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  • #122069 |
    Customer
    383 Posts

    Thomas,

    Thanks for sharing.  Yes, I have come across these same questions.  

     

    But to be honest, what I have come to the conclusion of is that I will not know these answers until I go through the entire process all the way to the Real Account and comparing those results to the backtest, walk forward test, and dmeo test results.  Then, and I think only then, will I know if these tests are actually predictive to the real world results.

     

    I have taken time away from strategy development because my discretionary trading started to fall down.  I have gotten that back to be consistent, so I was looking back at making new automated strategies.  Before I took a break, I just had too many strategies fall apart as soon as I changed to a different timeframe or different currency pair (curve on created data set was beautiful, and then just went completely in opposite direction on new data set).  That is why I was asking you what you have found to work.

     

    I think basically, we as a community can make this learning curve shorter for all of us if we worked together to get answers to the questions you posed.  If we all tried different backtesting processes and methods and then we took them to demo and then took them to live testing on different brokers, then we could report back onto this forum the results.  Then, we could quickly see what worked and what does not. We would get answers to your / our questions so much quicker than doing it alone.

     

    What do you think?

     

    -Stearno

    #122243
    Customer
    481 Posts

    Hi stearno,

    It is very easy to generate good strategies (strategies with good equtiy curves)

    But the most strategies are not running in real life.

     

    Here is the generation process of this portfolio:

    A69 EURUSD M15, Finfx

    Idear1: short timeperiod with realtickdata from finFx
    18.10.12-31.12.12-5.02.13
    Spread 2, 0,5 Slippage, Tick Simmulation
    Sl/Tp 5/120

    1) Random Generation
    2) Backwardtest with data from forextester 1.1.2001-31.03.2013
    Spread2,0

    (long period Test)

     

    I installed this portfolio on a Demoaccount and run over a period 23.04-3.07

    Here is the result.

    Attachments in this forum are visible only for registered users.

     

     

     

    Idear 2:

    In the next idear I testet  strategies form step 1) with data from different brokers and take only the best strategies.

    If I do this additional test the success will better.

    From 15 strategies is one  ore two strategies good on demoaccount (I think real account will work too because this are not scalper, I have not testet this on real account)

    Attachments in this forum are visible only for registered users.

     

    What is to do in the future to find good strategies?

     

    1) use the robustness test in the GB 3.0. This feature is genial, I can´t say more about this feature.

    2) Install the good testet(with robustnesstest) strategies on demoaccounts

    3) compare the trades of this strategies of demoaccounts with the backtester in Metatrader and Genetic Builder.

    4) Check this for M15, M30, H1 (M1… M5 is a little difficult)

    5) post your found strategies here in the forum 🙂 🙂

    thomas

     

     

     

     

    #122285
    Administrator
    3055 Posts

    Hi,

     

    I’ll post one good strategy for EURUSD/H1 here I just recently found.

    The strategy passed all the robustness tests and walk-forward analysis, it is profitable even on GBPUSD.

     

    Attachments in this forum are visible only for registered users.

     

    Right now I started trading it on a demo account, and it is a very good candidate for live trading – once the demo proves its performance.

     

    I intend to publish a new portfolio of trading strategies for SQ, right now I’m still running generation for USDCHF and USDJPY, it seems to be more difficult to find a good strategy for these symbols.

     

    Mark

    Attachments in this forum are visible only for registered users.

    Mark
    StrategyQuant architect

    #122286
    Customer
    481 Posts

    Hi Mark,

    thank you.

    I will install this strategy on demo account and real account.

    I compare the trades. And if the trades on real and demo are the same I can increase the lotsize 🙂

     

    At the moment I optimize the strategy and check the robustness of this optimized strategies.

     

    thomas

    #122289
    Customer
    481 Posts

    Hi Mark,

    I have optimized the strategy.

    But is only possible so save one optimized strategy.

    All the strategies have the same name.

     

    I want to make an robustness test with the optimized strategies, but it is only possible with one strategy.

     

    Make it sense to make an robustnesstest with optimized strategies ?

     

    thomas

    #122290
    Administrator
    3055 Posts

    Hi Mark,

    I have optimized the strategy.

    But is only possible so save one optimized strategy.

    All the strategies have the same name.

     

    I want to make an robustness test with the optimized strategies, but it is only possible with one strategy.

     

    Make it sense to make an robustnesstest with optimized strategies ?

     

    thomas

     

    Hi Thomas,

     

    hm, you can save them one by one, when you save single file you can specify its file name.

     

    If strategy is optimized it is still basically the same strategy, only curve fitted to given historical data.So Robustness tests for original strategy should be still valid.

     

    You should run walk-forward test on the strategy to check if it makes sense to reoptimize it and what is the best reoptimization period (using WF Matrix).

    I personally run it on demo account without any optimization now, although it passed WF matrix test and I could choose to optimize it using its results.

     

    Mark

    Mark
    StrategyQuant architect

    #122300
    Customer
    80 Posts

    Hi Mark, 

     

    I tried testing the strategy in MT4 without success.

    MT4 and SQ have the same data history installed, but the strategy doesn’t take any trades.

     

    Attachments in this forum are visible only for registered users.

     

    Attachments in this forum are visible only for registered users.

    #122301
    Customer
    398 Posts

    Just a casual brief visit with casual comments. Finding candle patterns do very nice in robust tests.
    Am doing on one SQ short 1yr-3mo .str’s for checking out concept of periodically replacing EA’s. Doing only longs and just tp’s and 1hr, good selections pop up fast, within minutes. Nice.

    Just brief comment on Mark’s method of development: I’m somewhat in shock, am used to just trying to get somewhere but also watching robustness tests, is all this other routine absolutely the way to go? Wow!

    Jerry

    #122302
    Administrator
    3055 Posts

    Just a casual brief visit with casual comments. Finding candle patterns do very nice in robust tests.
    Am doing on one SQ short 1yr-3mo .str’s for checking out concept of periodically replacing EA’s. Doing only longs and just tp’s and 1hr, good selections pop up fast, within minutes. Nice.

    Just brief comment on Mark’s method of development: I’m somewhat in shock, am used to just trying to get somewhere but also watching robustness tests, is all this other routine absolutely the way to go? Wow!

    Jerry

     

    Hi Jerry,

     

    my method is one of many possible, if your method works for you then there’s not a problem.

    I never tried periodically replacing EAs, so I don’t have experience with this kind of approach. But I heard that somebody build a profitable system with this principle.

     

    Mark

    Mark
    StrategyQuant architect

    #122303
    Administrator
    3055 Posts

    Hi Mark, 

     

    I tried testing the strategy in MT4 without success.

    MT4 and SQ have the same data history installed, but the strategy doesn’t take any trades.

     

    attachicon.gifCapture2.JPG

     

    attachicon.gifCapture3.JPG

     

    Hi John,

     

    are you testing strategy I posted here?

    If it works in SQ then it should work in MT4 if there are really the same data.

     

    This deletion of pending orders is normal, they are updated with every bar.

     

    The problem seems to be that you don’t have TEMA indicator installed in your MT4.

    Copy it from SQ\custom_indicators\mt4\indicators

     

    to 

    MT4\experts\indicators

     

    Mark

    Mark
    StrategyQuant architect

    #122306
    Customer
    481 Posts

    Just a casual brief visit with casual comments. Finding candle patterns do very nice in robust tests.
    Am doing on one SQ short 1yr-3mo .str’s for checking out concept of periodically replacing EA’s. Doing only longs and just tp’s and 1hr, good selections pop up fast, within minutes. Nice.

    Just brief comment on Mark’s method of development: I’m somewhat in shock, am used to just trying to get somewhere but also watching robustness tests, is all this other routine absolutely the way to go? Wow!

    Jerry

    Hi Jerry,

    I don´t understand this.

    Can you explain more detailed about this finding process. An example will be good.

     

    thomas

    #122307
    Customer
    398 Posts

    Hi Jerry,
    I don´t understand this.
    Can you explain more detailed about this finding process. An example will be good.

    thomas

    I’m sorry thomas, meant to include that good robust came up fast for Random search for 1hr usdjpy and candle patterns also checked along all indies, bar-open-only. Excellent over last 1yr-3mo only, didn’t try on longer period.
    Jerry

    #122308
    Customer
    481 Posts

    Ok,

    bar-open-only ist more robust.

    ….

    I read the new explanation from mark about the walk-forward analyser.

     

    I think this walkfforward analyser ist genial.

    I think we will find strategies who pass all tests.

     

    The big question is, are this strategies profitabel on realaccounts?

     

    thomas

    #122309
    Customer
    398 Posts

    Ok,bar-open-only ist more robust……..I read the new explanation from mark about the walk-forward analyser. I think this walkforward analyser ist genial.I think we will find strategies who pass all tests. The big question is, are this strategies profitabel on realaccounts? thomas

    Re:live trading: I use a $50 live mini acct at ibfx with a penny-pip-lot, thus I go directly from seeing good equity & robust test in SQ to an EA in mt4 on live$ acct. Saves me doing demo step. I use the historical data from their server too……atter opening history center I usually have to undo auto scroll and refresh chart and then hold UP key to download as much 1hr bars as possible…….thus I’m using same backdata that came from live$ $10,000 10mini accts! (1lot)!! I then imports into db of SQ.
    Often but not always I have to use mt4’s optimizer before a pplying the result to chart.
    Mark mentions he has heard from another that replaceable EA approach has worked for them, that be nice, so far I had been bouncing around with 4 4hr or 4 15min or ….as of now, have 4 1hr on charts. I’ve also seen from a forum somewhere discussing some guy’s process using that competitor to SQ software and he claims going forward ok. Might make sense if it did work, you’d think 1yr-3mo 1hr bars and having ok robust tests would be enough, soooo, guess I’ll see! 😉 Just now see I need replace audusd as it was generated Jun 27th.
    Jerry

    #122580
    Administrator
    3055 Posts

    Hi,

     

    I’m posting one more strategy that is mentioned in Walk-Forward Matrix article.

    This one is for GBPUSD/H1, it passed the robustness tests and I currently test it on a small live account.

     

    Attachments in this forum are visible only for registered users.

     

    The chart shows equity of this strategy during walk-forward optimization (blue) compared to original strategy without reoptimizations (gray).

     

    Best regards,

     

    Mark

     

     

    Just a note – this strategy is strictly for SQ owners, don’t publish it anywhere else.

    Attachments in this forum are visible only for registered users.

    Mark
    StrategyQuant architect

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