It looks like the collection sorting is not refreshed in this case. Normally the "best" strategy must be at the top and the correlated ones bellow it. How do you received this view? Is it after changing the sorting criteria?

I'll check for a possible issue.

Thank you for the report!

Great! It's been fixed really fast! Thanks a lot!

Hi Freebird!, how are you doing?

Those are the best strategies in a collection. The collection is sorted by certein criteria, in this case: return to drawdown. So those are the best in the collection. But please notice it is not guaranteed at all that those strategies will be profitable. In fact, most of them will fail. My best advice to anyone starting would be not to hurry and test your strategies in a demo account. Learn how to use the tool and most important, learn and find a method to change strategies in your account (demo). When you were able to sistematically grow a demo account, then you will be ready to go live. I'm telling this because I myself am struggling to find a profitable way to change strategies in an account. I'm learning by my own errors and it is a slow process. Knowing when a strategy is ready to be traded and when it is ready to be removed is a lot more difficult than building strategies. EA Studio is a great tool and using it you will build hundreds (thousands) of strategies that will work well at least for some time. But when to trade live, when to remove them, when to add them to a portfolio without not adding too much risk/correlation is the most difficult question. Sometimes you will find that the strategy that has worked incredibly well so far starts getting bad as soon as you trade it live. Learning how to handle that situations is what will guide you to success--- So my advice is take it easy, learn how to use the tools and not to hurry trading your EAs live. Try to (sistematically) build a demo account first

OK, back to your question: how to build "linear" strategies. I think you will find your own method, but what I usually do is to use "performance filters" in the collection tab, and this way the collection does not show/remove the strategies that do not pass the filter (when you have more than 100, only the best according to the filters and sorting criteria remain). For example, if you place a filter to have mimimum Return to Drawdown equal to 3 (or 4) you will end up with many strategies very sharp and "linear". Try that. That's what I usually use. However, you must also balance your acceptance criteria not to be very restrictive, and let optimizer in the reactor do its best. I also use montecarlo (usually 100 tests, 80% profitable for the strategies to pass). These are my settings and you can start using them, but nothing will replace your learning and knowledge about the tool. After I have built a nice portfolio of strategies I trade them in a demo account. I usually require from them to have 15 trades before I watch them to decide if they are good or not. Most of the strategies were not good.

Now I'm waiting for the next upgrade of the tool (Walk Forward), and hopefully that will allow us to build more robust strategies and possibly some kind of expiration time, valid period and this way we will have more ideas about when to start trading a strategy and when we should remove it

Warmest regards Freebird!
Please keep posting and sharing your results here. I like reading posts and I learn a lot from other's experiences!

Regards from Madrid!
RJ

This is absolutely true if all we build are mediocre EA, then Portfolio Management is a nightmare.

Over the years, I realised what make Portfolio Management difficult is because my EA is "unreliable", not robust enough to handle different market situations and hence I have moment of brilliant success and then next I faced absolute disaster down the road.  My conclusion is...go back to the drawing board.  The EA is your main building block.  It's determine whether a portfolio is successful or not.  You can play around with money management but ultimately it still boils down to how robust the EA is being build, whether it can handle most trading situation.  And since most of the time in between breakouts are ranging period, that occupy most of the trading hours, the ability to handle ranging signals (with many false breakouts is by far an essential skill one must have to develop good robust EA).

So instead of figuring when to (trade) turn on and turn off an EA, we might as well put build these "turning on and off rules" into an EA (easier say than done).

For those who aren't building your EA manually but rely more on software to search, then do search for EA with high PF with high Net Profit.  Some high PF EA hardly trade, so you need to ensure EA also have high Net Profit.  Or Reward/Risk ratio is another alternative, though I still prefer PF.  An EA with good PF show that it has a trading edge. 

So the higher the PF, the less likely I'm going to need to replace/change (the EA in the) Portfolio and more likely for my Portfolio to be stable and reliable. 

Simply put, if I have an EA with PF above 3.0 as compared with another EA with PF 1.5, which would you allocate more money to trade in?

Likewise, a portfolio filled with 20 or 100 EA with PF below 1.5 is going to bring you through lots of roller coaster ride (not for the faint hearted).  So in order to make a good portfolio, pack it with a few high PF EA is far better than packing it with 20s, 30s mediocre EA with PF below 2.

Eg 1 EA (with PF 3.0) x 10 lot size is far better than 10 EA (with PF 1.5) with 1 lot size each.

Hi Deadlef,

Sorry for the late reply, I didn't realised you posted me a question.

1. The post I wrote previously, is a generally comment about portfolio "quality" irregardless whether the EA is from EA Studio or FSB Pro or any other software builder.

2. I mostly use FSB Pro to build my EA, only recently did I try out 10 EA from EA Studio just for "fun".

3. Out of these 10 EA, there is 1 EA (from EA Studio) that has PF 2.20  (based on 1mth demo results, NOTE: I forgot to mentioned that these 10 EA, I added an external trailing Stop EA as an alternative exit strategy).  See attached pic as "proof"

It's just 1mth of trading results, so nothing is conclusive and it's premature to say anything.  Just some info.  These are generated using 1 min time chart with only 5mth of the default data.  Also I've an external trailing EA to "improve" the results, etc.

4. To achieve PF 2.0 above (in the long run), I personally don't think you can achieve it with a "general search" from a software (unless the EA hardly trade at all).  Unless the above mentioned EA (from EA Studio continue to do as well as the results posted, it would definitely be a pleasant surprise, a nice one though, so I'm keeping my finger crossed and wait and see the results after a couple more months).

I usually manually build my own EA via FSB Pro and hence PF 2.0 can be done if you have really good trading rules (in another words, you need to combine brain power and computer power).

Here is a 3wks results with some EA PF about 2.0

Here is another different batches of demo results with 1.5mths demo trade.

Though these are very short period of trading results, can't download any longer date cos too much data (nearly 4K EA results) and website can't handle it.

I'm just want to say it is possible to build PF 2.0 EA (I'm not here to proof anything but to remove any psychological barrier of what we think is impossible). If you can believe it, you can achieve it.  Cos no one attempts to do things if they don't believe it's achievable in the 1st place.  The reason why I'm still here, building and building EA is because I believe I can keep "out do" myself and get better and better results till I'm completely satisfied and feel confident that my EA can trade and survive in whatever type of market situations.  Because I believe it's achievable, that's why I endured all these years of "disappointments".  Without hope (vision to see what's possible), we give up easily.  And if anyone wants to survive in this EA development process, hope (with a proper vision of what's possible) is very important.

While there will always be skeptic out there that don't believe or think it's impossible, then let it be.  Cos it is they (the skeptic) who aren't going to have such EA cos they don't believe in themselves in the 1st place to achieve it.  So it's really up to each individual user to determine what's your standard, how much efforts and commitment do you really want to master this EA development skills.  No one can stop you and last of all, don't let any skeptics stop you.   

Best wishes
Hannah

Ps: I don't check the post regularly, so if I don't reply, it's because I didn't notice it.

I agree that longer data is not better.  In fact, I'd go much further and say only current data really matters -- since we are trading under current market conditions. 

A strategy is simply an algebraic formula with a few variables and constants.  When you train / optimize a strategy it computes constants to yield the best Net Balance, SQN, Profit Factor or whatever metric you choose to optimize.  Since you are trading *today* and not in 2009, then it doesn't make sense to use old data that is unrelated to current market conditions.

Using old data skews the computation and gives too much importance to irrelevant data.  You do need a minimum number of bars when optimizing -- I'm guessing around 2000 - 4000.  But beyond that you are wasting CPU time that could be used for other purposes -- e.g. generating more strategies.

We don't know what the market conditions will be tomorrow -- however, frequently updating your data source and refreshing (i.e. retraining) your strategies with the latest data gives your strategies the best chance to perform well under current market conditions.

It comes down to probabilities -- what is the probability that tomorrow's market conditions match with 2009 or with last week?  There's no guarantee, but I'd go with last week.  That's why I favor last week's data over 2009 data.

1. I'm not against short or long data.

2. I'm only questioning WHAT kind of data/market conditions during that period of data.

3. The assumption of longer data period is that we assume it contain more different market conditions/regimes (which may not be necessary so).

4.  Shorter data duration, we assume it's more "relevant", but market is ever changing, what degree of relevance depends on what relevance are we referring to, market dynamics/volatility etc?  Furthermore, shorter duration may not give the EA enough "exposure" to be robust to handle volatile markets.

5.  What's the primary purpose of Algo trading? Is to be "hands off" and let the EA does it's job.  So if I still have to decide when to turn off and when to turn on, that means I still have to be watching the market manually, what's the point of Algo trading then, IMO.  Unless you are have found a "pattern" of consecutive wins etc like Steve, who then created Side Kick to handle this decision.  As for me, I still prefer to build these rules into my EA instead of relying on some "arbitrary" statistic (cos I haven't found one that really suit my EA's profile), I rely on indicators' statistic (an area of my forte).

6.  If we know or can predict when/what is the next upcoming market cycle (man, that's a million dollar question), then we might as well put these logic into our EA opening/closing conditions.  Whatever market interpretation we can make, it means we can to certain extent put it into the rules, so that we don't have to manually turn on set of EA off and then turn another set of EA on. 

7.  The idea of classifying different market regime into different data set is interesting.  However the idea of a robust EA is that it can survive in different market regime.  When I want to build a Trending EA, do I then use Trending data regime?  Definitely "NO!!!"  In fact the opposite is true, if I want to "train my Trending/Breakout EA", I will choose a ranging data regime.  Why? if I use Trending data to build Trending Ea, of cos I'll get fantastic results.  What I need to do is to use ranging data to ensure the Trending EA will not be "tricked" by too many false signals during ranging times. The common reason why Tending EA isn't as profitable as it should be, is that it loses so much money in between the Trending, during ranging times.

8. In my personal preference, I would like a "reasonable" length of data.  But I won't just choose the duration just for the sake of duration, I will choose a duration that contain very "difficult" trading periods.  In fact last year 2017 Jan till now has been a rather challenging times (for certain types of EA/strategies).  So the current 2yrs data would be a good data set to use.

9.  Lastly, I observed that shorter time frame EA (M15, M30, H1 rules) are more "robust" than longer time frame rules because they are more reactive and hence always "stay relevant" to the market conditions.  The challenge is to strike a nice balance and find a good stable signal within these time frame (bear in mind that I'm also referring using only MT4 1min time chart as my EA platform).

My thinking now is the term "market conditions" is too general.  Forex data is a bunch of numbers that sometimes form patterns.  There are a gazillion possible patterns.  There is no way a simple algebraic formula with a few variables and constants -- i.e. a strategy -- can recognize all those patterns.  At best you can hope it can recognize a small subset.  When using the most recent data to compute the constants for your algebraic equation you have a higher probability of capturing some of the patterns your strategy is likely to encounter in the near future.

About a month ago I changed my approach and each weekend have begun refreshing strategies with the latest 4000 bars.  Also, I no longer spend much time generating strategies.  Instead, I'll spend time refreshing my current collection of strategies with the latest data.  As an aside -- it makes a difference whether you use data from a demo or real account -- they are not necessarily the same.

Hi rejectweb...

Timeframe -- I've tried them all, but have settled on H1 and H4 (mostly H1)

Currencies -- Again -- tried them all.  At one time I was trading 9.  But in the end I always come back to EURUSD.  I'm not sure why -- but perhaps the larger volumes work in our favor because it makes it easier to trade.

# Bars -- when trading EURUSD/H1 then 4000 bars works out to about the most recent 8 months

Strategies -- I've gone back and forth between FSB Pro and EA Studio -- each have their advantages.  Currently I'm back with FSB Pro because it makes it easier to tweak and refresh existing strategies.  EA Studio makes it easier to create a large number of strategies and package them in a portfolio EA.

Refreshing -- this means to (a) update your data source with the most recent data from your broker's *real* account; (b) re-optimize / re-train your strategies with this new data; (c) export the new *.mq4 files; (d) check the results using MT4 Strategy Tester, followed by MT4 Tracker to see the stats of the individual strategies.

It's been mentioned in the forum elsewhere but is worth repeating.  The *.mq4 files that are generated by EA Studio and FSB Pro are not the same code used by those applications when computing statistics.  We assume the *.mq4 files that are later generated will execute exactly as the code internal to EA Studio and FSB Pro.  And in the vast majority of cases it does.  When you use MT4 Strategy Tester to check a strategy it's not because you doubt the results from EA Studio or FSB Pro but, rather, to confirm the *.mq4 code that was programmatically generated by those apps works in MT4.

Hello Hannah...

1. It depends.  I have a few Real *micro* accounts that I sort of treat as Demo accounts -- this was something suggested by Blaiserboy many months ago and was one of the best pieces of advice I've learned from him.  I don't have specific criteria -- it's a combination of subjective and objective.  And sometimes I'm just really curious how some new strategies will trade and don't want to wait weeks or months testing in Demo accounts.  The problem with Demo accounts is there is a disconnect with Real accounts.  Lately, as I've spent more time "refreshing" strategies with the most current broker data (rather than generating strategies), then I feel more confident going straight to a Real *micro* account.

2. I haven't been following a "refreshing regiment" very long so my frequency of refreshing is arbitrary.  I primarily trade H1 and I've found I can refresh most all my strategies with the latest 4000 bars (8 months of data) within 2-3 hours.  At this point in time I'm motivated, so I've been doing it once a week (on weekends) when the market is closed.

3. I no longer think in terms of trending or ranging strategies.  You can take a "ranging market" and if you look more closely you'll see regions where the data trends.  And you can take a "trending market" and if you look more closely you'll see that there are times when the data ranges.  The data is just a stream of numbers with peaks and valleys and patterns -- I really don't attach additional attributes or biases.  That doesn't mean I'm right -- it's just the way I've been trained to look at data.

Related to (3) -- I continue to work on Sidekick, and I think it gets to the root of your questions -- how do you know which strategies to trade and when?  You've acknowledged that different strategies trade better or worse at different times -- and, of course, I agree.  I'm just not sure you can categorize them according to specific market conditions (which also requires that you can accurately deduce the current market condition).  So, rather than try to figure out what the current market condition is and which strategies historically traded best under those market conditions, I'd prefer to divide strategies into two categories -- (a) currently performs well, (b) currently performs crappy (excuse my French).  And I think Sidekick provides a way to do that.

I've attached an image that shows the price curve for EURUSD/H1 for the past 8 months, along with an equity curve from a strategy.

Points of interest:
1. The price curve includes regions of trending-up, ranging and trending-down
2. The strategy's equity curve is roughly linear throughout the "market conditions" of trending-up, ranging, trending-down

Interpretations:
1. Does this mean the strategy trades well under all market conditions?  Some people would say "yes".  I would "no".  The reason this strategy looks linear is because this particular data horizon includes a subset of patterns that this strategy does a good job recognizing.
2. If you look more closely you can see that the trending-up, ranging and trending-down regions also include regions of the other types of "market conditions".
3. Trending / ranging are terms used to describe macroscopic views of the data from 10,000 miles up in the sky.  Our strategies use indicators that can see only individual bars and react to ticks, moving averages, price changes, etc. -- they are clueless about these larger formations.  There are metrics like supply/resistance, supply/demand, volume profile that take into account the bigger picture -- but these are primarily used by manual traders (I believe).

What I'm suggesting is you could give me a strategy you claim works in ranging data and I will be able to find a chunk of trending data that also works well, and vice-versa.  Similarly, you could give me a strategy you claim works in ranging data and I will be able to find a chunk of ranging data where it performs poorly.  And that's because our strategies (i.e. simple algebraic formulas) can only recognize patterns that include a handful of bars.  And those simple patterns occur under all market conditions -- as the attached image shows.   At the risk of ruffling some feathers I'll even go a step further and say the attached image proves that market conditions do *not* play a role.  That's just my opinion and I've been wrong before (about 50% of the time), but that's my take on things right now.