My USDJPY Daily Strategy
14 replies
phild
9 years ago #112278
I thought I would share one of my strategies that I am currently testing in a portfolio on a demo account.
This is one of 12 daily strategies that I have just started testing.
It had about 3 years of IS testing and about 10 years of OOS testing.
It seemed to perform quite well.
It has a win % of about 50.0%, and has a payout ratio of 2.37.
tnickel
9 years ago #124992
phild
9 years ago #124999
Hi phild,
what have you done to prevent curvefitting ?
thomas
Hey tnickel,
Basically, I used a large section of the testing data (about 10 years) was all tested on OOS data.
I believe that this is a statistically significant timeframe for testing.
I also did some robustness testing using 500 monte carlo analysis runs (I think it was 500) and also changing a few other variables like:
1. Randomize trades order,
2. Randomly skip trades,
3. Randomize strategy parameters,
4. Randomize starting bar,
5. Randomize history data,
I think this might be sufficient, but I am demo trading this strategy now along with 10 others together as a portfolio.
tnickel
9 years ago #125000
Hi phild,
I think the half of you portfolio is curvefitted.
This was is my experience in the past.
thomas
https://monitortool.jimdofree.com/
phild
9 years ago #125001
Hi phild,
I think the half of you portfolio is curvefitted.
This was is my experience in the past.
thomas
Hey tnickel,
Okay, I would like you to explain to me:
1. How it is curve fitted (so I can rectify this problem),
2. Also give me some details on how you would test a strategy you have developed,
eg: do you test 10 years on IS vs 3 years on OOS.
3. If you wouldn’t mind, tell me a bit about your past experience with SQ.
I haven’t had this programme for very long, and would appreciate the advice…
Thanks.
equations
9 years ago #125135
Hey phild,
I tested the strategy using Alpari data and got very different result. What data source did you use?
phild
9 years ago #125136
Hey phild,I tested the strategy using Alpari data and got very different result. What data source did you use?
Hi,
I used data from forex tester data.
I am still demoing this strategy and a few others before I go live.
I still have about 10 trading days to go before I have 1 month of trading experience.
I will need to probably need to use different data sources to test strategies before I go live.
equations
9 years ago #125137
Hi phild,
I tried using forextester free data and got the same different result. Perhaps you should check into this also.
My guess is the broker time difference causes this. I use GMT+2 for the forextester data. Hope this help.
tnickel
9 years ago #125139
Hi,
the GMT can be the reason if the strategy use the time.
If the GMT is ok the strategy should the same equitycurve with different data-source.
If the equitycurve is different the strategy is curvefitted.
thomas
https://monitortool.jimdofree.com/
phild
9 years ago #125141
Yes, I think that the time the broker uses could be the problem.
Either way , i think trying a few different data sources certainly can’t hurt.
Thanks for the input all.
Schutten
9 years ago #125338
Also I am wondering with backtesting did you test on 1 minute interval or even tick? This will give a much honest backtest results then for example testing only on 15 min time or 1H etc…
Regards,
Dennis
phild
9 years ago #125341
Also I am wondering with backtesting did you test on 1 minute interval or even tick? This will give a much honest backtest results then for example testing only on 15 min time or 1H etc…
Regards,
Dennis
Hi Dennis,
I think I only tested it on a daily timeframe. I am not sure if the results will be substantially different if I changed the timeframe.
I am doing some walk forward optimizations on some other strategies that I have developed at the moment.
Cheers.
Schutten
9 years ago #125343
Hi,
You can test is on 1H interval but then use testing on 1 minute basis. This lets SQ look ‘into’ the 1 H bar. Try this and see what the results will be…
Batch
9 years ago #128495
Hi Dennis,
I think I only tested it on a daily timeframe. I am not sure if the results will be substantially different if I changed the timeframe.
I am doing some walk forward optimizations on some other strategies that I have developed at the moment.
Cheers.
Not sure if one gets enough sample trades using daily bars, thus the % chance it is good strategy is lower for lower X # of bars in Y years. Can look darn good I’ve found in the past until it was pointed out to me the low number of trades is less chance it covers greater % of possibilities.
tnickel
9 years ago #128671
Hi phild,
do you have an myfxbook link for this demoaccount ?
I think this portfolio have crashed.
I have done many tests in the pasts. Most of the strategies are curvefitted.
thomas
https://monitortool.jimdofree.com/
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