Last updated on January 9, 2019 by Kornel Mazur
Settings – What to build
Here you select what exactly you want to generate. You can generate a new strategy for single chart, for multi-symbol or multi-timeframe, or improve a part of the existing strategy
Strategy type options:
- Simple strategy – “standard” simple strategy that trades on one symbol and timeframe
- Multi-TF or multi-symbol strategy – strategy that can use multiple additional charts in addition to the main one. For example, it will be trading on EURUSD/H1, but it could be looking also at data for EURUSD/H4 and GBPUSD/H1.
You simply must define how many of these additional charts the strategy will use, you’ll then later define which ones they will be exactly in Data settings
- Strategy from template – allows you to generate strategy using your own strategy template. You can create strategy template in Wizard, and then choose it here. This allows you to generate strategies with architecture that is different than standard SQ X strategies
- Improve existing strategy – you must choose strategy that you want to improve, and then in another settings Parts to improve you’ll choose what exactly should be improve in this strategy – it could be only Long entry rule, or only Short Exit rule, or type of order placed (Market / Stop / Limit).
You can choose to generate strategies that trade only to one direction (Long or Short) or to both directions (which is standard).
You can also select that you want the entry or exit rules to be symmetrical. If they are symmetrical, then the rules for both directions are the same, only reversed.
An example of symmetrical rules:
Go Long if CCI > 0 Go Short if CCI < 0
As an alternative, you can choose to use non-symmetrical rules, in this case the rules for Long and Short sides will be generated independently.
An example of non-symmetrical rules:
Go Long if CCI > 0 Go Short if RSI < 0 and Momentum < 100
This setting can be used for both entry and exit rules, for example you can have symmetrical entry rules, but non-symmetrical exit rules, so the strategy will effectively use (for example) different stop loss and profit target for Long and Short orders.
Strategy style configuration and build mode
There are important configuration options that you can set in addition to the basic strategy types. Clicking on this link will open a new popup dialog. You can choose from three different architecture types, they are described in detail in their own section in this guide.
You can select whether SQ will generate strategies using Genetic evolution or Random generation.
If the genetic evolution option is used a new navigation tab “Genetic options” will show up in the builder. All the options available are discussed later in this guide.
# of Conditions, Periods settings
Number of conditions in entry and exit rules
This determines min and max number of conditions that should be generated for one signal.
For example, if you’ll alow only one condition your signal will look like:
EntrySignal = CCI > 0
If you’ll use three conditions, it could look like:
EntrySignal = CCI > 0 and RSI >50 or Momentum < 0
Note that there are three different conditions (CCI, RSI, Momentum comparison), connected with and/or.
Setting higher range for number of conditions is especially important for Fuzzy rules strategy, because fuzzy logic will be effective when there are at least 3 or four conditions to evaluate.
If you are using Fuzzy Logic architecture, make sure you set Conditions to generate Minimum at least to 3 or more.
Shift (lookback period)
is the number of bars in the past the condition could look into.
Shift=0 means that the condition is evaluated on the current bar, Shift=1 means the condition is evaluated on the previous bar, Shift=2 means it is evaluated on bar before previous one and so on.So here you can define ranges that wil be used when generating strategy conditions.
In general, it isn’t good to allow strategy to look to far into the past. For example, value of CI(14) 10 bars back doesn’t bear too much significance for the current market status. It is recommended to keep this range small, between 0-5.
Using Minimum Shift = 0 ?
When you set minimum Shift = 0 you allow to create conditions that check for the indicator value on the latest current bar. Conditions are usually evaluated on bar open, but most of the indicators use bar close to compute their value. So the value of indicator on bar open (For example CCI(14) could be very different from its value at the end of the bar.
For this reason we think it makes more sense to set Minimum Shift to 1, this way on bar open (when conditions are evaluated) you’ll get indicator values from the previous bar that just finished, and the indicator value was computed and final.
is min and max range of period value, meaning how big period should be used in indicators generated in StrategyQuant.
Indicators period must be bigger than 1, and ideally smaller than 10o, or even smaller than 50.
Again, it is recommended to not use too big periods.
If you use more than one chart, you can configure all these settings for each chart separately.
Note that all these settings are ranges from Min or Max. The exact number of conditions, shift and period will be determined randomly when every strategy or condition is generated.
The second part is configuration for every chart that the strategy can access. For simple strategy there will be only one chart, but if you build multi-TF or multi-symbol strategy, you can configure the generation for every chart separately.
Stop Loss & Profit Target Options
These settings allows you to specify whether Stop Loss and Profit Target should be mandatory in the strategy, and what is the minimum and maximum of the SL/PT values in pips. You can also define the desired Risk Reward ratio.
Having defined SL/PT in the strategy is the simplest and many times the most effective approach.
If you unselect the mandatory SL/PT then the randomly generated strategy can (but doesn’t have to) have fixed SL/PT. It is advisable to use different exit rule if you uncheck this setting,for example exit after X bars, otherwise the strategy will have no way to exit the trade.
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if I want to generate strategies without putting stop loss, but instead do hedging for orders, how I can set it up?
You can simply disable “Stop-loss is required”. In such case SL order does not have to be used necessarily. Although the hedging by another order you mention needs to be set manually by creating a template using AlgoWizard
No way to set Minimum Shift to 1, only max value is available for setting.
That’s right. The min value is always considered to be 1. You only change the max value.
The usage of “Shift = 0” is quite common in Multicharts / TradeStation because strategies are calculated when the bars close and the order is usually set for the “next bar”. Could you please allow looking also at Shift = 0 when Max shift value is greater than 0?
Thank you very much!
Limit Risk-Reward (SL vs PT) ratio:
The following data 50%, 80%
what is the meaning of this data?
50% is “PT divide SL”, or “SL divide PT” ?
If you set PT 50% then it will be 50% of the SL size. If the SL size is 100 pips then the PT will be 50 pips (50%)
If I set limit Risk-Reward ratio to Yes, and I also set Profit target size.
Does Risk-Reward ratio will override the Profit target size Settings?
yes, the RR setting will override the fixed pips or ATR-based SL
In “Indicators period” so if I set Min=5 & Max=50 all indicators periode will be between 5-50?
So if I am building around Moving Average means all strategy will cover MA 5-50. Is this correct?
Yes, that is the purpose of the settings
is there any experimental way to change and test minimum shift in a custom project?
for example, minimum shift = 2, or 0.
unfortunately you cannot set minimum shift. The only value that can be set in the maximum shift
I have it set to 1 for max entry conditions and it usually gives me more than 1. Is there a way to fix this?
Kevin, please save your builder configuration and send me to support@strategy quant.com, I will test
Hi, I’m building strategies for an M5 chart. I’m trying to use the D1 ATR for SL, TrailingSL and PT. Unsuccessfully so far, as the builder only builds strategies with the M5 ATR (as verified when looking at the MT4 code). How do I configure the use of the D1 ATR for SL and PT? What I have tried so far: ‘What to build’ -> ‘Multi-TF or multi-symbol strategy’ -> 1 add. chart / ‘Additional build config’ -> Stop Loss -> ATR-based’ / Additional build config’ -> Profit Target -> ATR-based / ‘Building blocks’ _> ‘Exit Types’ -> ticked Profit… Read more »
Please contact us at our support@strategy quant.com email, we will try to figure out a solution for you
“Stoploss size” in percent is missing from the screenshot and documentation on this page ?
When using “percent” in “stoploss size” settings, it is percent of what ? percent of equity ?
It is calculated as a percent of price. For example stoploss = 5% will be set at price 95 for trade entry at 100