Avoiding over optimization& targeting strategy longevity (in SQ)
17 replies
Threshold
8 years ago #113632
Everything we do in SQ is the epitome of curve fitting, data mining, and over optimizing. We are data mining a strategy by randomly generating the best strategies from just 1 asset’s data. We are curve fitting it based on 1 set length. Its already optimized from just those 2 previous builds, then we optimize it even more! I try to explain how to limit it has much as possible below. Professional systems are built to trade across a set of markets (futures/equities/fx) all using the same exact parameters with similar results in each market and last for decades. Thats robustness. We are not making “robust” strategies so it is of the utmost importance to be very careful.
This is the next video I’ve made. For education purposes only.
“This video is about avoiding over optimization, lightly covering ways to increase robustness, avoid certain common pitfalls, extend strategy life and increase probability of survival using StrategyQuant.”
NEW HD VERSION LINK:
https://www.youtube.com/watch?v=A5yNfnF2mZM
I cover data length, spread size, slippage, step sizing in optimization to avoid curve fitting, knowing when to reoptimize a strategy without using walk forward (and more accurately) and much more.
Enjoy.
Comment here. Share your ways too. This is just mine. Part of doing this is to start a discussion and have other SQ users input their logic of doing things.
Not sure on what video I will do next, probably money management or robustness testing and reading results. Comment any requests as well.
Someone commented in my in video to make a public “MYFXbook” account to verify my EAs. I will make a new account specifically for public use. (my other accounts are for my own private use only). The public account will just be a simple tool to prove that htey are working. Probably put like 1500-2k$ in it and will add all the EAs I make in SQ and EA wizard to it. The same ones i’ve had running live for 1 year, and any new ones I make.
mikeyc
8 years ago #129995
Hi Threshold,
Thanks for the video. 🙂
Just watching it now. One small comment, the quality of 480p is too low to read anything properly on my HD screen. If I make the video small, it’s too small to read and if I make it fullscreen, it’s too blurred to read.
So I’m following what you say rather than what’s on the screen. I think 720p would probably be the min in order to read the screen.
Cheers,
Mike
Threshold
8 years ago #129996
Ok I think its too long for youtube. I will need to split it into 2 parts probably. Give me a day.
You are right, the other 2 videos have HD option this does not. Definitely will fix.
Mark Fric
8 years ago #130014
Hello Scott,
wouldn’t you be interested in publishing these videos also on SQ website in some section?
I think they’ll find many more watchers there.
Mark
StrategyQuant architect
Threshold
8 years ago #130022
Definitely
geektrader
8 years ago #130037
Actually I am building only systems that work on all currencies (7 currently as SQ doens´t allow more right now). And they are working going foward. So I doubt I am curve fitting as you say in your initial post;)
Threshold
8 years ago #130038
Yes that is very robust.
geektrader
8 years ago #130040
Additionally each system found this way has to pass all kind of robustness tests too, just to make sure;) Oh and these 7 pairs are all on 14 years of data. And yes, you need a powerful machine and heaps of RAM for that. Rented here for that: https://contabo.com/?show=servers (the X and the Dual Xeon are good options), doesn´t get much cheaper than that for this hardware and they don´t mind if you run on 100% 24 hours too:)
Threshold
8 years ago #130051
Wow nice. Yes definitely takes some computing power.
I have a similar robust setup of 2 strategies made in EA wizard (1 trend follower 1 mean reversion) that run on all the majors+a few crosses+ metals & oil and are able to run on several other commodities as well with all the same parameters. The logic and pattern set up tends to make more sense too when human designed. They trade d1 bars so, minimum testing was 15 years when I made them but even on H1 bars I like to use ~ 14 years for random gen.
Threshold
8 years ago #130053
HD just added.
https://www.youtube.com/watch?v=A5yNfnF2mZM
geektrader
8 years ago #130054
Wow nice. Yes definitely takes some computing power.
I have a similar robust setup of 2 strategies made in EA wizard (1 trend follower 1 mean reversion) that run on all the majors+a few crosses+ metals & oil and are able to run on several other commodities as well with all the same parameters. The logic and pattern set up tends to make more sense too when human designed. They trade d1 bars so, minimum testing was 15 years when I made them but even on H1 bars I like to use ~ 14 years for random gen.
Totally agreed and good approach. Almost the same here, just that mine come from SQ and are neither trend followers nor mean reversers. Still they are totally simple, 2 indicators, rest comes down to good trade management, they are not about the entries, but cutting losers short and let winners run. And logically they make sense too, just never thought of that indicator combination. That´s what SQ is really useful for!
Keep up the good work with your tutorials, hope a lot more people can become profitable through them as many seem to struggle here as they go on it with the wrong approach.
nolube
8 years ago #130055
Hi geektrader, which 7 pairs do you build for?
I’m assuming…
EURUSD
GBPUSD
USDJPY
AUDUSD
NZDUSD
Then what?
geektrader
8 years ago #130057
No, uncorrelated ones (previously checking this with an extra software), so chosing the ones which correlate as few as possible so that the resulting system is as stable as possible and can handle everything. Those are currently (all have 14 years of data):
EURUSD
USDCAD
EURJPY
GBPCHF
AUDUSD
NZDCAD
NZDJPY
nolube
8 years ago #130058
Wow! And you’ve made strategies that are profitable on all of them??? I’m very impressed!
kanon103
8 years ago #130059
hey been long time no see. your profitable trader now huh.
long time no hear your voice lol.
nice videos btw.
Threshold
8 years ago #130069
Thanks.
Too bad you sold your keys!