Ebook workflow is brutal on my strategies.

Wondering how people are fairing following Zdenek Zanka’s ebook of strategy testing.  I tested 2000 EURJPY H1’s today, ran on ebook settings.  1400 passed the multiple market test, I deleted 700 because they didn’t make at least $2000.00.  I didn’t want to look through 1400 equity curves.  I had 28 left after the first robustness test and only one made it to WF Matrix only to fail miserably.  Do I just need to hang in there or are these tests to tough?

 

Thanks,

 

Kevin

Hi CMKCMK

 

If you amend your Databank View setup to include both ‘Ret/DD Ratio (IS)’ and ‘Ret/DD Ratio (RT)’ you can then export complete Databank list as CSV file to Excel, add a new column to calculate ratio of Ret/DD Ratio (RT) / Ret/DD Ratio (IS) and use Excel Conditional Formatting to highlight all strategies with a ratio <50%. Place SQ and Excel windows side-by-side and select all SQ strategy highlighted in Excel and delete them. When doing this I suggest you initially sort your Databank by ‘Ret/DD Ratio (IS)’ as this generally helps to group most (not all) failed runs to one end of the list, making subsequent selection to delete easier.

 

I’ve also given up viewing ‘each’ Equity Curve after recommended ‘Slippage’ and ‘Multiple Market’ test, I nowadays simply delete all of these tests where Profit Factor is <1.15 (half original strategy pass criteria).

 

I hope this helps.

 

AC1962

 

Hi AC1962

 

Great mind thinks alike, I am doing exactly that, using excel to assist in the filtering. To me it is still laborious as I do my robustness test in stages e.g. 10 samples with Selected TF, filter with Excel, then 10 samples 1 Min data then filter with Excel, then …. 200 samples with real tick (at this stage I will only have less than 10 strategies left..).

 

It will be nice if SQ 4 will incorporate a build in filtering function to sort out the robustness ratio… 

 

Cheers