Not logged in
Viewing 7 posts - 1 through 7 (of 7 total)

Forums>StrategyQuant>Application Support>About cross check of Opt.Profile/S.P.P-uniform distribution how many changes

  • #268137 |
    Customer
    3 Posts

    In SQ, cross check of Opt.Profile/Sys.Param.Permutation,In the third item “uniform distribution less than (5) changes from positive to negative” in filtering.

    Please see the attached photos for details.

    I went to sq’s website and read the paper recommended on the website. I didn’t know what the changes represented and how to set the threshold. If there are relevant articles or websites can be recommended to me, thank you.

    Attachments:
    You must be logged in to view attached files.
    #268153
    tomas262
    Administrator
    1821 Posts

    Hello,

    with that criteria, you do not want to see more than 5 optimizations go under “zero”…. you can see on the screenshot attached there were 3 optimization in which the results end up being less than 0

    Attachments:
    You must be logged in to view attached files.
    #268157
    Customer
    3 Posts

    I’m sorry, but I still don’t understand. You mean that as long as one optimization result is less than 0, the filter value of uniform distribution will increase by 1, right? However, in the picture in your attachment, there are 3 optimization results less than 0, but the uniform distribution shows 6, greater than 5, so they are failed. Please also take a look at the two examples in my screenshot. It seems that the calculation method of the number of uniform distribution does not mean that the optimization result is less than 0.

    Attachments:
    You must be logged in to view attached files.
    #268159
    Customer
    3 Posts

    In addition, the default cross standard for the third item of checks is less than AVG profile + 1 StdDev. According to the results of a large number of tests  and the feedback from many other users, 1 StdDev is a little too strict, and few strategies have passed. Is there any statistical basis behind this standard?If there is, please recommend the relevant information or website, I will study it, thank you. By the way, I have read the paper “know your system turning data mining from bias to benefit through spp” recommended in the website software description. It simply mentions this standard, but there is no example or detailed description of why this standard is.

    Attachments:
    You must be logged in to view attached files.
    #268165
    Customer
    788 Posts

    uniform distribution doesn mean that it must be in a loss i think

    uniform is outside some normal borders – like mean, or average…i dont know exactly how its implemented in SQX

    You want to be a profitable algotrader? We started using StrateQuant software in early 2016. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM. 1500+ final SQX strategies for members running on demo accounts to verify the edge DEMO ACCS. We provide also strategies for indices - DAX, DOW JONES, NASDAQ, SP, UK, because we have realtick data from our brokers.

    #268194
    Participant
    32 Posts

    I ask myself too… never understand this.

    any response by the staff ? Thanks

    #268373
    tomas262
    Administrator
    1821 Posts

    It is not a count of “negative bars”. The value represents number of changes from positive to negative. So if you see 1 negative bar it represents 2 changes from positive to negative…

Viewing 7 posts - 1 through 7 (of 7 total)

You must be logged in to reply to this topic.