Topic: Generator

I am wondering what the generator is designed to seek,

ie 

does it look for the highest profitable combination   

or 

does it look for the best win/loss ratio.....

Where would it end up if allowed to run til it had exhausted all solutions......

Can you provide some insights......



A further question......

Can Sharpe Ratio be incorporated as a target for the generator.....?


Thank you

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

Re: Generator

I think Mr Popov said they were working on including more ways to filter the Top 10 results. I'd love to see it be able to target Sharpe Ratio as well.

If i had to guess, id say it is currently targeting only highest equity gain. You have to use some discretion because the chart on top is not always the best in my opinion. For example i would choose a more-straight equity climb combined with lower drawdown over a higher equity without those properties.

A quick calculation i like to use is Profit-per-day divided by Max-drawdown ... i call it a measure of efficiency and it will usually indicate the better-looking equity curve.

Re: Generator

Another thing about the generator:

Does it include a strategy in the top 10 only if it's better than the top? I feel like once I get a good strat, it processes for a really long time without any change in the top list. Maybe my observation is wrong, but the generator should insert generated strategies into the top list even if they're not the new top strat.

Re: Generator

generator should insert generated strategies into the top list even if they're not the new top strat.

The Generator inserts new strategy if it's net profit is in the Top 10 highest profits.

Re: Generator

dusktrader wrote:

I think Mr Popov said they were working on including more ways to filter the Top 10 results. I'd love to see it be able to target Sharpe Ratio as well.

If i had to guess, id say it is currently targeting only highest equity gain. You have to use some discretion because the chart on top is not always the best in my opinion. For example i would choose a more-straight equity climb combined with lower drawdown over a higher equity without those properties.

A quick calculation i like to use is Profit-per-day divided by Max-drawdown ... i call it a measure of efficiency and it will usually indicate the better-looking equity curve.

I think you have a few methods that you use to evaluate a strategy. It may be helpful to many that we build a separate and designated page for strategy evaluation methods that can be added to over time.

I have seen various methods discussed in a few places, particularly in quant forums and it may be quite beneficial for people to access to a knowledge base.

  Perhaps the board would accomodate such a section and some things could be incorporated into FSB or FSB configured to export to a special spreadsheet designed to provide several analyses at once.

What are your thoughts?



daveM

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

Re: Generator

Perhaps the board would accomodate such a section and some things could be incorporated into FSB or FSB configured to export to a special spreadsheet designed to provide several analyses at once.

Hello Blaiserboy,
You can start a new trade "Methods for Evaluation Strategy Performance". We can discuss there various criteria or parameters for evaluating strategies. If we eventually establish good criteria with certain formula, we can easily add it in the strategy statistics as a first stage. Later we can expand the Analyzer tool for fully evaluating strategies.
If an method is resource hungry we can develop a separate tool under the Analyzer for it.

Re: Generator

I like the idea. There are several different things I am looking for in finding "good" strategies. But so far I keep tweaking that list and I'm not sure there is just 1 formula that works best. Over time I am learning more and I've developed "must have" and "would like to have" lists that I use.

Before trading live, all Generated bots must pass certain tests after being discovered. I can control some of the parameters while Generator is running, but in the end, I still have to make sure the Generated strategy meets all my criteria before letting it trade live. These types of procedures would be really helpful to share I think.

It would be great if we could have some way to make "templates" of the settings in Generator. For example, I've discovered that different combinations of settings will tend to yield different types of bots. I may be specifically looking for a certain type of Generated bot depending on the circumstance. Its hard to remember all the settings within the Generator tabs to be able to flip between them when doing multiple FSB Generator runs.

Re: Generator

DT

Just save the thing as an ea for each combination you like

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

Re: Generator

Hey BB, I know about saving as a Custom Indicator, if that's what you mean.

What i'm talking about is saving all the preliminary settings in the Generator mode before a strategy is generated. For example this template would include: logic conditions that are locked, setting, limitations, banned indicators and anything else you can set in there.

FSB does 'remember' the last settings used, but I'm frequently running 4 or more instances of Generator using different starting settings. For example one starting point requires that the strategies must close everyday at 19:55 while another only requires it on Fridays at 19:55. I also play around with all the settings like forcing it to find a minimum of 800 trades while maintaining a max 5% drawdown. Sometimes the runs result in great finds and other times not, but it would be great to have the settings combo ready to load right up (as a template for example)

Re: Generator

Hi dusktrader, I always like features that save a step or two as well, it really adds up when doing the same thing repeatedly.
In the meantime, this isn't a graceful solution, but one of these might be a workaround:
- I think you could do this by copying and renaming config.xml in the FSB install folder
- or, copy the FSB install folder several times, they'll each have their respective config.xml file, then create shortcuts to the FSB exe in each folder.
- or, similar to the previous, create several accounts on your machine, install in the Users folder for the particular user only, then hot swap between accounts to check on each. I've done this with single-instance apps, it was a way to get 4 running to make full use of my quad core. For your case, I think each user would have their own copy of config.xml.

Doesn't save too many steps, but I think these would preserve the Generator settings as templates.

It has these nodes:
generatorOptions (don't notice anything about locking or unlocking slots though)
optimizerOptions
bannedIndicators
maybe more?

Re: Generator

Profiles are good not only for the Generator but for the whole FSB. A profile will simply load different config file. In that case a user can have different settings for data source folder, data horizon, generator...