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Here you have a screenshoots of fluctuation of performance for 5 John's strategies for EURUSD.
CG - center of Gravity
3CG - triple center of gravity
DSS - Double super smoother
NonLinear - based on non linear MA (see ppt presentation about non linear MAs)
Sincorr - sin corelated system - code in 2009 ppt presentation.
Y axis shows % of profitable trades. All strategies were optimized against three different objective functions with GA. Equity curve correlation, % profitable trades and (#winners-#losers)*profit. So if you see on Y value for example 0.8 in means hit 80% in window of 8 trades.
You can see that change of optimization objective function really does not matter - does not stabilize the fluctuations of perfomance. Fluctuations of CG and 3CG are very high - those strategies are practically not tradeable. DSS, NonLinear and Sincorr fluctuate less however still too much in my opinion.
There is an important indicator missing in this thread:
Ehlers' Market Mode (Cycle or Trend)
The calculation is simple but I don't know how to program it in mq4. Any kind soul could code this?:
Trend mode on:
Bars since last crossing of the InstantaneousTrendline > CyclePeriod/2
Trend mode off:
Crossing of the InstantaneousTrendline while Trend mode on.
In Ehlers own words:
"Don’t trade the trend until the price has crossed the Instantaneous Trendline more than the half dominant cycle (which you have measured) in history. Stop trading the Trend when the price again crosses the Instantaneous Trendline."
It could be shown as a dot in the bar where trend mode kicks in as in the "Better Sine Wave" by emini-watch.com or coloring the bars while in a Trend.
My apologizes if it has already been done. I have checked this wonderful thread and I'm very grateful to all its contributors.
PS. In another place Ehlers gives another definition of trend. I don't know if it's related:
"A workable definition is a Trend exists when the measured phase rate of change is less than 67% of the theoretical phase rate of the dominant cycle".
In Rocket Science for Traders Ehlers gives a more complicated version of market mode detection:
Since the Cycle Mode exists for the smallest fraction of time and since most traders make the most money following a trend rather than a cycle, it is best to assume that the market is in a Trend Mode unless some very specific criteria are met. There are only two criteria to establish a Cycle Mode. First, a Cycle Mode exists for the period of a half-dominant cycle after the crossing of the two Sinewave Indicator lines. Second, a Cycle Mode exists if the measured phase rate of change is more than two-thirds the phase rate of change of the dominant cycle (360/Period) and is less than 1.5 times the phase rate of change of the dominant cycle.
The exception is when the prices are widely separated from the Instantaneous Trendline, it is possible for the Cycle Mode conditions to be met-but the Cycle Mode identification is clearly incorrect. I have therefore inserted another overriding rule for these cases. That rule is that if the SmoothPrice [the 4-bar WMA of the Price} is separated by more than 1.5 percent from the Instantaneous Trendline, then the correct market mode is the Trend Mode.
I will be glad if someone could code the simplified version in post #348,but this version also seems interesting.
I am looking different SpectroMeter & SineWave Indicator(s).
It seems TSD do not have search function and I found one from my own MT4 indicator library as SineWave and Spectrometer, but if anyone is capable to show correct threads for signal waves and spectrometers from this forum or anywhere else in the world wide web, I could be more than happy.
Linear Mode
