Comments on: Trading the Channel

By: Diego

Diego — Sat, 19 Apr 2025 09:16:58 +0000

Thank you Petra for the very interesting article.
(The script in the 2025 repository is missing: thank you for share it)

By: Recent Quant Links from Quantocracy as of 04/14/2025 - Quantocracy

Recent Quant Links from Quantocracy as of 04/14/2025 - Quantocracy — Tue, 15 Apr 2025 05:30:10 +0000

[…] Trading the Channel [Financial Hacker] […]

By: Petra Volkova

Petra Volkova — Sun, 13 Apr 2025 06:17:52 +0000

In reply to Tsendi. By default it's 85/15. The 5 cycles are just for getting enough trades per cycle.

By: Tsendi

Tsendi — Sat, 12 Apr 2025 21:59:47 +0000

In what relation was the training and trading for the WFO cycles? For example 75% training and 25% trading on unseen data?

And why 5 cycles?

Thanks!!

By: Petra Volkova

Petra Volkova — Fri, 11 Apr 2025 09:07:17 +0000

In reply to Arash. You can find them in the latest TASC, May 2025.

By: Arash

Arash — Thu, 10 Apr 2025 19:50:08 +0000

Can you please share the resource you referred to from Perry Kaufman, where we can find more information?
Thank you for your article.

By: Petra Volkova

Petra Volkova — Thu, 10 Apr 2025 14:26:27 +0000

In reply to Maxim.

You’re absolutely correct. Zone is in fact a ratio of the difference of the band distances to the center. It can be positive or negative, and can result in trigger points outside the bands. For trading only inside the bands, you had to subtract the deviations:

var Zone = Factor*(HighDev-LowDev);

However I found that this produces worse results. You can try it. From the various possible ways of calculating the zone, this one is the best I found.

By: Maxim

Maxim — Thu, 10 Apr 2025 13:13:48 +0000

Thanks for the article! Are you sure this is correct? var Zone = Factor*(HighDev+LowDev);
LowDev is negative, so this calculation makes Zone vary below and above zero, which, when Zone is negative, makes the ‘inner channel’ go outside of the main channel.