Reply

100% automated and 100% accurate SQ workflow test case

71 replies

coensio

Customer, bbp_participant, community, 106 replies.

Visit profile

5 years ago #238903

My first 100% automated and 100% accurate workflow, StrategyQuant ‘custom projects’ test case

DISCLAIMER: The presented results below are still preliminary, there is still a small chance that my positive results are influenced by an undiscovered bug in the current version of SQ-X (build 118.84) or that I’ve just made a stupid mistake somewhere in my workflow resulting in a huge ‘Data Mining Bias’. However I did my best and rechecked everything multiple times…Moreover since this all is based on a relatively new ‘custom projects’ feature of SQ-X, nothing of this has been tested yet on a real account…but I think I have built a strong case supporting I could be right on this one

My claim: It looks like I’ve managed to create a 100% automated and 100% accurate workflow using StrategyQuant feature called ‘custom projects’.

100% automated means: I push 1 button before going to bed, and every morning my workflow automatically generates, validates and selects few new strategies which are ‘ready to go’

‘Ready to go’ means: I can deploy them immediately to my live account. Without a need of further processing.

100% accurate means: Every single strategy that has been selected by this automatic workflow (~50 so far), has been profitable in the 2 years period from the generation date.

To test my workflow I’ve adapted my SFT method as described in this topic: See HERE.

The workflow is based on standard validation test (common knowledge) as shared by SQ team in their free courses, however with a very rigorous settings. The workflow does not use any advanced validation methods like WFA,WFM,OP,SPP. Instead a customized Monte-Carlo test is used to simulate behavior of a SPR method. No portfolio analysis is performed (some systems can be correlated!).

My automatic workflow test case is split into two verification periods:
1. End of year 2014.
2. End of year 2016.

At each point in time 1 and 2, I used my workflow to automatically generate and automatically select 20 NEW strategies (out of several hundreds thousands systems) without ANY manual intervention and then ALL of selected systems where forward tested using SFT (future data). Let me be clear on one thing: I did not cherry picked any strategies.

It seams that every single selected strategy was profitable in the period following the selected generation date. See figures blow:

Test case 1: Strategy creation @ 2014.12.31, Simulated Forward test: 2015.01.01…2016.12.31.
Real-Ticks (Dukascopy data), Real-spread (no commissions)
2014 results 1
2014 results 2

Test case 2: Strategy creation @ 2016.12.31, Simulated Forward test: 2017.01.01…2018.12.31.
Real-Ticks (Dukascopy data), Real-spread (no commissions)
2016 results 1
2016 results 2

My conclusions so far:
1. If there are no mistakes, then it seems that it is totally possible to use SQ-X automated ‘custom projects’ to automatically generate and select profitable trading systems.
2. No advanced validation/filtering methods needed. Of course these tests should only improve total result and minimize DD on portfolio level.
3. The results in SFT of >2014 are slightly better than >2016. Workflow is somehow sensitive to used data during strategy generation (due to changing market condition). It seems that years 2017 and 2018 are very difficult years for trading using the selected trading type.
4. It is not 100% proven yet, but it’s a pretty damn good result so far, taking into account it’s based on a simple workflow that is using basic filtering principles.
5. Some of the strategies can be correlated, but for the sake of this investigation no manual correlation filtering has been performed. This would jeopardize the objectivity of this test case.
6. The filtering settings are very rigorous, this workflow filters out only the most robust strategies. According to my statistics only 0.05% of the generated strategies are able to pass this workflow.

TODO:
– Refine the workflow and implement further strategy selection, perform correlation tests, WFM analysis and additional portfolio level related tests.

– I’m also waiting for 01.03.2019 and build 119 with new features 😉

Greets,
Chris

This is a false statement.

0

hankeys

Customer, bbp_participant, community, sq-ultimate, 487 replies.

Visit profile

4 years ago #242303

generating market+stop+limit at the same time is “nonsense”

bars valid for stop order max 30? why?

move SL to BE – max value 500, but TP is set to max 300, the same for trailing profit

i dont use PT and SL on indicator – its slowing the generation and mostly its not in the strats

You want to be a profitable algotrader? We started using StrateQuant software in early 2014. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM.

0

Marcel

Customer, bbp_participant, 55 replies.

Visit profile

4 years ago #242304

First of all, a big thank you to you, Hankey.

Based on your remarks I notice that I am probably mistaken.

When I select e.g. market+stop+limit for the order types, then I don’t mean that everything has to be given in one strategy all at once, but that SQX finds a strategy that has one of these order types on the basis of these order types.
That is apparently wrong, isn’t it? So I should just specify the type of order that I think is right, right?

max period of indicator only 30: Yes, because to my knowledge it is rather bad to look too far into the past.

why do you use only a few building blocks: To avoid slowing down the generation unnecessarily with balast.

 

0

hankeys

Customer, bbp_participant, community, sq-ultimate, 487 replies.

Visit profile

4 years ago #242305

yes every strategy will have only 1 entry (market, limit or stop), this is not a problem…but you will have everything in one pack, and market, limit strategies needs whole different workflow…better start with STOP strategies…and dont slowing generating with market or limit orders

about the whole settings – if you know what you are doing, thats OK…what is wrong? i dont like something here, something there….something ill change certainly, some settings are for discuss only

You want to be a profitable algotrader? We started using StrateQuant software in early 2014. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM.

0

Marcel

Customer, bbp_participant, 55 replies.

Visit profile

4 years ago #242310

but you will have everything in one pack, and market, limit strategies needs whole different workflow

That’s nonsense.

 

To be honest… I don’t understand that statement either.

Is SQ now looking for a strategy that fulfills ALL entry signals when I check the entry signal or is SQ just looking for a strategy that fulfills one of these entry signals and matches my ranking?

0

tomas262

Administrator, sq-ultimate, 2 replies.

Visit profile

4 years ago #242322

It is simple. When you select all orders types you expand area of possible combinations and it takes more time to test them all. If you are not sure which order type would work better for you keep them all active. If you are working with “idea first” concept instead of just blindly searching for “some strategy” then you can keep active only the order you really want to use

0

Marcel

Customer, bbp_participant, 55 replies.

Visit profile

4 years ago #242327

 

It is simple. When you select all orders types you expand area of possible combinations and it takes more time to test them all. If you are not sure which order type would work better for you keep them all active. If you are working with “idea first” concept instead of just blindly searching for “some strategy” then you can keep active only the order you really want to use

 

Hello, Tamas,

Thank you… I’ve already begun to doubt myself. The following post, from Hankey, is wrong and my approach was basically, from my point of view, correct.

generating market+stop+limit at the same time is “nonsense” bars valid for stop order max 30? why? move SL to BE – max value 500, but TP is set to max 300

 

The best thing is:

I found the mistake. To be honest, this bug is mostly due to a missing logic query in SQX and should be considered a bug:
For example, I entered 60 for stability, although the maximum value is 1. SQX then apparently just started looking for it and of course found nothing, the true basic however not displayed under “Rejected” either……..Now I entered 0.6 as stability and SQX suddenly finds a lot of strategies…..so this is another BUG in SQX.

0

hankeys

Customer, bbp_participant, community, sq-ultimate, 487 replies.

Visit profile

4 years ago #242328

its simple as i said:

generating MARKET + LIMIT + STOP strategies together with the same settings is folly

there need to be totally different settings used for every kind of strategy

for STOP and MARKET you need to use slippage, wider SL and TPs, trending markets

for LIMIT there will be no slippage, tighter SL and TPs, different markets which are not trending

so if you have set all 3 kind of strategies, you are only wasting your time, slowing the generation process by 4x times and finally you will find, that for 99% you have only STOP strategies in databank after the whole workflow

if you are not profitable with STOP strategies, dont waste your time with MARKET or LIMIT…its that simple 🙂

You want to be a profitable algotrader? We started using StrateQuant software in early 2014. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM.

0

coensio

Customer, bbp_participant, community, 106 replies.

Visit profile

4 years ago #242332

generating MARKET + LIMIT + STOP strategies together with the same settings is folly

Moreover SQX is using different settings blocks for different order types, that is how SQX is programmed, you can easily see that with your own eyes by going to the builder disabling all building blocks, enabling STOP orders only and hitting start button. SQX will ask you to enable some SPECIFIC building blocks/indicators for this particular trading method (STOP orders in this case).

Cannot start project ‘Builder’, it has config errors.
….
Error: You use Enter at Stop or Limit, you have to choose some Price Level blocks!, in setting: Blocks
Error: You use Enter at Stop or Limit, you have to choose some Stop/Limit Price Range blocks!, in setting: Blocks
Error: You use Indicators in exits (Stop Loss or Profit Target, Trailing Stop etc.), you have to choose some Price Level blocks!, in setting: Blocks
Error: You use Indicators in exits (Stop Loss or Profit Target, Trailing Stop etc.), you have to choose some Stop/Limit Price Range blocks!, in setting: Blocks

 

 

 

This is a false statement.

0

coensio

Customer, bbp_participant, community, 106 replies.

Visit profile

4 years ago #242349

Based on an assumption, you’re just cutting off an area of valuable research with zero empirical verification; the sin here is not that you adopt this approach but you’re passing it off as SQX strategy building lore with the potential to carry a host of noobs down the path of 1.02 profit factor in live trading.

That is exactly why I only follow and listen to real professionals, like real-life hedge fund managers who are actually making money in the markets and are managing millions of dollars, instead of some anonymous guy, hiding behind an anonymous nick name on some anonymous forum.

And guess what…no one of professional traders I follow, is feeding genetic builder with garbage settings, because of this one important rule: “garbage in” = “garbage out”.

They all use very well defined and pre-selected indicators and settings tuned for one trading type and even for each market. Coincidence?

If you have another ideas you want to share here (which are backed by life account results) then I will be happy to learn something new from you.

 

 

 

This is a false statement.

0

mabi

Customer, bbp_participant, community, 261 replies.

Visit profile

4 years ago #242351

It is easy to see what Indicator or  combinations that works. You get that info from the stats when looking at the created strategy for current Instrument and timeframe/s.

0

gottogethelp

Customer, bbp_participant, 30 replies.

Visit profile

3 years ago #257390

My conclusions so far: 1. If there are no mistakes, then it seems that it is totally possible to use SQ-X automated ‘custom projects’ to automatically generate and select profitable trading systems. 2. No advanced validation/filtering methods needed. Of course these tests should only improve total result and minimize DD on portfolio level. 3. The results in SFT of >2014 are slightly better than >2016. Workflow is somehow sensitive to used data during strategy generation (due to changing market condition). It seems that years 2017 and 2018 are very difficult years for trading using the selected trading type. 4. It is not 100% proven yet, but it’s a pretty damn good result so far, taking into account it’s based on a simple workflow that is using basic filtering principles. 5. Some of the strategies can be correlated, but for the sake of this investigation no manual correlation filtering has been performed. This would jeopardize the objectivity of this test case. 6. The filtering settings are very rigorous, this workflow filters out only the most robust strategies. According to my statistics only 0.05% of the generated strategies are able to pass this workflow. TODO: – Refine the workflow and implement further strategy selection, perform correlation tests, WFM analysis and additional portfolio level related tests. – I’m also waiting for 01.03.2019 and build 119 with new features 😉 Greets, Chris

Hi Chris – very interested in this approach. How have you got on with those live strategies after 8/9 months?

Jossy

0

coensio

Customer, bbp_participant, community, 106 replies.

Visit profile

3 years ago #257392

Yes sure I’m still trading them (most of them)….below some update:

1. Forex: 56 uncorrelated strategies, some of them are profitable, but on portfolio level going completely flat (=$0) after >1000 trades.

2. Indices: 36 uncorrelated strategies, VERY profitable strategies, BUT only until ‘corona virus’ panic happened, now all gains are destroyed..gone with the wind…

3. Futures (indices): 15 strategies still looking very well, portfolio up 26% (30% ATH). This is something I can recommend, if you can afford the “margins” look more into the futures markets instead of forex.

Gr,

Chris

 

 

This is a false statement.

0

Ash24FX

Customer, bbp_participant, community, 17 replies.

Visit profile

3 years ago #257614

Hi Chris,

Thanks for sharing, very interesting ,could I ask what are you using for Futures, Tradestation or MT4 and are you using the datapacks from the SQ Data Subscription?

I’m looking to branch out from Forex and may open a demo account and do some testing of my own

Thanks,

Ash

 

0

coensio

Customer, bbp_participant, community, 106 replies.

Visit profile

3 years ago #257616

Hi Ash,

I’m just exporting M1 data direct from TS chart, because one thing to mention here is that I use  “intra day trading”, so trying to catch breakouts within the same day, mostly I’m using “D” charts with “daily sessions”.

(now I’m trying to ‘imitate’ this trading approach on MT4…work in progress)

Gr

Chris

This is a false statement.

0

hankeys

Customer, bbp_participant, community, sq-ultimate, 487 replies.

Visit profile

3 years ago #257620

but in TS platform you can trade only 1 EA per instrument, am i right?

and with rollover you need to change the instrument?

You want to be a profitable algotrader? We started using StrateQuant software in early 2014. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM.

0

Viewing 15 replies - 31 through 45 (of 71 total)

1 2 3 4 5