Hi Steve,

I'm curious to understand and learn from you what simple "policy" you are going to use to turn off and on.  To know which EA is going to perform/fit better in future market conditions that it is trained for.

By looking at my trades performance statistics, I've been trying to use different trade metrics and see which of these have the "best" predictive element.  Still can't find any statistical metrics that can tell ahead of time where market is ranging or not   But over the times, I ended up using EA that has overall best performance statistics, i.e. survivor of the fittest.  Those who have gone through various challenging markets conditions to survive at the top.

Therefore, instead of looking at "predictive" metric, I went back to my drawing board to design better and more robust EA, ultimately its the indicators/EA I'm relying to react to market changes and handle market fluctuation and hopefully they will react better, striking a dedicated balance between speed of reaction vs stability of signals/price changes.  Double edged sword.

So I'm curious, how can one able to come up with a Simple "policy", for such complicated and irregular market conditions.  What is it that you are seeing that I didn't see?  How this simple policy/rule can know ahead of time where the future market conditions is suited with the EA's market condition it is trained for?  In another words, how a simple policy can predict whether the next market condition is ranging or breakout?

A "policy" can be as simple or complex as you want -- based on your preferences or trading experience.   Since you prefer complex over simple, then perhaps this wouldn't apply to your trading style.   I've mentioned an example of a simple policy a few times:  "If an EA loses two trades in a row turn it OFF, wait two weeks, turn it back ON".  The idea of using policies is based on the premise there is no such thing as a bad EA -- rather, EAs trade well or poorly based on the current data environment.  Data trends change -- so, it follows that an EA's performance will also change based on the current data environment.  The concept of applying a policy to a dynamic system comes from monitoring communication network performance.  Networks are dynamic and constantly changing.  The goal is to route data in the most efficient way.  So, policies are designed to route data down certain paths depending on the current conditions.  One day a particular path may be inefficient, but you may return to using it a couple days later -- depending on the current conditions.  Network routing, at its most basic level, is about turning paths ON/OFF.

I don't know where you got the idea I'm trying to predict something -- I'm not.  All I'm saying is that an EAs performance is closely tied to the current data environment.  Since I don't know the future, then the only way to know if an EA likes the current data environment is to monitor its current performance and turn it ON / OFF accordingly.  There's no prediction.  If an EA is performing well, then leave it alone.  If an EA is performing poorly then give it a rest.  If you were to ask me how long to rest -- that I don't know.  Forex is empirical -- which means the way you figure things out is by experimenting -- i.e.
trial and error.

Perhaps what I'm describing is too simple or obvious -- I don't know how else to explain it.  Or perhaps it's just nonsense...

Forex is both empirical and theoretical

If you are only looking purely at numbers, yes, it is empirical.

But if you are looking for patterns behind those numbers, then these patterns form a "theoretical framework", all our EA rules are about inputting a "theoretical" belief that under certain conditions/rules, the probability of making money is higher.

So if I were to tabulate your sleeping and eating habits into statistical numbers, can I say you are all nothing but empirical?  No, the numbers of time you sleep and how long you sleep...is to determine and find out your sleeping patterns.

Numbers can't tell you what's your motivation behind those number of times you sleep.  But the implications of those numbers that help me understand from your sleep patterns, whether

1) you likely going to have any health problems due to lack or too much sleep
2) your mental state of mind whether you going to be depress due to too much or too little sleep
3) Are you suffering from other issues like anxiety if you having too little sleep/insomnia

Hence by looking at numbers itself, if one know what to look out for, these numbers will help you understand the implications of the person we are measuring.

Likewise, although Forex are all just empirical historical data but under a skillful trained eyes, some can see a "relationship/patterns/theory behinds these numbers.  But to the untrained person, there are all just numbers.

Similarly, if you were to look at a company's financial accounts, if you aren't trained, you won't know whether the company, though making lots of profit is facing the dangerous issue of liquidity issues.  Whether it's liability is greater than it's asset, etc.  To a lay person, they are just numbers. But every number tells a story.

John Maxwell once said, if he can spend a day observing a person, he can tell whether that person is going to be successful or not.  Well I won't have his kind of expertise to do that in a day (and that statement may be over exaggerated .  But what he is trying to bring across is, if you can (whether within a day or weeks) established/find out a person's behavioural patterns, you may then predict the likelihood of his life success.

In another words, the ability to identify patterns would shorten the need to collect extensive and long empirical observational data in order to establish the same finding.  Like a psychologist, in 1 counselling session, he/she may able to identify a person's issues that even the counsellee or his best friends aren't aware of.  Thus this psychologist can "know" this person more in a day then what his best friend could know all these years.

The same is with Forex, if you can identify certain patterns, trading theory, you will then able to establish a certain expected outcomes, that otherwise, would take another person to collect extensive empirical findings to come to the same conclusion.  And if the software is "untrained" and doesn't know how to identify patterns from the numbers, then it would only churn out random combinations that aren't going to be profitable EA because these EA's rules doesn't formed any "reliable, repeatable patterns".

Thus that explain 2 groups of FSB users, one who take the statistical path to find profitable strategies via FSB and another who see those patterns and input their patterns into FSB to narrow the search.

if you can identify patterns and use the statistical approach to narrow down further your search, you are better off then one who purely rely on statistical data to search millions of combination, cos you have shaved off probably a large percentage of "unwanted and random combinations that aren't going to give you any statistical significance.

Irmantas is correct; using In Sample data creates bias for the specific market(s)/time frame in question. So the EURUSD-optimized clone is curve-fit for EURUSD but has no relation to USDCHF, while the other clone will be mediocre (relative to clone A's performance in EURUSD) for each data set. It will, of course do better with the hybrid, since that's the data is was optimized for.

It may appear "strong," but I wager if you check both clones against OOS data from each market, they will both do poorly. I'd still guess that in the long run clone A does very slightly better with the EURUSD data and very slightly worse with the hybrid data. But not enough to make a huge difference.

Hi Steve,

The purpose of forum is to discuss, brainstorm and get some new, interesting, opposing ideas we would never have thought it out by ourselves.  It is not an examination hall, whereby your answers are either right or wrong.  There are many perspectives to life.  Even a coin has 2 very opposing views (front and back) and yet these views make up the sum of all things, ie. the coin itself.  You can say a coin often "contradict' itself.

The say the least, the topic you opened up gathered lots of discussion, it shows that people are interested with topic you brought up and are chipping in their perspectives, it's not an issue of right or wrong, it's about keeping our minds open to new way of seeing things if there is some creative thinking come out of the discussion.

I thought your intention to open up this topic is for anyone to shoot it down (you welcome any opposing views)

And you understand that in when we post our comments, we are all just rambling like you...we may not offer any real and good concrete help...just airing our thoughts....like you (so bear with us, if we don't make sense to you).

Which do you prefer?

You opened a topic and get lots of discussion.  You get different views, from different "schools of thoughts", you get interesting ideas that you never would have considered in the past and you sometimes get weird ones or "lousy" ones and at the end of the day, you sieve through these ideas and keep those that makes more sense to you and put aside the rest. And you are grateful for these people are come along the way to give their 2 cents worth of thoughts...etc

or

You opened a topic and nobody commented on your post (in the future, too) because either they aren't interested to share their views or they are "afraid" of "offending" you or worried they are not clear of their statement (becos they are rumbling too) to be misunderstood by you, afraid that if I don't think clearly, and some how came up with "contradictions" and if I used the "wrong" choice of words, you think I'm insinuate some hidden underlying intentions?

Personally, I don't think it's a waste of time at all for your topic and there is so much possibility out of your "original" goal of this project, if you were interested to explore further. 

Take it easy Steve, we are all here to learn from one and another and I must say, your presence has added much value to this forum's discussion and it's community and it's a pity if you "quit" posting your topics that present very interesting discussion.

Steve, I'm sorry if I offended you; please let me explain myself a little further.

First, your ideas are great--and when I say "great", I mean "great"--I'm not belittling you or your ideas one bit.

I'm just attempting to explain in words that I know how things are not quite working correctly so that we can (as a group) get the ideas that you originate on a track that will ultimately benefit us.

You misunderstand my use of the word "bias". This is one of the most commonly used words in the field of Statistics to indicate an area that may be problematic in use of a data analysis result. In fact, there is a "Statistical Bias" attached to nearly EVERY statistical result presented.

The Internet is sometimes not the greatest place to glean the meaning of someone's tone. It's almost impossible to write your tone in the message. I think you would agree that my posts are long enough (and yes, windy at times) without qualifying all my statements with, "I don't mean to offend you" or "This is only my opinion" or "Don't take this the wrong way"...

And you are correct when you say everyone is creating "biased" strategies. We want to reduce that bias as much as possible with the tools at our disposal. In fact, that is our primary goal. The more we can reduce that bias, the less "noise" remains and the closer these strategies will perform in real trading versus the generated statistics.

And I'm sorry, I didn't see where you had posted the results. I've been working 60 hours the last two weeks and haven't had time to read everything carefully, but I'm following your posts with interests...they are heading in the right direction, for sure. And that doesn't often happen.

Don't take what I say personally; unless I make a direct attack on you (which I'm not doing at all. Really.) I'm just trying to bring what experience I have to the table--and that experience is NOT trading. It's from a mathematical/statistical viewpoint. I'm sorry to say that I cannot contribute much beyond that at the moment. But I believe a mathematical approach is very important to what we are doing. So it was my attempt to help.

Got to get to work...