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Forums>EA Wizard>General Discussion>100% automated and 100% accurate SQ workflow test case

  • #238992|
    Customer
    484 Posts

    A simulated forward test

    Made me chuckle!

     

    I suggest you get to grips with the basics before coining ‘new’ theoretical paradigms that produce spurious results.  Survivorship bias certainly resides in the A,B or C of  algorithmic model validation.

     

    Hmmm…maybe I should rename out of sample testing the “robust data that hasn’t been seen yet testing paradigm” then postulate the paradigm overcomes all the downfalls of out of sample because I’ve changed its name and formatted it in bold.

    #238993
    Customer
    78 Posts

    The more comments I read here, the more I realize ‘not sharing’ anything at all could be the best way to go on this forum. I see you guys have figured it all out already, I see a lot of people making big profits continuously, especially all gurus, there is no room and no need for sharing ideas and having discussions… ;)

    #238997
    Ilya
    Customer
    101 Posts

    Hey, don’t be discouraged. I am more than happy to hear everyone’s ideas and points of view, and I am sure many others here appreciate it too.

     

    Ilya

    #238999
    Customer
    484 Posts

    Or in short, you have to retain the losing models at each stage of the analysis. Compute statistics for both sets of models (profitable and dogs) then move onto the calculation of conditional probabilities.

    #239004
    Customer
    389 Posts

    Yup if they are all winners in one OOS period they can likely all be loosers in another.

    #242276
    Customer
    50 Posts

    after 2 years of live trading – 1M and TICK backtest is still holding, but real EQ curve is already in loss…NFPs, gaps…and they got ya

    Or maybe because of this bug if I’m right! This bug will cause an EA back-test to behave differently from the same EA on a live account. If you happen to have more than one EA on one account, they interfere with each other. Many of the sqx ea functions seem to be reliant on global variables but when you have more than one EA on an account then they (occasionally – once randomly every 20+ hours per EA) delete each others GV. GV seem to be used for important functions such as trailing stop and timed exits! How frequently such interference happens depends on how many EA you have on one account…

    https://roadmap.strategyquant.com/tasks/sq4_5095

    #242277
    Customer
    50 Posts

    False alarm actually ignore my previous post. I was wrong.

    #242278
    Customer
    61 Posts

    @Coensio

    First of all, I want to thank you for sharing your thoughts with us. But I don’t understand why you’re crazy now.
    When you publish your work, you must be able to defend it. That there are some unqualified comments is unfortunately normal.

    But now to my question:

    When I look at your screenshots I notice that the drawdowns of the different years are partly completely identical. Are you sure that it’s resilient?
    Also the NetProfits are extremely different! Why?

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    #242279
    Customer
    78 Posts

    First of all, I want to thank you for sharing your thoughts with us. But I don’t understand why you’re crazy now.

    No really, I’m not crazy, but usually I just avoid arguing with other people, because in most cases I just do not care ;)

    So yes, everything what you see is true, I did not draw my results in mspaint…really, but there is a ‘catch’ (or even two) to this method:

    1. This workflow targets only one specific trading type: breakout/(short term)swing trading, so it also targets only specific indicators and settings. What you see is a result of genetic generation and heavy robustness testing (and high Ret/DD filtering), this means that the resulting strategies are somewhat correlated. Basically it is one type of trading method using different indicators/settings. So that is why you see some similarities, but also different profits.

    2. Those results are only true when the ‘OOS’ period following the workflow years has similar market conditions and sufficient volatility. It worked perfectly in 2014-2016 even 2017, but the results are not that pretty in >2018. In those years I see nothing but stagnation…volatility is gone…

    But this is normal, markets will always change…we have now ‘quiet years’..in the mean time I’m exploring different markets where breakout trading still works pretty well…

    • This reply was modified 3 months ago by  coensio.
    #242281
    Customer
    61 Posts

    That may be true, but it’s highly implausible that the same strategy has exactly the same drawdown in the following year, or do you see it differently?

    Furthermore, I don’t understand how it can be that you turn on SQX in the evening and have stable strategies in the morning.
    Let me explain this briefly:

    Last month (start 16.06.2019 to 13.07.2019) I searched almost 100000000 (1 trillion) strategies through SQX, looking for a strategy that has the following qualities:

    Market: Eur/Usd / 1 hour
    Period 01.01.2019 – 15.06.2019
    Profit factor: => 1.3
    RET/DD => 0.5
    MAXDD<= 25%
    Stagnation<= 25%.
    Stability <= 80

    The result: 0 (!)

    There was no strategy at all that met these criteria.
    As mentioned above, 1 trillion strategies were tested!

    For this reason I am very surprised how you can say that you turn on SQX in the evening and that you can have more than 30 stable strategies in the morning.

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    #242288
    Customer
    484 Posts

    29 strategies produced in 15 minutes (50K strategies generated) that meet the above-listed criteria.

    Reply not required or welcome but consider using the word “unqualified” less in your posts (black pot etc).

    Attachments:
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    #242289
    Customer
    61 Posts

    First of all:

    You would get yourself a very strong “popularity boost” if you didn’t always judge everything without being asked.

    Secondly:

    Thank you very much! To be honest, I’m confused as to why I don’t get a single one displayed as suitable for 1000000000 strategies.

    Would you please send me the settings you were looking for?

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    #242290
    Customer
    389 Posts

    @ Marcel, looks like 1 Billion , no matter thought.  I did the same but on longer data 1986-2018-09.  Testing those same period i end up with  more then 3000 passing your criteria which is less then 10% but I traded 37 of them between 0612-0712 and they made 21.5% on a real small account. But that was a good month actually 90% of 35 k strategies made a profit. Month before  less then 10% was profitable.

    #242291
    Customer
    61 Posts

    But the question is, why out of a billion strategies not a single one ended up in the database…..that confuses me a little….

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    #242292
    Customer
    78 Posts

    @marcel:

    SQX is not different than any other thing based on computers….where there is this law that says:

    “garbage in” = “garbage out”.

    Basically you need to know what kind of indicators, with what kind of settings to use to target specific trading method. When done properly, you can generate a large amount of interesting strategies in a few hours. Seeing my results, now I realize these are very mediocre results, nothing special. So I think you must be doing something wrong, very wrong…

    To be constructive maybe you should share your settings, and maybe someone will look at it and tell you what is going wrong.

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