Topic: Characteristics of a good bot

I wanted to start a discussion about what everyone thinks are key criteria to look for when determing if a new-found bot is 'worthy' -- how do you compare and evaluate stats to determine which is better (ie ranking)?

I've noticed a couple things that stand out between bots and Im starting to make a list for myself. The first thing I look for are that it has a visually sexy Generator curve, and specifically the portion in the OOS section. If that looks good, I note all the rest of the stats in a spreadsheet and then I can compare bots against each other.

Some things I really like to see:

  • lower number of actual trades

  • lower equity drawdown %

  • higher win/loss ratio

  • higher profit gain

I think it needs to be a good balance of these (for example high profit with extreme # of trades is a red flag I think). Also, I look subjectively for things like a strong consistent angle on the chart with multiple stairsteps on the balance line and balance/equity hugging closely most of the time (less wild swings).

Re: Characteristics of a good bot

This is an rather complicated topic.
A long time goal is development of a criterion for appraisal of the strategies.
One of the most important factor is the overoptimization state. The overoptimization analysis is a step in that direction but unfortunately it is only in a development stage.

Re: Characteristics of a good bot

I used to have couple of strategies that have similar characteristics, high win loss ratio, low drawdown, low number of trade, however, it seems that I lost most of the profit when it is on the losing trade.

It then dawn to me that my SL pip is much higher than my TP pip. So I have a lot of small wins but when the trade goes wrong, it will cause big massive loss which eats away my profit big time. So, right now, I'm trying to find strategies that give me TP pip higher than SL pip with win loss ratio more than 0.5.

Also, i feel that "Time in Position" should be as low as possible to reduce exposure to my profit. Ideally, it should enter the trade and exit as as soon as profit is hit or exit conditions are met.

Just my 2cents...

Re: Characteristics of a good bot

Hey Wilson, I agree less time in position is also ideal (less time = less risk to the market unknown behavior). I have also started focusing on the SL/TP/BE as you say. First I manually optimize the SL/TP/BE for all newfound strategies (I don't let Generator do this) and then I run the Optimizer to do the final tweak on SL/TP/BE.

I do prefer to see an optimized TP much higher than the optimized SL. I think this is a really good sign. I now require at minimum a SL and TP on all bots because I like the safety of knowing there is a hardcoded exit in place.

Re: Characteristics of a good bot

One consideration may the number of bars if a generated strategy, ie 25,000 may be more reliable than 5,000.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Characteristics of a good bot

It seems very difficult for me to find a strategy that behave consistently over, say 20k bars. I'm on 1 Hour time frame and 1 year data is about 6000 bars, so 20k bars = 3.3 years? Does it mean that the strategies need to behave consistently over 3 years of market horizon?

I'll be lucky if I'm able to find some strategies that are consistent over 3-6 months, which will take the Generator about a week or 2 to find. Is it normal?

So, for 3 years' data, it may take months for generator to run continuously to find something decent?

Re: Characteristics of a good bot

Depending on the speed of your machine seems to be a limit on how much data you may use with the generator.

My preference is to use 20,000 bars as a start so that I can feel I have some reliability, there are many other concerns to consider as well.

I usually like to have the win/loss ratio higher than .65 and like to see the OOS period lined up to show a lot of profit.

The Sharpe ratio is a measure that I rely on heavily

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Characteristics of a good bot

I try to limit opening logic conditions to 2 and hopefully I end up with just one indicator being used, I am not so concerned with closing logic, I have that one set at 4.

I find that the fewer indicators used to find entries makes for more entries and is much simpler to follow when I am trying to analyze the charts.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Characteristics of a good bot

Blaiserboy wrote:

The Sharpe ratio is a measure that I rely on heavily

What do you think, should the Sharpe ratio be included in the optimizer? I've read if optimized after SR value, results are better and superior to those, which are optimized win/loss, max profit results in mind.

Re: Characteristics of a good bot

footon wrote:
Blaiserboy wrote:

The Sharpe ratio is a measure that I rely on heavily

What do you think, should the Sharpe ratio be included in the optimizer? I've read if optimized after SR value, results are better and superior to those, which are optimized win/loss, max profit results in mind.

Personally I wouldn't bother, the Sharpe Ratio may have it's uses as a measure of risk for large portfolios but for a single currency pair, I don't think so.  Dare I mention Long Term Capital Management?

Give me a smooth equity curve any day.

Re: Characteristics of a good bot

Is Long Term Capital Management hidden away in FSB somewhere.

Sharpe Ratio of > 3 is required for employment as a high frequency trader...... that is why I like to use it, it seems to have value for people in the HR business

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....