tonyD wrote:Why did you decide not to also filter with optimization and robustness tests?
Good question. Several reasons.
(Bear in mind I am working with M1 charts, so some of my initial observations and thoughts might not apply the same to some of the higher time-frames.)
Speed was a very significant factor. Generally, Optimization and Robustness tests seem unpleasantly slow (especially on 500K bars), to a beginning user just trying to assemble even a small battle-ready army of EAs. This computing time might be better spent calculating millions of other strategies, a few of which might be even better.
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Optimization specifically, I am not currently doing, in order to avoid the chance of getting overly-optimistic indicator settings, which might work great with the current data set, but might generally be worse with other sets. I’m thinking random might generally be safer…unless not! :-)
This also seems inter-related with:
After seeing very attractive strategies disappear during development when "resolve correlations automatically" is checked, I decided I wanted to make that decision myself, to remove or keep them, so I have that disabled.
And because Optimization of some of the best strategies might make them all the same and then delete many of them, multiplying the problem, I also decided I wanted to just leave the indicator settings as randomly chosen which worked well. If multiple strategies happened to use the same indicators but used different randomly generated settings, keeping them all as-generated might provide some degree of risk spreading.
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Walk Forward Validation. During development, after visually inspecting and deleting all of which I did not like the smoothness of balance line growth, only "good" strategies remained. I like the concept of Walk Forward, but I noticed all my best strategies passed Walk Forward. 100%. I thought I would save a lot of time by not doing this, at least for the best, smoothest strategies.
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Monte Carlo validation. About 87-95% of my "good" strategies were passing. I thought the performance penalty outweighed the value here. I might come back to this later after I have amassed a large army of EAs for possible whittling down for refinement.
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Multi-Market validation. My initial thinking is that I do not like the concept of this very much, especially for M1 charts, and especially for a mixture between Forex and other instruments such as indexes and commodities.