Not logged in
Viewing 14 posts - 1 through 14 (of 14 total)

Forums>StrategyQuant>General Discussion>How would you interpret this result?

  • #113708 |
    Customer
    10 Posts

    Hello guys, how would you interpret this result? Seems a little bit odd.. Does that mean that all the unluck has been in place in the last 4 years?

     

    Thanks

    Attachments in this forum are visible only for registered users.
    #130432
    Customer
    557 Posts

    That’s how I would read it, good strategy faced with bad luck.

    #130433
    Customer
    10 Posts

    Ok man, i have tons of these… but a wf analysis won’t be accurate so i just should put them in my portfolio? Isn’t there any way in sq to do a montecarlo analysis on a portfolio? Only in pro ea analyzer right?

    #130434
    Customer
    557 Posts

    SQ can’t do a montecarlo on a portfolio I don’t think.

     

    I’ve never seen the main strategy be an outlier like that, maybe there’s something weird going on with these strategies. Perhaps some others here have a view on this?

    #130441
    Mark Fric
    Administrator
    1182 Posts

    it is hard to say what is the reason for this without seeing your exact strategy and MC settings.

     

    it looks like either the original strategy was extremely curve fitted, or there is some strange issue with monte carlo tests.

    If you can attach your strategy here I could have a look at it.

    Mark
    StrategyQuant architect

    #130445
    Customer
    10 Posts

    it is hard to say what is the reason for this without seeing your exact strategy and MC settings.

     

    it looks like either the original strategy was extremely curve fitted, or there is some strange issue with monte carlo tests.

    If you can attach your strategy here I could have a look at it.

    I can’t upload here because it’s over 2mb:(

     

    here you go anyway

    thanks

     

    data from duka 4h.

     

    https://mega.co.nz/#!jRdA1YTB

    #130476
    Mark Fric
    Administrator
    1182 Posts

    it is asking me for some decryption key when I want to download it

    Mark
    StrategyQuant architect

    #130482
    Customer
    10 Posts

    it is asking me for some decryption key when I want to download it

     

     

    Don t know why. here you go btw

     

    thanks

     

    https://www.sendspace.com/file/gwun99

    #130486
    Customer
    432 Posts

    If the main strategy is an outlier like that it´s usually a “wrong” setting in the Robustness Test. Most often it´s the “randomize price” test which works only in selected time frame only method, even if you are testing with tick simulation. Let us know your robustness test settings and I am sure we´ll find out what the problem is.

    #130488
    Customer
    81 Posts

    it is hard to say what is the reason for this without seeing your exact strategy and MC settings.

     

    it looks like either the original strategy was extremely curve fitted, or there is some strange issue with monte carlo tests.

    If you can attach your strategy here I could have a look at it.

     

    Initially that graph would have said to me that the strategy is likely to perform better in real world conditions than in the original strategy test.. ?? But that just doesn’t make sense..   :(

     

    I have a tonne of these as well, which also happen to be on Gold, but D1.

     

    These are my settings, and RT chart.

    Attachments in this forum are visible only for registered users.
    Attachments in this forum are visible only for registered users.
    #130489
    Customer
    432 Posts

    Uncheck the “randomize history data”, it leads to false results as I mentioned above as it only tests in “selected time frame precision mode” but you are most likely using “tick simulation mode” for your backtests. So that won´t go together and create strange results. I already opened a ticket about this a while ago, not sure if Mark looked at it. Anyhow, if you uncheck that test, everything will look fine, right?

    #130490
    Customer
    81 Posts

    Oh History data, thanks I will give it a go.. Didn’t click that was the one when you said price.

    #130492
    Customer
    432 Posts

    DIdn´t know the exact wording in SQ by that time as I was on the road, but price/history is the same actually, as history consists of prices of the security:)

    #130494
    Customer
    10 Posts

    It worked… 5 strategies in bin now:D

Viewing 14 posts - 1 through 14 (of 14 total)

You must be logged in to reply to this topic.