Extreme Deviation Automatic Price Targeting - "X_DEV" - Bitcoin

[AIMAGIC]

Hi Myst

Thank you for the 4 hour LINK sheet.

I think you are trying the 4-hour time frame for the first time. Are you proposing to trade the LINK chart with the 4 hour timeframe going forward?

Optimisations for assets in a downtrend seem to be different to optimisations in an uptrend. Are there any observations you want to share?

Have you traded assets in a pronounced downtrend like this with XDEV before and achieved similar results? I'd be interested to hear if you have had similar results in the past.

With regards to the 2 drawdown column... On each row, for both XDEV and B&H, the column calculates how much the equity curve is in drawdown since your last high. Whenever you see a 0% (in black) it means your equity curve is back at all time highs or above. This allows for comparisons between XDEV and B&H in terms of depth of drawdown and of duration of drawdown. It is interesting to compare the timing and depth of XDEV and B&H drawdowns.

The top 2 cells show the MAX drawdown experienced over the period modelled in the sheet. The calculation in the cell simply looks through all the data below and finds the largest negative value (in other words biggest drawdown) and this is shown at the top of the column.

For example, in your 4-hour LINK sheet, if you look through the column below, you will see XDEV experienced a MDD (Max Drawdown) of -9.13% and B&H experienced a MDD of -51.87% over the same period.

Dividing the Profits (or losses) modelled in a sheet by the MDD during the same period allows us to calculate a reward to risk ratio and get a sense of the reward received for risk taken and make comparisons between assets in terms of reward to risk, rather than, simply return. This ratio is calculated in cells J7 and K7. This allows us to compare XDEV to B&H, but the ratios may also allow us to compare XDEV's performance across different assets.

As stated above, in itself, it is interesting to compare the timing and depth of XDEV and B&H drawdowns. I also wonder whether the Reward to Risk Ratios will help us in our optimisations to see when an optimisation is "good enough", or, when it is "under-optimised" or "over-optimised", i.e. curve-fitted. Maybe helping us find parameters that are "good enough" and robust and therefore will be effective going forward.

I read this comment online, which is why I included it. I quote, "The other factor I always like to look at is the profit/drawdown ratio. If this is anywhere near 1 [then] I see this as not a good strategy. This indicates that the risk and return are essentially equal, and if you have ended up ahead it is probably due to luck, not by your strategy having a statistical edge. If it is too high (say > 4) then I start to wonder whether it is over-optimised. The drawdown also provides a good guide for the expected future strategy performance, if in real use the strategy exceeds your expected drawdown it may be time to switch it off." https://www.forexfactory.com/showthread.php?t=263380

I am not sure how fruitful the ratio will be. It will be interesting to see if there is some correlation between this metric and other metrics that might indicate when an optimisation is "good enough".

I think your preferred metric is checking whether BUY or SELL signals occur at "extreme" moves in the DEV factor.

Alex