Forum Replies Created
- 2.28.2017 5:04am in reply to: Opened a Skype group so we can chat realtime without spamming the forum too much hehe :), would be cool – JUMP IN! #141858|
similar issue outlined in an earlier post here (near bottom of thread)
Sorry I can’t help you in regards to what indicators are Time based, I myself only use the simple basic indicators. You will need to experiment yourself. But I know the SQ community would interested in your results
Easiest way to test is have both TZ data and re-run the tests on your broker TZ data to see if its exhibiting similar results then Id say it’s not affected by TZ. You don’t need same amount of data, just enough to run some forward tests to confirm either way.
I can only think the Pivot as you say are recalculated by previous close. So if using daily levels would/could levels be different? same goes for previous Hi/Lo which may be different if out by an hour?? My thoughts are yes. I would think that others lower TF wouldn’t expect to be affected as much as the Daily
mind you this is all unsubstantiated on my part :) and may be a good little exercise to try and analyse with R if I get some time as I’m currently doing the Coursera data science courses and in the early stages.
Timezone for AS Data is +1/2 so you need to convert as pepperstone is +2/3
However is perfectly good unconverted from non time dependant strategies, just make sure you don’t enable time/range, EOD or use indicators that are reliant of time such as pivot etc.
If you can code there is a link I posted not so long ago on this regarding a blog post by Daniel from AS about TX conventions using Python. Seeing you’re a member you find a lot more info on their forums :)
In regards your edit:
If OOS forward testing are inline with backtesting then no problem. I’m not seeing any issues with strategies build using this data as long as it is passing my acceptance criteria, I’m also using all of the data up until 31.12.2011 for my mining, then using the rest for OOS testing and WFA. I’m mainly mining on H1 and D1. I know I probably don’t need this much data for H1 but I am and I’m seeing good results on OOS forward tests.
So I wouldn’t worry if you’re using the large Timeframes, may be a completely different story for sub H1
stephen6.10.2016 4:50am in reply to: How do others handle Time difference between broker and local? #137630
Nice Article today by Daniel of Asirikuy.com here explaining how to convert using python.6.7.2016 3:01am in reply to: Monte Carlo simulations seem to conclude nothing about future performance of a strategy #137512
These are both reputable brokers, Pepperstone and Go Markets Australia and both are premium brokerage accounts.
I initially saw the problem on my Pepperstone edge account where I had the majority of my equity and saw performance drop as compared to my Go Markets account using same strategies/Risk Levels which had good performance so I moved majority of funds from one account to the other, low and behold same thing started happening on the Go markets and my pepperstone performance started improving, the Results speak for themselves.
Only thing changed is account equity!!! Same Strategies, Same Risk levels, just different brokers etc
Both MT4 Accounts are being run on the same machine, so is using the same Internet link etc, everything is common except for broker and amount of $ in each account, and what appears to be the issue is the amount of $ held by the broker.
The account is nothing close to a large account as not even trading full contracts on any of my trades.5.27.2016 10:24am in reply to: Monte Carlo simulations seem to conclude nothing about future performance of a strategy #137267
Great discussion People!
For me MC is for my risk determination as others have said in this thread, infact I don’t use the MC in SQ other than to see 1) what the 95% WC is in terms of original strategy and 2) just a visual indication of MC runs that they aren’t “too all over the place” The MC Analysis in SQAnalysis its much better and is what I use most of all, I would really like to see this in SQ, also I use the MC in SQA for strategy failure determination, i.e. my OOS on demo/live accounts are they inline with my Worst case DD.
As @threshold has said I also agree with him and use it myself for determining position size and risk,
Since first using SQ I’ve always thought that the MC in SQ has been misnamed as robustness tests and should more along the lines of “WC/DD and Risk Analysis”
I’ve stated many times in this forum that I’m also a member of Daniels, Asirikuy, for a number of years now and value the information he has to offer and have not yet read that blog post (haven’t caught up on my news feeds this week) so will have a gander over the weekend.
Robustness tests for me is ability to trade profitably under many different circumstances, i.e. different pairs, market conditions, different broker data. As of late K.I.S.S. has been my motto in strategy generation. I just run my mining with only the simplest indicators used, time will tell if they turn out to be more robust.
This then sort of leads us back to the discussion we had on a previous thread where I tended to agree with you @geektrader that what we are seeing as of late few years with the upsurge of intelligent system generation, GA, NN and so forth. I think for us as retail traders the forex market dynamics may have changed and I question the validity of historical data on certain timeframes, because tools like SQ totally rely on history to produce and test robust strategies, so is this approach valid including MC analysis as a whole if the dynamics have changed?
I do however believe they will be trends as markets are moved by fundamentals and govt policy, i.e. a country will have a target interest rate that they want to achieve to control other economical fundamentals like spending, exports etc, so flow of cash in the forex market will flow in or out of the country depending on these policies. So are applications like SQ and Asirikuys Kantu going to work in the future, again time will tell, but again I still tend to be positive on this front as every second of the day new market data is being generated so will these systems will eventually adapt? who can tell? only time, but in the mean time I’ll be plugging away on the grind of my strategy generation using this great tool.
Also in terms of robustness I tend to believe that in this market (forex) where the exchange is decentralised the broker and their antics has a lot to do with things, especially for the majority of us that are retail traders. What I’ve seen on two different brokers on their premium retail accounts (pepperstone and Go Markets Australia) is that strategy performance seems to be impacted proportionally to the amount of capital I have in the account, i.e. the more I have in there, the worse my strategies perform, while the account with the least seems to perform very well. I’ve also check by transferring bulk of $ from the high account to my smaller account on the other broker so it became my larger account, lo and behold this account started to perform poorly while my now small account started to perform as expected, both these accounts run same strategies at same risk levels. only difference is brokers and account capital. My thoughts are the golden level is 5K but have in no way validated this, I am now looking at opening more accounts and spreading my capital across them in smaller accounts and making sure I keep the $ under 5K to see if overall my portfolio performance picks up.
Lastly I do think that to improve performance / robustness that strategies need to trade under control of a trade manager that will shadow trade and determine final contract sizing dynamical based on the performance of the strategy under live conditions, part of this is to do a MC within the management loop on each strategy it manages to determine its current risk, so that it will effectively take a poorly performing strategy offline automatically as it starts failing, but inverse to that it should bring it back online as market conditions come back inline with it underlying fundamentals and even increase contract sizing if strategy performance starts increasing, so effectively the strategy still trades in the background. I think I posed a feature request for this on the relevant forum here.
I do sincerely hope that no-one stops their input into this community forum I’m sure we can all be adults about the discussions we have so we can positively input to help each other, I know we can get excited at times :D Me personally I value everyones contributions, so thank you one and all for all of your input.
For me the journey is still going!
Stephen5.26.2016 8:21am in reply to: How do others handle Time difference between broker and local? #137217
@threshold Thanks for the Reply,
This is what I’m currently doing, however I’d like too use Asirikuy data for my mining and backtesting for timed strategies as it’s +1/2 so not in line with any of my brokers, sorry for the late reply btw, have only just got around to refreshing my backtest data and revisited this.
Have you tried to convert Asirikuy M1 data ?5.13.2016 6:23am in reply to: What type of computer specifications do you all have? #1369125.13.2016 3:09am in reply to: What type of computer specifications do you all have? #136910
I had one of these many moons ago, although not running SQ then. It sounded like a JET running all the time and I had it in one of the furtherest rooms in the house, right next to the neighbours so I bet they weren’t happy as it was running 24×7 (I was renting at the time)
Just a reminder that all servers are VERY noisy and run HOT, so need to run in a room that won’t disturb anyone and have decent cooling, alternately hook them up to the home heating ;) They also take a bit of electricity to run, unless you get the newer ones that are greener.
My servers are hosted at my work ;) as I get first dibs on the retired ones and I have permission to leave it in the rack and keep em running.5.12.2016 1:57am in reply to: Did anyone record the webinar of http://www.autotrading.academy/ ? #136891
…and of course the over inflated prices of the “Value adds you get for free if you sign up”.
What also turned me off was my feeling that the “audience” was stacked and those “buying” the packages right when the offer came out and then saying on chat what a bargain it was and they just bought the Pro package etc….my warning bells where ringing at that point, I may be wrong, just my gut feeling.
I’d be interested in re-watching a live session again and seeing if same people do the buying
If the course was available without the frills for AUD$500 then I might consider it.
@Geektrader I’m not sure why, but I think the reasoning is that he’s not selling EA’s
@mikeyC of the ones I monitor most are +10% a few sideways, and some down.
For me my membership is not his EA’s but the knowledge being shared, the tools, the historical data (minute data back to 1987) and the forums. There is also a huge video archive full of great stuff he’s created over the years, same goes for his weekly newsletter archive. I’ve been a member for nearly 4 years now and yes it can be expensive for the first year but ongoing is much less (from memory), plus for me is a tax deduction.
I think this membership is more to sort the wheat from the chaff so to speak.
I think the quality of his public blog speaks for him as they are always well thought out and backed up with evidence based results.
So for me I get value from my membership, for others they may not.
As a Member I have access to a number of strategies he has running on live test accounts some good, some ok, some in drawdown. He reports weekly on these as well as some portfolios made up of the mined strategies in his news letter so results are not hidden in any way. MyFx Results are all available to all Members.