I have a strategy
this strategy has proven itself on demo and has passed all robustness tests. I have many others which are producing good results but im curious how i can get more out of them?
This particular strategy i have experimented with parameters – turning on duplicate trades. this has increased the ret/dd ratio. I have then run it with said settings in all robustness tests and its still passing
I have other strategies which do not have such positive results when allowing duplicate trades. but i wish to experiment by allowing duplicate trades, by setting a limit to the number of trades its allowed to take at any given time to see if i can still get positive results. id like to begin by allowing a max of 2 then potentially change that max to 3 etc to see if there is an optimal amount before it changes my opinion to not trade with live funds
I therefore ask if anyone can help me understand how to alter the strategy to give me the control i mention
In addition i have also tried to turn the strategy into a template to see if i can use such strategy to find on other markets but every time i generate a template to use in sqx, it yields no strategies so i feel im doing something wrong. therefore some help here would be most appreciated.
thanks in advance
playing too much with a strategy will lead to overoptimising it and worse results in the future
its better to have more strategies with different logics
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Agreed, for the most part.
95% of the time if we try to squeeze more performance out of a ‘good’ strategy, it will end up being overfit.
There is, however the 5% of cases (perhaps much less) where there can be additional gains.
It does depend on the strategy. It’s why I put ‘good’ in quotes, ha. For example, with a strategy designed to ride strong ‘fat tail’ (outlier) trends, you might be successful amending the strategy to add orders to winning positions. This wouldnt be applicable with a scalping strategy.
@oliver: I’ve attached a slide deck that may be helpful. It outlines one man’s approach to designing and refining an algo.
You might find some tips on refining a strategy, starting from the slide titled “Let’s Build a Trading System”
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