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  • #110555 |
    Customer
    482 Posts

    Hi I found a good Strategie.
    I generated this Strategie with data EURUSD_fhdb with Timeframe H1.
    But the strategie works on M15 M30 H4 too.

    I have checked the strategy in metatrader with data from activetrades, It works excelent on M30.

    If you want you can test this strategy on a demoaccount and give me a response. I will do the same.

    Please give me a feedback. Is this strategy good? or is were somethink what is not ok?
    thomas

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    #120304
    Administrator
    3055 Posts

    Hi,

    this really seems like a nice strategy. You tested it on quite short data only from 2008, but when I retested it on my history data since 2000 it was profitable also before that. Nice example of out of sample test ūüôā

    The only problem is quite long period of stagnation in the middle, it took almost 3 years when the strategy profit was just oscillating around zero. Drawdown is just 13%, which is quite acceptable.
    Also, all the profit was produced only by long side, short trades ended in loss.
    Perhaps the strategy could be further improved by optimizing parameters in MT4 or strategy parts in GB.

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    Mark
    StrategyQuant architect

    #120305
    Customer
    482 Posts

    Hi Marc,
    yes I started the generation only from 2008. I read in the internet some strategies work only a short period of 2 or 3 years. So i want to look for
    strategies who worked only the last 3 years.
    I think the GB produrce will produce more profitable strategies if I choose a shorter timeperiod. For Timeframe 1H are 3 years enough I think?

    Optimaziation is a problem. I don¬īt want to overoptimise the strategie. I optimized this strategie for the data of 80% of its time and check if the optimized
    result is good enough for the last 20% of the data.

    At the moment I test the version 058245 and 058245_optimized on a demoaccount at active trades, so I can compare this both versions.

    I started to test the “walk forward analyser” from “http://www.easyexpertforex.com/walk-forward-metatrader.html”

    But this tool is very slow. If you use timeframe M30 and every tick I can wait a long time (1->x Days) for the result.
    I don¬īt understand exactly how to handle with the work-forward- analyser? The documentation of this tool give me
    not enough information.

    thomas

    #120355
    Customer
    482 Posts

    Hi,
    I testet EURUSD_M30_058245.zip one month on a demo account on EURUSD H1
    The result look good.
    25 Trades with profitfaktor 2.15.

    thomas

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    #120914
    Customer
    383 Posts

    tnickel,
    Have you figured out the Walk Forward Analyzer? I just got it working yesterday. I was using it to find optmized settings, but when I would use that set file and run normal backtest it became aparent that was not a good plan. So other than the Walk Forward Analyzer Number given at end, have you learned what else it is good for?

    #120928
    Customer
    482 Posts

    Hi stearno,
    the walk forward analyser is not able to optimize an EA.
    He is only able to say if it¬īs a good or bad EA.

    A walkforward result >0.5 means that is a good EA.

    You can use the last setting at the end of the testing period for your EA.

    For example.
    The walk-forward was from 1.1.2011-1.12.2012.

    You can use the setting from 1.09-1.12.2012 (this is the last generated setting) for your ea. [It is only an example]

    thomas

    #120932
    Customer
    383 Posts

    Okay, that helps. I will take what you said next time I test an EA. Have you found good settings to use in the WFA? like how many days to optimize and how many passes for each timeframe? For examlpe:

    M1 – 30 days, 6 passes
    M5 – 45 days, 9 passes
    H1 – 6 months, 24 passes

    -Stearno

    #120933
    Customer
    482 Posts

    Hi Sterno,
    I don¬īt look after the days.

    I look for timeperiods with more than 100 trades. If not enough trades I increase the days.
    6 months for H1 is a good value for a H1 Strategy.

    .
    24 passes f√É∆í¬ľr H1 is a little high.
    The calculation for this takes very long.
    I use max of 15 passes.

    thomas

    #120940
    Customer
    383 Posts

    THanks Thomas. I will tyr that next time.

    #121870
    Customer
    3 Posts

    Hi Sterno,
    I don¬īt look after the days.

    I look for timeperiods with more than 100 trades. If not enough trades I increase the days.
    6 months for H1 is a good value for a H1 Strategy.

    .
    24 passes f√É∆í¬ľr H1 is a little high.
    The calculation for this takes very long.
    I use max of 15 passes.

    thomas

    Hi I tested the mql files between 2001 and 2013 and it looks realy nice. Unfortunatelly in your zip file it seem the strategy file (.str) is not the one related with the mql file !!! Also the strategy ID created by GB is different in the file name. I will appreciate a lot if you could publish the right .str file. Thanks

    #121871
    Customer
    482 Posts

    hi,

    fcardix,

    yes this was not the correct strategy in the zipfile.

    I add the correct strategy in this posting.

     

    I have done the backtest again, but in this test the strategy is not profitable.

    I think this strategy was generated with an older version of GB. It is possible that in this older version was a bug.

     

     

    thomas

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    #121939
    Customer
    482 Posts

    Hi,

    it is very silent here.

    Are all people earning money with the GeneticBuilder?

    Or have the most people given up to find good strategies?

     

    My best strategies I found are in the M15 Timeframe (I found similarly good strategies in M30 and H1 timeframe)

    I don¬īt found stable strategies in M1 or M5 timeframe.

     

    The biggest problem was the curve fitting. It is very easy to find strategies with good equitycurves. But it is very difficult to find

    strategies who work on real accounts.

     

    I will show the portfolio of my best ten M15 strategies.

    Attachments in this forum are visible only for registered users.

     

     

    I hope this will motivate more people to find strategies in M15 Timeframe.

    thomas

     

     

     

     

     

    #121941
    Customer
    383 Posts

    Glad to see you are having success with the strategies   I took a break for a little while to focus on manual trading.  

     

    But basically, I still having difficulty with my evaluation process of the strategies produced by GB.

     

    Can you share the evaluation process you have found that works for you to determine the strategies in your portfolio you showed above?  From GB generation until you put it in your portfolio?

     

    -Stearno

    #121942
    Customer
    80 Posts

    tnickel,

     

    Do you care to post some of your profitable strategies in here?

    #122042
    Customer
    482 Posts

    Hi,

     

    stearno:

    In the evaluation process  I use only a very short time for the strategy generation. I check all this found strategies in a longer timerange.

    I hope this will prevent curve fitting.

     

    john99:

    No, I don¬īt share this strategies.

     

    At the moment I check some strategies on an real account. And the rest on demoaccounts.

     

    The portfolio looks good in the simmulation. But for forrex it is not good enough.

    The period is 13 years. 80000 Euro in 13 years is too less.

    I need strategies on M5 with more trades.

     

    At the moment some questions are open:

     

    1a) What data should I use for strategy finding?  If I use the realtickdata form a specific broker, are the results better If I trade this strategy on this broker?

    2a) Should I test a strategie with tickdata of different brokers ? Or have every broker a specific charateristic, so it makes no sense to check

    strategies with tickdata from different brokers?

     

    3a)I found winning strategies who works good on Demoaccounts and Realaccounts.

    … so it is fine….

     

    In the next step I backtested this found strategies on GB AND Metatrader.

    The backtestresults on GB and Metatrader are the same. (Strategie goes sideways)

    Where comes this difference (Slippage ?)

     

    Have someone made this type of tests:

     

    1b) Backtest on GB

    2b) Backtest on Metatrader

    3b) Test on demoaccount

    4b) Test on Realaccount

     

    ==> after 20 Trades compare this all.

     

    thomas

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