23. 2. 2019

5 23

Aroon Trader Strategy multi symbol 1H

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Adding my first strategy to the community bank.

Detailed MC testing conducted:

How was the strategy generated?

The strategy was initially generated on 2 years of data using random generation on selected timeframe only, half a year of which was OOS.

How was it tested further?

– It was retested on 15 years of Dukascopy tick data as OOS, to make sure it works through history, confirmed via SQ & mt4 using TDS.

Did I optimize it?

Nope, if I like the strategy enough, I usually don’t optimize it, sometimes I give it a minor bump.

How did I check robustness and try to avoid overfitting?

– The fact genetic evo wasn’t used & the strategy was generated as is randomly using 2 years data, and turns out to work well on the entire data set, makes me more confident that I didn’t overfit it.

– 500 MC (each) runs of: Randomize trades order, skip trades, randomize min distance from price from 0-10, randomize slippage 0-5, randomize spread 1-5, randomize starting bar max change 100.

The above filtered by RETDD at 95% > 40% of original RETDD, and looking at the general correspondence of the curves, making sure they remain on the same course more or less and not far detached one from another, and the 2 SQX default filters were also used (Net profit at 80% > 50% of original net profit and Max DD% at 80% smaller than 200% of original DD%)

– 500 runs of Randomize History Data with probability 20% and max price change 20% of ATR. Same filters as above.

– 100 runs of Randomize strategy parameters, with probability 20% and max change 50%. Looking for RETDD at 100% to be > 1.

99% backtests for XAUUSD and EURUSD with TDS:

Hope it helps someone.

Ilya

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tnickel
tnickel
24. 2. 2019 10:50 am

Hi, I have made some additional backtests with Asikury, pepperstone, tickmill, active trades
The backtests looks good
I share this on

https://drive.google.com/drive/folders/1D_JCMOUV0tQaAlgb4yDQqv7TkLEV3d17?usp=sharing

thomas

mabi
mabi
26. 2. 2019 3:15 am

Very good strategy. Also work nice between 1987-2003 on other data source.

Guang Zhen Lee
Guang Zhen Lee
27. 2. 2019 7:43 am

Do you try using customer project workflow to build?

Ilya
Ilya
Reply to  Guang Zhen Lee
18. 7. 2019 5:03 pm

Nope, not yet, but I should. I’m just too busy with life these days, so I stick to my previous habits

Crossa
Crossa
4. 3. 2019 11:39 pm

Hello Ilya, thanks for sharing.

I have two questions
How are your ranking in the ranking?
What timeframe for building would you prefer for a D1 or a 30min timeframe?

I use the program since 12/2018 and am still looking for the right settings. Whenever I find the holy grail come new difficulties.

Crossa
Crossa
Reply to  Crossa
4. 3. 2019 11:41 pm

…. settings in the ranking …

davide martinazzo
davide martinazzo
Reply to  Crossa
25. 5. 2019 3:57 pm

thanks for sharing!!

Ilya
Ilya
Reply to  Crossa
18. 7. 2019 5:29 pm

Ranking weighted (weight by this order): RET/DD, PF, Stability, %Stagnation, Winning%.
I’m not sure I understand your second question. You should build strategies on the same timeframe you’d want to trade them on.

Ilya
Ilya
29. 3. 2019 5:18 pm

I hope some of you guys have been running it on demos / real accounts. So far 3 months live, profitable each month (Both XAUUSD and EURUSD).

Phillip van Coller
Phillip van Coller
30. 3. 2019 9:19 pm

Awesome, thanks for sharing.

KlausA
KlausA
19. 4. 2019 1:31 am

Have you been successful on live conditions?

Ilya
Ilya
Reply to  KlausA
18. 7. 2019 5:30 pm

Yes, you can just run a backtest from the end of the above test, till today (especially XAUUSD was going good) to check yourself 🙂

Marcel
Marcel
19. 5. 2019 2:35 pm

Thank you for sharing! The strategy runs with me as of now on the liveaccount

Ilya
Ilya
Reply to  Marcel
18. 7. 2019 5:30 pm

I hope it has been doing well for you.

Dang Hai Long
Dang Hai Long
26. 5. 2019 1:58 pm

Thank for sharing

rcn9999
rcn9999
1. 6. 2019 5:41 am

Hi, Can any one help me? When I was back testing, this EA generates no trades. From Journal tab, I noticed following:-

2019.05.31 22:40:31.859 2019.04.29 23:00:00 cannot open file ‘C:\Users\Ravi\AppData\Roaming\MetaQuotes\Terminal\75A6B8DC99FA22820714B358B4C2D6F9\MQL4\indicators\SqAroon.ex4’ [2]

Can any one help me what I am doing wrong?

Thank You

Ravi

Mark Fric
Mark Fric
Reply to  rcn9999
1. 6. 2019 11:33 am

You probably didn’t follow the post-installation steps an dyou haven’t copied SQ indicators to your MetaTrader: https://strategyquant.com/doc/strategyquant/installation/#steps-after-installation

Last edited 3 years ago by Mark Fric
rcn9999
rcn9999
Reply to  Mark Fric
1. 6. 2019 10:12 pm

Yes, you are correct. I missed that step. I am going to do that now. I will come back later. Thanks lot for your help. Much appreciated! Regards, Ravi

rcn9999
rcn9999
Reply to  Mark Fric
1. 6. 2019 10:27 pm

Excellent! working now. Thank You, Ravi

Ilya
Ilya
Reply to  rcn9999
18. 7. 2019 5:31 pm

Yep, just copy the SQ indicators to your mt4 folder..

Ilya
Ilya
18. 7. 2019 1:20 pm

Still works like a charm mainly for XAUUSD and also for EURUSD, hope you guys are using it. I’m too busy these days to be involved with the community but I will have a few more strategies to share soon.

Konrad
Konrad
9. 1. 2021 7:03 pm

In 2020 with orginal money managment this strategy has huge drawdown. If we change money managment, the drawdown could be smaller but still was biggest drawdown in last 8 years.