Not logged in
Viewing 3 posts - 1 through 3 (of 3 total)
  • #242263| Reply
    Participant
    9 Posts

    I trade crypto and try following strategy development guide.

    I have generated so far around 28k strategies to trade BTC and only one has passed all recommended tests.

    I have data from 2017.01.01 till 2019.06.01.

    I use first 60% (18 months) part for strategy generating, 20% (6 months) for oss tests and last 20% (6 months) for final oss test.

    Valid strategies output percentage is very low.

    What problems I may face if I will use all data available for strategy generating? (60% is, 40% oss) and after that 20% for oss tests and last 20% for final oss test.

    • This topic was modified 5 months ago by  CooleRnax.
    #242265 Reply
    tomas262
    Administrator
    1116 Posts

    Hello,

    I think you could definitely get more data since bitcoin has now been traded for many years

    Nevertheless it is always good to have some portion of data available for verification OSS test as you mentioned

    #242272 Reply
    Participant
    9 Posts

    There is a problem with old data

    In crypto price of BTC for example is dynamic over the years: 0.01$, 1$, 30$, 1300$, 20000$, and pips settings are dynamic too.

    https://strategyquant.com/forum/topic/piptick-size-and-value-for-crypto/

    I have tried data from 2014 with pip settings from 2017-2019, as the result I got 0 strategies after 24H of generation.

    This is probably because of huge slippage because of pips in the old data.

    I would suggest new pip setting – significant digits precision (described in the thread above)

Viewing 3 posts - 1 through 3 (of 3 total)
Reply To: Limited data available

You can use BBCodes to format your content.
Your account can't use Advanced BBCodes, they will be stripped before saving.

Your information: