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I am currently building a workflow for successful forex strategies. Join me!

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AlgotradingDE

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1 year ago #277576

I’ve been using StrategyQuant for more than a decade, but believe it or not, I haven’t even used its full capabilities until now.

My process is to create thousands of strategies in the builder and then run them through a very selective robustness check. The (few) surviving strategies are then activated on an MT4 demo account, where they must execute at least 25 trades before I consider them for use on a live account.

So far, I am very happy with this process and would like to automate more of the production of successful systems. That’s why I’ve been diving into the custom project features that can be used to create custom workflows.

While I am building some sample workflows for successful forex strategies, I would be happy if anyone on this forum is interested in the same and willing to share their experiences.

Especially, I would be interested to know if anyone has ever started such a project on their own?

Gerhard Frischholz
https://Algotrading.de

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AlgotradingDE

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1 year ago #278302

Hi Conmariin and Kevin,

itsn´t that fantastic? The three of us are willing to share what we have done so far, are exchanging ideas and recommendations and also have different approaches, which allows to evaluate each other´s setup.

With this, I think we have everything on the table to start to build a new, joint workflow, where we bring in what has been proven to work. And we can leave the theory behind and rather look at the results of the workflow we will be building.

How does that sound to you? Are we going to build a new workflow based on the best results of what we have?

In practical terms what I can imagine is:

– Outline the tasks we want to include in the workflow (on paper still), including all the selection criteria we want to apply.

– Setup the resulting workflow on a VPS, so that we all can see it in action and can manually change if we see the need for it.

– Run selected strategies on a demo account. As part of my Algotrading.de business I´m using a SQL-based workflow which constantly monitors the results from the demo account and calculates stats from the EAs in use. We can use this, too, to compare live results with simulated results.

I have two licenses, too, and can provide a VPS with a running StrategyQuant instance.

Let me know if both of you would be interested to get this thing started. If so, I would start with a proposal for a workflow, which is the combined set of what all of us have shared so far.

I´m very much looking forward to take this big step ahead!

@FireStarZA: you also expressed your willingness to join. What do you think? Can we count on your experience, too?

Gerhard Frischholz
https://Algotrading.de

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Kevin

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1 year ago #278319

Hi Gerhard,

Sounds like a good plan to me!

Count me in!

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Conmariin

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1 year ago #278336

Hi Gerhard, Hi Kevin,

I will not continue at this point. Since I am satisfied with my workflows so far and they also produce demonstrably working EAs. So for me everything is good and I don’t see any need for optimization actually.
You are welcome to use my workflow for your work and if you have any questions you can contact me here via the forum. I wish you much success! 🙂

Automatisches Handeln mit Expert Advisor
https://www.rabenesche.de

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AlgotradingDE

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1 year ago #278343

Hello Conmariin,

thank you for the frank words! I understand your point of view very well and would make the same decision if I were also at a point where I was satisfied with the results of EA development.

This makes your contribution to our discussion even more valuable, as you help us with your shared workflow to combine it with our ideas and create something better than what we have now. I really appreciate your willingness to share.

So Kevin and I will be working together on a new workflow (and maybe some variants), combining the best of both (or three) worlds and testing, testing, testing….

I’m in the process of setting up a powerful Linux server (12 cores, 60 GB RAM) so we can test thousands of strategies in a reasonable amount of time. I may turn to you with some Linux-related questions, since it’s really difficult to get StrategyQuant running as a JVM on a Linux machine.

So the work on the new workflows will certainly take place outside this forum, but to stay true to the spirit of the start of this thread, I promise to share the results we get with you. We won’t give them to anyone, but we will make them available to anyone willing to put in the effort to get the most out of the fantastic StrategyQuant software.

Best,

Gerhard

Gerhard Frischholz
https://Algotrading.de

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AlgotradingDE

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1 year ago #278422

This is an update for anyone who comes across this thread and is also interested in co-developing/improving workflows with StrateyQuant.

We have built ourselves an environment for intensive testing using a powerful Linux machine. This will allow us to evaluate many different strategies and eventually derive rules for best setting up workflows for results that work in a live environment on a live account.

We will report regularly on the results in this forum, because sharing is everything.

But if you’re already learning the ropes and want to join us, you’re more than welcome. We want to bring together the best SQX brains to create something very powerful: Trading systems that really work!

Post here in the forum if you want to join the army or send me a private message.

We will keep you all updated!

Best regards

Gerhard

Gerhard Frischholz
https://Algotrading.de

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Masterchanger

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1 year ago #278444

Thanks for sharing your workflows. I’m studying the workflows and don’t have anything to contribute as of feedback at this time.

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David_Robot

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1 year ago #278590

Hi Gerhard,

Congratulations on the initiative to work on a common workflow between SQ users. I’m a recent SQ user but I think I’ve caught on to your needs to create better SQ workflows.

I understand it in this way: How to build an automated workflow for each typology of trading symbol and be able to optimize it to achieve the best possible results? Creating a workflow for Forex, another for Indices, another for Futures, etc. It would be something like this?

For my part, as a newbie to SQ, I will work hard with shared workflows, and when I get more experience I hope to be able to collaborate/contribute to something.

Thanks for sharing!

David

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ganymed

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1 year ago #278598

Hi all,

I am also new to SQ and I think the biggest problem for beginners is to bring theoretical knowledge into practical work. So your workflows really help a lot to build new workflows on my own. Hopefully I can contribute to this thread in the future but at this time I just wanted to say thank you!

 

Matthias

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raysum

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1 year ago #278690

This is my GBPUSD H1 process, please advise

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ganymed

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1 year ago #278735

What I have learned so far from the MasterClass (who else did the complete video course?) is that genetic evolution is much faster generating strategies than the random generation. So why should I choose random generation?

My approach would be to select as many of the signals and indicators in the building blocks that make sense to me. What are your experiences about that, does this only slow down the building process or are there other disadvanteges?

 

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Conmariin

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1 year ago #278741

Here! I did the complete course! 🙂 In my opinion you understand sqx only with working through the whole course.

Anyway, yes I’m doimg it the same way as you. I’m using evolution generating too because it makes more sense to me.

Until now I’m not aware of any disadvantages. I need 3000 strategies no matter how many Indicators, signals i use, it takes always the same time.

I take only fewer Indis and signals when somebody wish an EA wirh this or that signal.

Automatisches Handeln mit Expert Advisor
https://www.rabenesche.de

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ganymed

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1 year ago #278742

Hi Conmariin,

I have just done the robustness testing section of the MasterClass and yes your wirkflow looks very similar to the suggestions given there 😉

I will now setup my own workflow and hopefully I will get positive results soon, too!

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Conmariin

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1 year ago #280234

Hi Gerhard,

don’t know if you know, but you should have an eye on this: https://strategyquant.com/forum/topic/15-performance-boost-and-40-less-memory-usage-using-graalvm/

It boosts the performance and speed for me. I just tried the new 22.3 Business-Version, and it is in fact faster. In the last post I wrote what worked for me in the config-file.

Greetz

Conmariin

Automatisches Handeln mit Expert Advisor
https://www.rabenesche.de

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Conmariin

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1 year ago #280235

Yes, of course? Why reinventing the wheel? 😉

 

Greetz

Conmariin

Automatisches Handeln mit Expert Advisor
https://www.rabenesche.de

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Keelan E Brettner

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1 year ago #280322

<p style=”text-align: left;”>

Hi Laurent, I´m actually glad that you asked. Because both FirestarZA and Conmariin (who replied to my post up until now) seem to be very advanced already, having good performing workflows in operation. As far as I am concerned: I´m still learning and eager to share, but also get input from other members on areas to improve or simply some tips and tricks to do thiongs better. My primary goal is to develop a workflow for the EURUSD on the 1H timeframe, which shows a close match of backtesting results with real live performance on a demo account. I´m quite happy with what I have accieved so far and I´m happy to share that with you: My workflow consists of 7 tasks : 1. Builder: build strategies for EURUSD 1H within a time window ranging from 1/1/2017 until today with an Out of Sample period right in the middle of the range (11/2018 until 03/2020). Do this for two days. This results in approx. 2000 strategies that meet my initial criteria. 2. Retest the generated strategies on the 1 min timeframe and delete any strategy that doesn´t comply with the initial criteria. 3. Delete all strategies with a profit factor < 1.3 4. Test remaining strategies on another Out of Sample Window ranging from 1/1/2015 until 31/12/2016 (the two years before the initial period). Delete all strategies which have a profit factor < 1.1 5. Retest on Dukascopy data. I forgot to mention that all the steps above where using MT4 data from my broker (Admiral Markets). Now I want to see how resilient my strategies are if the data source is (slightly) different. I require the profit factor to still be at least 95% of what is was with broker data. This removes the dependency of strategies on particular brokers´ datafeeds. 6. Retest on other symbols. I test the strategies against GBPUSD, USDCHF and USDJPY. They should at least be slightly profitable (profit factor > 1). 7. Monte Carlo Retest. I do basically two tests: trades manipulation, where trades are skipped with a 10% probability and Monte Carlo retest, where I randomly change the parameters of the strategy. All these Monte Carlo tests are done 200 times and I require the Return/DD value to reduce only by 50% with 95% confidence level. This results in 1 to 5 strategies that survived these stringent tests and I put them on a demo account to monitor their live performance. This is where I stand at the moment. What I´m interested to learn is: – which robustness tests are other people using? – which robustness tests help to produce strategies that work in a live environment – What about optimization of strategies that have successfully passed: is it ok / required to optimize them afterwards or should we leave them untouched? I would be happy if someone could answer these questions or share their own workflow. I´m running a startup business to let people rent successful strategies rather than buying them on https://algotrading.de. All of these strategies were built with StrategyQuant.

</p>
 

 

What’s your opinion on scalpi strategies ? If I have 0 spread and 0 commissions on eurusd? I am having issues with getting tick data and gmt offsets correct. It’s very sensitive

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