy question. Let us suppose that backtesting over long periods routinely shows a huge profit outlier (sort of a polka dot swan, a seeming sick sigma) that makes a significunt difference to the system expectoration. Do we keep it in the testing, or snot?
What if Jack sees this? How could be so ungrateful and express this kind of public disloyalty after all he's done for you?
opening time=closing time-dt Yes, sorry I did not solve it for you. You sound kinda lazy? Are you? If your system is supposed to catch some swans you keep the swan there, If it is not supposed to, you take the outlier out. Everything you do should be compatible with the objectives (functions). Never do something you will regret later.
Oh, 665.9999999, you know I lie a lot. One of my favorite books is Sheldon Kopp's "If You Meet the Buddha on the Road, Kill Him!" Siddhatta Gautama's dying words were "Be lamps unto yourselves, oh Ananda!" Anyway, I and my 19 other aliases have him on ignore so I will never see Jack's suffering at my loss of affectation for him.
Indeed I am lazy. Is it not axiomatic that all traders are lazy? Elsewise they would seek honest employment rather than being worthless lychees on the findancial system. My laziness extends to me wanting you, in the famous words of the author Eric Berne, to "do me something." Depitt me to unscribe to you a dillyma I have. I have scores, perhaps hundreds, of shitty systems. But not so shitty that they are fadeable. They are so marginal that they may even be random. But some of them seem to be Cassandras for verifiably good deterministic systems. Would you trust a random failed non-entry as a later non-entry signal? If you haven't already discerned this, I am quite randomly insane. An unrecognized side defect of too much back testing.
When I say market conditions I mean volatility, volume, etc. The general trend and feeling of the market. Many day traders had an excellent 2008 but 2009 and 2010 have been tough. Often when you write code in a low volume, rangebound choppy market (like now) if the volatility and volume picks up the strategy may stop working and need to be optimized or thrown out. Strategies work well in the conditions they were written because they are optimized for the specific variables found most during that time (volatility, ATRs, RS parameters, volume, spreads, etc.). When those variables change (market wide) then quite often a strategy will stop working and you'll need to re-optimize your box/boxes. Does that make more sense?
the issue i really need to think how to solve it is, my code is very vulnerable against 2 market setups. When it meets these setups , immediately get n the car for candies.. however, i have found a way to avoid one setup out of the two but dont have a clue how can i avoid/play with the other. Any input will be highly appreciated. Thank you guys.. McGene
Please elaborate on "Would you trust a random failed non-entry as a later non-entry signal? " What is a non-entry signal? A a random failed non-entry?