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

  • #242302 |
    Customer
    569 Posts

    conditions 1-5…this is very complicated to have strats with 2 and more conditions…for me 2 is max for conditions…also i dont like exit conditions at all

    max period of indicator only 30??? for M15…

    i dont like your genetics settings…you know why you set it by this way and what everything means?

    why do you use only a few building blocks?

    so i see many questions here…

    and i dont see the basic point generating only on a few dataset – for me minimum for IS+OOS are 2+2 years, better 3+3

    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #242303
    Customer
    569 Posts

    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? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #242304
    Customer
    61 Posts

    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.

     

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    #242305
    Customer
    569 Posts

    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? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #242310
    Customer
    61 Posts

    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?

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    #242322
    tomas262
    Administrator
    1494 Posts

    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

    #242327
    Customer
    61 Posts

     

    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.

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    #242328
    Customer
    569 Posts

    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? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #242332
    Customer
    98 Posts

    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

     

     

     

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    #242349
    Customer
    98 Posts

    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.

     

     

     

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    #242351
    Customer
    422 Posts

    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.

    #257390
    Customer
    29 Posts

    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

    #257392
    Customer
    98 Posts

    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

     

     

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    #257614
    Customer
    18 Posts

    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

     

    #257616
    Customer
    98 Posts

    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

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