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Forums>StrategyQuant>General Discussion>Reverse entry in Strategy

• #115013 |
Participant
2 Posts

Hi,

I have a logic problem, One strategy and another strategy with same value but reverse entry condition, for ex, LongEntryCondition = (RSI(4) < Stoch(9, 3, 3))….. and the another is LongEntryCondition = (RSI(4) > Stoch(9, 3, 3))…. and I cant figure out a valid explanation of why the entries order are different. diferent time, price, etc… the correct logic must be the exact same order but in reverse, one Buy and the another is Sell.

for ex:

Here is a Strategy, ( a losing strategy):

——————————————————————————————————————————————————–

Tested on EURJPY, M15, 01.08.2012 – 14.11.2014
Spread: 16.0, Slippage: 2.0, Min distance of stop from price: 5.0
====================================================================
== Entry conditions
====================================================================
LongEntryCondition = (RSI(4) < Stoch(9, 3, 3))
ShortEntryCondition = (RSI(4) > Stoch(9, 3, 3))
====================================================================
== Entry orders
====================================================================
— Long entry
if LongEntryCondition is true {
if No position is open then Buy on open at Market;
Stop Loss = (1.51 * ATR(65)) pips;
Profit Target = (2.19 * ATR(30)) pips;
// Move SL to BE (on close)
Move Stop Loss to Entry price when in profit at least (1.87 * ATR(17)) pips;
}
— Short entry
if ShortEntryCondition is true {
if No position is open then Sell on open at Market;
Stop Loss = (1.51 * ATR(65)) pips;
Profit Target = (2.19 * ATR(30)) pips;
// Move SL to BE (on close)
Move Stop Loss to Entry price when in profit at least (1.87 * ATR(17)) pips;
}
——————————————————————————————————————————————————–
And the same Strategy but reverse EntryCondiion:
——————————————————————————————————————————————————–
Tested on EURJPY, M15, 01.08.2012 – 14.11.2014
Spread: 16.0, Slippage: 2.0, Min distance of stop from price: 5.0
——————————————————————–
====================================================================
== Entry conditions
====================================================================
LongEntryCondition = (RSI(4) > Stoch(9, 3, 3))
ShortEntryCondition = (RSI(4) < Stoch(9, 3, 3))
====================================================================
== Entry orders
====================================================================
— Long entry
if LongEntryCondition is true {
if No position is open then Buy on open at Market;
Stop Loss = (1.51 * ATR(65)) pips;
Profit Target = (2.19 * ATR(30)) pips;
// Move SL to BE (on close)
Move Stop Loss to Entry price when in profit at least (1.87 * ATR(17)) pips;
}
— Short entry
if ShortEntryCondition is true {
if No position is open then Sell on open at Market;
Stop Loss = (1.51 * ATR(65)) pips;
Profit Target = (2.19 * ATR(30)) pips;
// Move SL to BE (on close)
Move Stop Loss to Entry price when in profit at least (1.87 * ATR(17)) pips;
}
——————————————————————————————————————————————————–

why the open time, price, are different?, in this is not big difference, but in another have are too much difference.

#136490
Customer
430 Posts

You don´t think it has to do with the spread and slippage ?

#136503
Customer
432 Posts

You can´t turn a losing strategy into a winning strategy by reversing the entry conditions. The reason both lose is because of spread. Stick to finding winning strategies right from the start and forget the losing ones, you can´t make them winning ones by reversing them.

#136506
Customer
484 Posts

+1, if every losing strategy’s opposite rules made it into a winning strategy, trading would be a lot easier. Sometimes it works, but rarely.

The entry condition on this particular strategy isnt why its losing- its entry prices and exits are. But the entry condition also isnt helping very much.

Test them in MT4 visual mode. You will see both these strategies are not very different ultimately, even if you switch the entry conditions.

#136507
Customer
430 Posts

Looking at some of the looser and i would say also good strategies that SQ generates is many times totally against trading “guru´s”  teachings of a winning system but  found to be profitable by SQ. Maybe SQ  should have an option to test the reverse conditions as well automatically before discarding the generated strategy as crap. However most probably Mark and his team already tested this feature.

#136508
Customer
432 Posts

It makes really no sense to waste CPU cycles on such an extra test. The random generation finds such “reverse” strategies in any case because it generates them the normal way anyway by randomness, no need to test losing ones one more time extra the other way around and double processing time to find strategies. In 8 years I´ve not come across a SINGLE case where a losing strategy could be winning if reversing it´s rules, not a single time.

#136509
Customer
430 Posts

Thats what i thought , would just waste resources.

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