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Forums>StrategyQuant>General Discussion>curve fitting, question for the mathematician

  • #111686 |
    Customer
    247 Posts

    Hi,

    I have generated some strategies with the following process.

     

    1) Random Generation with Eurusdfhdb-data

    ISS:  1.1.2008-27.09.10

    Oss: 27.09.10-1.1.2012

     

    parameter:

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    2) I Found following good strategy.

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    3) The robustnesstest was good an the equitycurve was good too. So I decided to make an forward test with fhdb and dukadata

    Forward: 1.1.2012-29.03.2013

     

    Iss+Oss: 1.1.2010-1.1.2012

    Forward: 1.1.2012-29.03.2013

     

    forward with fhdb-data(graphic below)

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    forward with duka-data(graphic below)

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    4) I am happy, because I found a strategy who is good in Iss, Oss and this strategy is good on unseen data (1.1.2012-29.03.2013) too.

    I think If I made a test with unseen data the EA can´t be curvefitted ????

     

    5) In the next step I have done the following.

    I checked this EA with data from 29.03.2013 till 10.10.2013(dukadata)

    Iss+Oss+Forward:1.1.2010-29.03.2013

    OSS: 29.03.2013-10.10.2013

     

    The result was the following.

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    6) question: who can explain this?

     

    I have done a forwardtest of a long period 29.03.2013 till 10.10.2013, I have done a robustness test. I have checked this EA with data from

    dukacopy and fhdb.

    All tests show me that this strategy is good.

     

    And in the next step of unseen data this strategy is only loosing. I don´t understand this.

     

    thomas

     

     

    https://monitortool.jimdofree.com/

    #122908
    Mark Fric
    Administrator
    1182 Posts

    it is hard to say what could have been done better. I think you did almost everything from statistical point of view – the only thing more that can be done is WF Matrix.

     

    We just have to realize that even multiple repeated tests on unknown data don’t guarantee anything,

    I think multiple OOS testing they greatly reduces chance that strategy will be unprofitable, but that possibility is still there.

     

    Mark

    Mark
    StrategyQuant architect

    #123212
    Customer
    4 Posts
    2013 forex market becomes more difficult to profit.
    If you use the backtesting data before 2008, it may be profitable.
    #123214
    Customer
    247 Posts

    Hi bill,

    I want to be independend from the market.

    I generate every year a new portfolio with the actual market conditions.

     

    The GB tool is very good to do this.

     

    thomas

    https://monitortool.jimdofree.com/

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