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Simple Automatic Retest Compare

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Michael47x

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1 month ago #286644

I use for testing if strategies still or becoming more viable.

Compares original strategy against same but data range to current via Automatic retest.

Show both the original and today.

I go into more explanation in pdf ReadMe

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Michael47x

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1 month ago #286646

Here is the view, I forgot it does not like view files.

 

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Michael47x

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4 weeks ago #286654

All this started with a video I watched Forex GBPJPY Strategy: $1800 Profit In Over 3 Years Out Of Sample Data (youtube.com) about how a strategy created in Strategy Lab 2021 was still producing results, Wow!
So, I thought with all the strategies I’ve collected over the years, how do I go back and see if they would have still produced had I left them live, using the original strategy as the baseline.
And then reality sets in saying you need to first narrow the field and test only the end result strategy itself, not the workflow that created it or my workflow which would lead to tweaking things.
That’s when it dawned on me let’s test the shared forex strategies at Forex Archives – StrategyQuant
But first let’s test the the strategy refered to in the video which is in the StrategyQuant forex archives
GBPJPY EMA runner – StrategyQuant to get a sense of any strategy preprocessing that needs to be done.
Here are the preprocessing steps I took (the pdf includes jpg clips of each step)

1a-Load original 2021-04-02 GBPJPY EMA runner (folder view)
1b-Load original 2021-04-02 GBPJPY EMA runner (Retester view)
2a- Double click strategy in Test_Me databank GoTo “Strategy config” tab (Retester view)
2b- Click Apply strategy config button, then click Yes (Retester – Apply strategy config dialogbox)
2c- Resolve Differences (Retester – Resolve project resources view)
2d- Change Result, Symbol synced to my data manager’s GBPJPY_M1_UTC2 (Retester Strategy config view)
2e- Change Result, Symbol synced to my data manager’s GBPJPY_M1_UTC2 (Retester – Progress page view)
3a- Click Start button to run,

Result databank now shows affect of symbol mapping, this is the strategy version we will use for AR_Compare
Yes the preprocessing had an affect on the original but we are now in sync.
One last thing I did was rename the strategy
Not neccesary but I wanted “2 character symbol”_”TF”_ as prefix

Some when renamed I added the name of the strategy, some the strategy number
Whatever I felt like at the time, what can I say…

So these same steps were done for each strategy to be put in AR_Compare.
OK, we are now done with prepocessing,
Naturally if these are your own strategies where you know/have the correct mapping you do not need these steps.
Now on to using Automatic Retest Compare (we use AR_Compare Shared in this example)

4a- AR_Compare Input folder of All Selected Shared Forex Strategies that are bulk loaded into databank [ReTestMe]
The directory used and the databank loaded into (this is a bulk load of all strategies to be tested in this instance)

4b- AR_Compare Output databank [Results] of All Selected Shared Forex Strategies

What I like about this AR_Compare process…
• Don’t care about the workflow that created the strategy.
• Don’t care about the Time frame it was created for.
• Don’t care about how many sub charts it is based on, timeframe and/or symbols
• Like the fact I can bulk load a mix of strategies to be tested as long as they have passed preprocessing.
• Like the fact I can see the original strategy metrics against the latest data metrics
o GJ_H1_EMA-Runner 3/25/2021 Original
o GJ_H1_EMA-Runner(1) 6/21/2024 AR_Compare

It goes without saying, had it not been for Tomas Vanek post Automatic Retest – StrategyQuant none of this would have been possible.
Oh my, one last entry, the file rename matrix
Passing thoughts before I post
• It worked for me and I am happy with the outcome for my current skill level.
• Yes, someone with awesome programing/statistics skills would have done this differently.
• But, Note the simple way we did the comparitive
• Using a Filter task where dbSource is ReTestMe and dbTarget is Results to copy the original strategy
• Using Automatic Retest where dbSource is ReTestMe and dbTarget is Results to create the updated indexed strategy result

Oh man, I am so full of myself, I feel good (a little soul music now)

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Michael47x

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4 weeks ago #286656

Oh my, I forgot the pdf, my bad.

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