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Forums>StrategyQuant>Extras & Strategies>EURUSD on the 1 hour chart

  • #241219|
    Customer
    61 Posts

    @hankeys:

     

    do you have a custom indicator that I don’t have?

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    #241221
    Customer
    391 Posts

    Well, maybe we’re talking about obvious thongs but if @notch you say Genetic algorithm is not searching by improvement… well nothing to argue, look at wikipedia. And yes, curve fitting is worst nightmare. All of us are curvefitting, if not look at this sample of 3.000 strategies. They have an average Profit Factor = 1,6 aprox on 15 years. After the first 18 months this 3.000 strategies go to PF=1,4. That’s Mr curvefitting in action

     

    No it is actually just one year of data.  You have to compare it with the combined worst year during this 15 years not the average. But thanks this kind of comparison can be useful indeed to find adaptable good performing strategies using Walkforward  on another set of 15 years unseen data. This should prove the usefulness of Walkfoward  optimization.

    • This reply was modified 6 months, 4 weeks ago by  mabi.
    #241223
    Customer
    391 Posts

    MC tests are good to see worst performance that can be expected. Otherwise they have the tendency to remove huge amount great strategies. I think this using 50 % of RDD @95% is no good. I got much better result on unseen OOS using an fixed (2-3) RDD @100% instead and it also feels better knowing that on 300 simulated runs no one was a looser. This way the High RDD strategies are not deleted by MC test and those are the ones that performs best coming OOS and also among the few I have from SQ3 that actually have performed great on Real accounts.

    Makes sense. If I can produce 100000 strategies in a week, I’m okay with losing a huge amount of great strategies due to false negatives. It comes with the research progress.

    Well, you want to keep as many as possible in order to diversify to later merge them so You can cover different market conditions. Being to tuf when especially doing MC you will only have a few strategies left that takes the same trades . If you ease up on this you can find 20 strategies on the same instrument and time frame that do not take the same trades and it does not mean they are curvefitted and  MC have not been able to prove an improved performance going forward unfortunately. This is today easily tested using a taskflow having X amount of OOS years and then just Run different MC tests to see how this improved performance of the strategies going forward and You find that is has no effect at all.  Well MC spread ( alone) with very tuf settings have a >70% performance on OOS unseen.

    Just want to add that i am still using MC even thought i have proved to my self that it has no effect .. :)

    • This reply was modified 6 months, 4 weeks ago by  mabi.
    #241227
    Customer
    297 Posts

    no custom indicators – its sucks for now in SQX.

    idea, that some mystic custom indicator will win this fight against markets is nonsense – everything is changing very fast. Keep the strategies simple, thats the basics

    i am running my first real ptfs from SQX strategies so far, taking strats from demo account where are 400 strategies for now, still adding more

    Attachments in this forum are visible only to Customers.

    You want to be a profitable algotrader? Sharing of final strategies with real traders just started. Fill in this FORM. 1500+ final SQ3 and SQX strategies for members running on demo accounts DEMO ACCS. We provide also strategies for indices - DAX and DOW JONES, because we have realtick data from brokers.

    #241229
    Customer
    473 Posts

    2

    Well, maybe we’re talking about obvious thongs but if @notch you say Genetic algorithm is not searching by improvement… well nothing to argue, look at wikipedia. And yes, curve fitting is worst nightmare. All of us are curvefitting, if not look at this sample of 3.000 strategies. They have an average Profit Factor = 1,6 aprox on 15 years. After the first 18 months this 3.000 strategies go to PF=1,4. That’s Mr curvefitting in action

     

    Oh no “why is the night dark has started”.

     

     

    1. Like most serious researchers,  I prefer academic journals over Wiki;

    2. I did not write GA do not search by improvement in relation to the objective function:

    “GE doesn’t “improve” a strategy at all unless you are referring to improvements born of the most extreme forms of data-mining bias beyond Aronson”.  

    Simplified means the improvements are driven by extreme data-mining bias or did you miss the clause about survivability; simplified real-world performance trumps fantasy performance stats contaminated with data-mining bias.

     

     

    There really isn’t anything else to discuss on this subject, we are at completely different locations on our journey.  This discussion is EXACTLY like the ones we had 4 to 5 years ago.  Some folks could have acquired a double Ph.D. in that time but here we are quoting Wiki; by now you should have the expertise to write Wiki and papers for quality academic journals but yet here we are still debating stuff from 5 years ago.  The forum gives us the ability to track the development of thought.   It’s embarrassing because there is none.

    • This reply was modified 6 months, 4 weeks ago by  notch.
    #241231
    Customer
    473 Posts

    Deleted…giving too much away.

     

    This is no longer a free of charge community remember.  By the laws of probability, any interesting content posted here can and will increase subscription signups at Hankeys paid community.  Nah thanks!!!

    • This reply was modified 6 months, 4 weeks ago by  notch.
    • This reply was modified 6 months, 4 weeks ago by  notch.
    • This reply was modified 6 months, 4 weeks ago by  notch.
    #241235
    Customer
    473 Posts

    Well, you want to keep as many as possible in order to diversify to later merge them so You can cover different market conditions. Being to tuf when especially doing MC you will only have a few strategies left that takes the same trades . If you ease up on this you can find 20 strategies on the same instrument and time frame that do not take the same trades and it does not mean they are curvefitted and  MC have not been able to prove an improved performance going forward unfortunately. This is today easily tested using a taskflow having X amount of OOS years and then just Run different MC tests to see how this improved performance of the strategies going forward and You find that is has no effect at all.  Well MC spread ( alone) with very tuf settings have a >70% performance on OOS unseen.

    Just want to add that i am still using MC even thought i have proved to my self that it has no effect .. :)

     

    A pleasure to read your post.

    In truth, I have no difficulty producing tradable models in abundance.  I woke up this morning and decided I wanted to build a new class of model.  Generated for 78 minutes produced 1700 models.  SQ is currently frozen because I made the mistake of sorting by a stat. After it is unfrozen, 50% of the models (850) will be tradable and 200 will not be correlated.   Figures based on my model building averages (SQ is still frozen so I cannot do this in real time as I planned).  Sometimes when it freezes I simply just close SQ and lose all the models (for some reason on restart the files have been corrupted) because I am really not bothered about losing the models except I have lost 78 minutes of my time.

    In short, I have a different issue than you: my process is totally skewed toward getting rid of models I’d quite happily trade on a live account.

     

    #241236
    Customer
    473 Posts

    Gentlemen, i appreciate this lively conversation and i appreciate the diversity because i can give my part of knowledge and take something out of every variance. Please don’t get lost in a competition that is not one. We can all profit from each other and should do so because only in the community can we achieve what we all want……earn money…..as fast and as long as possible. Alone never one will be as strong as a community so let us work together and not against each other.

     

    Nice words and these words normally would be valid in just about every other endeavor.

    The reality is the community hasn’t made any progress in 4 to 5 years literally.  I think there may have been a small leap forward after Ilya (for some reason) introduced the power of shorter training periods with random MC and a few other basic work-flow innovations.   There has literally been zero progress apart from this ‘innovation’;  perhaps finally working out how to deploy 99 EAs at once can also be considered a step forward for many.

     

    I’m just laying it down flat.  No competition.

    #241238
    Customer
    473 Posts

    Anyway, I’ve hijacked this thread for long enough.

     

    Green pips to you all and good luck in your trading and personal development.

    #241240
    Customer
    82 Posts

    Hey notch. Your bitter comments could be taken as unpleasants but your academic bias is amusing. Can’t get angry with you :)

    However not fair to say there aren’t worthly contributions on the forum. Strongly disagree

    #241241
    Customer
    61 Posts

    I, for my part, have learned a lot from the forum so far and take a lot with me from this threat, which helps me e.g. to develop strategies in much shorter timeframes and to pay attention to the GMT in the Datamanager.

    I think everyone should first touch their own nose bevore someone ask the otherones to change the behavior.

    Personally, I really like the forum here and enjoy reading a threat from people who shares own experience.

    Many thanks to all those who count themselves to this art of peoples and want to count themselves in the future!

     

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    #241242
    Customer
    473 Posts

    Hey notch. Your bitter comments could be taken as unpleasants but your academic bias is amusing. Can’t get angry with you :) However not fair to say there aren’t worthly contributions on the forum. Strongly disagree

     

    We are all entitled to our opinion; even if it perceived as bitter and salty.  Perception and interpretation etc.  I don’t have an academic bias, I have an empirical bias.

     

    Someone posted a grid trading strategy the other week or month.  That was interesting…apart from that everything I’ve read seems to be the same as the past.  History repeating itself.  The proof is right here on the forums; I am not making this up or writing it to get on anyone’s nerves.  The empirical evidence is located here.

    Basically, no new questions, the same old answers and lots of generic trading platitudes.  If this is helpful for some, good for them; for me it was frustrating so I stopped visiting which is a good solution for me.    If going around in circles is satisfying, don’t let me stop you; knock yourselves out and make yourselves dizzy;  I am simply pointing out the ugly truth…again the evidence is right here in the posts on this forum.

    Apologies for stepping on a nerve and some hi-Jacory.

    Good luck in your trading and green pips to all.

    P.S. This is not a personal attack, It is about trading.

     

    #241245
    Customer
    473 Posts

    Just so there aren’t too many hard feelings at my ugly truths, I’ve attached SQ3 MT4 code with auto-optimization although I’ve replaced the long and short rules with something more benign.  I have not had the chance to do the same for SQX, I still find the SQX generated code to be confusing and often replace chucks with the SQ3 code, however, my understanding of that code is improving daily.

    Who knows the attached code may actually start an original discussion but I’m not holding my breath and waiting for the inevitable “its nonsense” which typically comes when pitching above another’s head.

     

    Notch

    Attachments in this forum are visible only to Customers.
    #241249
    Ilya
    Customer
    100 Posts

    The reality is the community hasn’t made any progress in 4 to 5 years literally.  I think there may have been a small leap forward after Ilya (for some reason) introduced the power of shorter training periods with random MC and a few other basic work-flow innovations.   There has literally been zero progress apart from this ‘innovation’;  perhaps finally working out how to deploy 99 EAs at once can also be considered a step forward for many.

     

    Yo Notch.

    Well, I found that method to be an extremely helpful and profitable discovery for my own journey, so decided to share it with others so we can advance as a community. Also I want to thank you for introducing the basics to me about 6-7 months ago. I am profitable for 5 months straight and have no intention of stopping.

    Though, I’ve grown to become quite disappointed in this community. Even though I’m the only member to upload a strategy to the “strategies” section of the site, still I received some private messages telling me things like “I ran your strategy for 1 month and it lost me money! it’s nonsense!”. Even if you disregard the fact this strategy has been profitable for me for 4 months straight now on 4 different symbols (though re-optimised for some of them), the amount of true willingness to help others and cooperate is very low. Seems most people are more interested in grabbing “fully working” strategies wherever they can, disrespecting others, and refuse to learn or progress.

    Anyway, It’s a pleasure to read your posts as always.

     

    Ilya

    #241250
    Ilya
    Customer
    100 Posts

    The reality is the community hasn’t made any progress in 4 to 5 years literally.  I think there may have been a small leap forward after Ilya (for some reason) introduced the power of shorter training periods with random MC and a few other basic work-flow innovations.   There has literally been zero progress apart from this ‘innovation’;  perhaps finally working out how to deploy 99 EAs at once can also be considered a step forward for many.

    Yo Notch.

    Well, I found that method to be an extremely helpful and profitable discovery for my own journey, so decided to share it with others so we can advance as a community. Also I want to thank you for introducing the basics to me about 6-7 months ago. I am profitable for 5 months straight and have no intention of stopping.

    Though, I’ve grown to become quite disappointed in this community. Even though I’m the only member to upload a strategy to the “strategies” section of the site, still I received some private messages telling me things like “I ran your strategy for 1 month and it lost me money! it’s nonsense!”. Even if you disregard the fact this strategy has been profitable for me for 4 months straight now on 4 different symbols (though re-optimised for some of them), the amount of true willingness to help others and cooperate is very low. Seems most people are more interested in grabbing “fully working” strategies wherever they can, disrespecting others, and refuse to learn or progress.

    Anyway, It’s a pleasure to read your posts as always.

     

    Ilya

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