The fall of Outperforming Long Bots
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The code runs on a 1-minute timeframe, and I do not use StopLoss, TakeProfit, or TrailingStops.
What I do use is a kind of emergency stop set at 2% (based onPositionPerf).
The decomposition and standard deviation I use have a period of 100 minutes, meaning it looks back 100 minutes.
Every minute, the code checks whether a characteristic of the signal crosses a certain threshold.
In earlier versions, these thresholds were static, but in the latest version, they are dynamic, based on the aforementioned standard deviation.
Only these threshold values have been optimized, and that optimization was done over a dataset of 200k units.2 users thanked author for this post.
I also apply money management, where the system starts with a minimum position size of 0.2 contracts.
All profits are reinvested, with a maximum position size capped at 10 contracts (for the sake of my blood pressure 😅).
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JS are you using Indicators to quantify any or even all of the ‘9 dominant characteristics of the signal’?
Is High, Low, Open and Close … 4 of the 9 characteristics or does decomposition centre around ‘Close’ only?
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I was good at math… but I still don’t understand this.
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