Reply

Weird strategy results difference on altered data

2 replies

Fossek

Customer, bbp_participant, community, 11 replies.

Visit profile

5 years ago #114529

Hi everyone,

 

i have tested the strategy that Marc published a while ago (EURUSD_H1_bothStrategy 15.102), everything with 0.1 lot fixed position size. Tested the strategy with Dukascopy tick data (downloaded through TDD) and exported two different settings: 

  • UTC +0
  • UTC +2 with removed weekend data

On non-altered data (UTC +0) everything looks ok.

 

But when i use the UTC +2 with removed weekend data, i´ll end up with something very unusual. The strategy now trades more frequently and loses pretty much all of its performance. The weirdest thing is the robustness analysis. While it looks usual on the UTC +0 data, it looks completely screwed on the other data. The original strategies performance is way lower than the 95% or 100% confidence level.

 

From the first look the strategy suffers a lot with altered data. On the second look it is a lot better on it (judged by the performance metrics of the 95% confidence level). Can anybody explain to me what happened? 

File: UTC+0.pngUTC+0.png

0

tomas262

Administrator, sq-ultimate, 684 replies.

Visit profile

5 years ago #134491

Strategy references price data from points at specific time so when you use data shifted by 2 hours its quite common you get different and usually worse results. this makes sense to me

0

Fossek

Customer, bbp_participant, community, 11 replies.

Visit profile

5 years ago #134502

There was a hickup in the data set. It now matches and makes more sense (not falling apart completely after shifting the data 2 hours). Additionally the problem on the monte carlo analysis was a result of wrongly set options. You must not alter history data when you test on higher resolution (like tick or M1 data). Otherwise the robustness tests will look like the ones i have posted.

0

Viewing 3 posts - 1 through 3 (of 3 total)