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Posts: 26 to 40 of 40

  • Registered: 2017-03-14
  • Posts: 709

Re: Express Generator - Design

Hey sammjacks...

Though your question was addressed to Popov I can't help adding my two cents...

With regards to time settings and time zones, I would tread carefully.  If your goal is to avoid trading at high spread times then the times to avoid must be based on your broker's server time.  And this could become much more complicated than what appears on the surface.

The OHLC data that you fetch may come from Premium or some other source -- like MetaTrader.  If it comes from MetaTrader it may come from the same broker that the portfolio EA trades on or, perhaps, another account.  Timestamps are embedded in the OHLC data -- and you certainly don't want to change those.  The military times that you wish to avoid will be different depending on whether you think in terms of the server's time, Premium Data's time, MetaTrader's terminal time.

My suggestion would be to **always** think in terms of the server's time.  If the data comes from a source who's server time is different than the server's time where the portfolio EA executes then you will need to compensate for that -- and you really need to put on your thinking cap to figure out exactly how you will do that.

A better solution is to take advantage of the MaxSpread setting under Data / Symbol Settings -- e.g. 40 points is a reasonable value.  If the current spread is greater than 40 points then a signal would be ignored.  Easy-peasy -- no need to worry about converting from one time zone to another...




sammjacks wrote:

Great, cheers Popov.

I have a general question regarding time settings. They are not implemented in express gen yet, which would be really useful for me.

I usually set my time settings to 01:00 - 24:00 in order to avoid opening positions during the high spread time (where the spread can be around 100 which would destroy profits).

I am getting a lot of strategies that perform very well for when I let them trade 00:00 - 24:00 but then as soon as I change the settings 01:00 - 24:00 the equity curves change completely to usually perform very poorly.

It also obviously makes it much harder to find strategies with these time settings.

Any discussion on this topic or different perspective would be great as I am currently a bit unsure if my approach is sensible.

  • Registered: 2017-03-14
  • Posts: 709

Re: Express Generator - Design

Hi sammjacks...

This is a good question and deserves some discussion.  I can't do it justice in a single post, but I'll try to provide the "flavor"...

Monte Carlo (a) tests for rare events, and (b) assumes the data set is fixed and doesn't change with time.  For example -- average life-span of elephants in Kenya.  Suppose the sample size is 100 (which is statistically significant).  You can then perform Monte Carlo tests to judge the reliability of the data and the results.

Forex data is not static or fixed -- the patterns constantly change with market conditions.  Market conditions this week may be totally different than the week before or next week.  Unless you have a time machine or crystal ball, Monte Carlo stress tests only apply to the input data set -- no more, no less.  When you combine that with the fact that Monte Carlo tests for rare events that will likely never occur during the life-span of your portfolio EA, then -- in my opinion -- it does more harm than good.  You probably end up tossing away strategies that would perform well in the short-term in favor of strategies that perform less-well in the long-term.

Since it is so easy to create portfolio EAs then there is no reason to attempt to create strategies that you can pass down to your grandchildren.  Instead,  I would recommend focusing on creating strategies that perform well under current market conditions in the hope that similar market conditions will continue next week.

As I alluded to in the Zoom discussion -- a simple algebraic forumula (like those used in our indicators) -- will never be able to adapt to a variety of different patterns.  There will never be a "one shoe fits all" strategy.  The best we can hope for is for a strategy to trade well under particular market conditions.  To achieve the "robustness" that we desire requires  investment in Money Management and changing our viewing perspective to 30000 feet.  Fiddling with strategies has a ceiling that is limited by the algebraic formulas that makeup the core of our indicators -- in my opinion...



sammjacks wrote:

Also I have a question for sleytus.

You mention above that you use optimizer but not Monte Carlo or normalizer. Just wondering how you approach minimizing the risk of overfitting with these settings.

I avoid the optimizer completely but always use the Monte carlo, open to different perspectives though

  • Registered: 2021-05-28
  • Posts: 124

Re: Express Generator - Design

Popov wrote:
sammjacks wrote:

Ive gotten out an absolute tonne of strategies today Popov, and lots of really good looking ones ones I have further filtered in EA studio :-). This is actually AMAZING!!!

I'm glad you find it useful!

Please make a video of how you use the program and with what settings. It will also be helpful for the other traders and me because I'll see your way and get ideas of how to make it even better.

Will do Popov, I’ve got it up and running in a very quick way but I need to divert some time and energy to an engineering project that is falling behind for the next couple of weeks so time to get creative with express gen will be limited for a short while(although I’ll no doubt find pockets of time to play with it cos I won’t be able to help myself). Then I’ll put together a short video on how I’m using it :-)

  • Registered: 2021-05-28
  • Posts: 124

Re: Express Generator - Design

Hey sleytus,

Very good point regarding being super careful about the time. I have tick data suite and so instead of using the premium data I tend to use tick data suite to import the data to an mt4 and then export the data to json file, that way all the time settings are the server times.

But I also agree that it’s simpler (and possibly better) to just put in some spread protection. Which I also add into the Ea manually but it sounds like there is now a way of doing that in EA studio that I wasn’t aware of which is good to know.

I think I am going to start doing that going forward

  • Registered: 2021-05-28
  • Posts: 124

Re: Express Generator - Design

Thats an interesting perspective Sleytus. I agree that’s it’s pretty much impossible to have strategy continually do well (without some walk forward optimization anyway).

Also my process focuses on a similar approach of trying to trade strategies that have been performing well in recent market conditions, by moving the EAs from demo incubation account to live.

But I use the Monte Carlo with indicator check only more as an additional filter for trying to cull out some of the overfit strategies that small changes to the parameters cause large negative changes to the equity curve in a batch process.

Would be great to discuss this further as it’s a very interesting topic.

I tend to favour simpler strategies with less parameters that have passed a Monte Carlo validation. But from the sounds of things we are both putting a bunch of EAs onto demo accounts and then moving the ones performing well in current conditions to live account.

  • Registered: 2017-03-14
  • Posts: 709

Re: Express Generator - Design

Yeah, I agree -- simpler strategies and using demo accounts to distinguish between strategies that perform well or poorly in **current** market conditions...

sammjacks wrote:

I tend to favour simpler strategies with less parameters that have passed a Monte Carlo validation. But from the sounds of things we are both putting a bunch of EAs onto demo accounts and then moving the ones performing well in current conditions to live account.

  • Registered: 2017-03-14
  • Posts: 709

Re: Express Generator - Design

Yeah -- I'd enjoy discussing some of the finer points of strategy creation.  Perhaps Popov would consider hosting Zoom discussions from time-to-time...

Regarding Monte Carlo -- I understand the motivation to prune overfit strategies, but that's not the purpose of Monte Carlo.  It introduces rare events into the data stream to test how they affect the algebraic computations.  There are a few issues here to consider:
(1) If you are looking for robustness, do the rare events that Monte Carlo injects into the data stream really simulate changes in market conditions that stress test your strategy's sensitivity to small settings changes?
(2) Since the lifetime of our strategies may be rather short, is sensitivity to settings changes really such a crime -- especially if the strategy trades well under current market condtions?
(3) If you select the strategies with the prettiest statistics that survive Monte Carlo are you selecting for the ones that are more likely to be overfit or less likely to be overfit?  Consider that the prettiest strategies may be the ones that are more likely to be overfit.


sammjacks wrote:

But I use the Monte Carlo with indicator check only more as an additional filter for trying to cull out some of the overfit strategies that small changes to the parameters cause large negative changes to the equity curve in a batch process.

Would be great to discuss this further as it’s a very interesting topic.

  • Registered: 2017-03-14
  • Posts: 709

Re: Express Generator - Design

Popov -- a question...

After data is fetched will an Internet connection still be required to generate collections?

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,988

Re: Express Generator - Design

> After data is fetched will an Internet connection still be required to generate collections?

Internet is not necessary. Express Generator calculates and exports collections offline.

Popov's Website

  • Registered: 2021-05-28
  • Posts: 124

Re: Express Generator - Design

Hey Popov,

I’ve been using this quite a bit and it’s awesome but what I am finding is that when I take my collections into EA studio I am getting mostly extremely highly correlated strategies.

It looks like I have loads of strategies and then once through the validator I end up with loads of strategies that are all so correlated that there is actually only one.

I think top priority would be to implement correlation over any other features at the moment.

The structure of it is just absolutely incredible though!

Once correlation and time settings are in then will be ridiculously awesome. Then when Monte Carlo is in it will be totally mind blowing!!

  • Registered: 2022-08-25
  • Posts: 6

Re: Express Generator - Design

Interesting conversation Sleytus, Popov and Sammjacks.

EA Studio is a great tool. Express Generator is sounding even more brilliant. I will give it a go in the coming days. So far, I am adopting Sleytus’s short gun approach in EA Studio. Quick, easy and simple. The idea is to generate strategies for the current market conditions. With Express Generator, the process becomes even better.

I will report back if anything stands out.

  • Registered: 2021-05-28
  • Posts: 124

Re: Express Generator - Design

Hey Popov,

Hope you have had (or are still having) a good holiday.

Any ETA on your return?

Very keen to get the next update for express gen. I’m currently still focusing on EA studio reactor as the correlation, time settings and Monte Carlo save me a lot of time. But very keen to get back to using express gen again once a couple of these features have been implemented.

  • From: Germany
  • Registered: 2010-04-05
  • Posts: 835

Re: Express Generator - Design

I seriously hope that Popov is all right?! Looking at his account it shows:

"Last post: 2022-09-12 13:51:39"

From his previous behavior here on the Forum, he did not post anything for not much longer than 3 to 5 days. Does anyone know anything?

geektrader's Website

  • Registered: 2021-05-28
  • Posts: 124

Re: Express Generator - Design

I don’t know anything but am also wondering when he will be back and a little concerned also. I know he was taking a planned 10 day break and seemed fair he took a little longer so hopefully it’s just that.

  • From: Germany
  • Registered: 2010-04-05
  • Posts: 835

Re: Express Generator - Design

I absolutely hope so too and that he just enjoys his vacation. It´s just so unusual that he didn´t make a single post nor reply within almost a month, that I am concerned. I´ve sent him a private email last night, let´s see if he replies.

geektrader's Website

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