Re: Definition of insanity...looking for some guidance

Matthew Roberts wrote:

update: it might be possible to load EAs via templates...just found this link on Quora: https://qr.ae/pvQLQL

I was just messing around with this approach and it does seem to work - I had it launching a new chart window at a specific time with a custom EA added to it, with my launch time parameter correctly modified.

The key is to pre-prepare your templates and have them ready to go, and your script would programatically launch a new daily template on a specific time, and that template would reference the latest EA (which would have been added a few minutes ago)...if that makes sense.  One way would be to add a date parameter to the filename - such as _dd.ex5 and then have a template per day.

Obviously that doesn't get around the manual part for loading the collection into EAS and exporting a portfolio.

Re: Definition of insanity...looking for some guidance

Any thoughts on generating strategies with a higher risk to reward ratio? I'd like my winners to be bigger than my losers on average, even if it's only by 1.2x. I've tried using a larger TP than SL when creating strategies, but when running live the indicator's exit strategies close trades before I can achieve it, often one quarter or less than my stop losses, which requires an unachievable win rate to be profitable long term. I do think there is merit in "over optimizing" for a shorter time period and re-generating new EAs daily. I had a couple good days this week, but the build up of negative equity long term is killing me on prop firms that require closing all trades for the weekend, so I'm trying to improve the risk to reward ratio.

128

Re: Definition of insanity...looking for some guidance

Hello, I've only been using the commercial algorithm for two months and I was the same as timelleston. I had spent weeks considering how to create a portfolio, learning about EA Studio and creating systems. I did not understand how I had systems in various temporalities and pairs that worked on IS and OOS and the second day of testing them in demo they gave catastrophic results. I have read the topic from top to bottom, in some parts I have read it two or three times. (Also the google translation is not the best) and I just want to say thank you. Thanks to all of you who have contributed your grain of sand but above all thanks to timelleston and sleytus. To sleytus for the knowledge taught but above all for teaching us that more data is not better and to timelleston for his interest, proofs shown and making the thread move forward. You've all done more than that but I'm not going to get romantic.

I have taken your conclusions with which I agree and I think I have found something, and if I am not mistaken something very good and how I have come this far thanks to you I would like to share it, although I have not done more than 20 tests I think there is a clear advantage. Although it is best that you try it since I am not going to show any results, since I have been with the portfolio in demo for a day, but in backtests with similar strategies and "end date" in the past to see results in the future they work a time.

As sleytus says, the strategies (and especially the ones we were testing, I have also tried everything shared in the topic and a hundred more combinations). As he was saying, the strategies are very adjusted to the sample and the market is changing. And these two go hand in hand. I have only made the market less volatile by raising the time frame to 1H. Why? The candles are more summarized and this means that we collect more data in the same number of bars, we minimize the noise that we talk about so much. For example, if we take 500 candles in 15 min and we are in a strong uptrend, it is very likely that the trend will change its volume and the system will start to fail. If we do it in 1h, can the trend catch us and what happened before it and we eliminate x4 noise?

And I have worked with data of 6175 bars, which has been a year in 1h. With less it has not gone well for me and I have been going up until I found that one. It is obvious that it can be better adjusted to this way of operating. I'm going to stop spinning and I'm going to say the settings.

I work with 6175 bars from my broker.
EUR USD in 1H (one year)
short and long
reverse signal
Fixed or trailing stop of 200
No take profit

Better return/drawdown
in the sample
Max indicators 2 and 2


Walk Fordwalk:
Segments: 4 Validated segments: 3
30% oos and 20 steps

Monte Carlo:
Tests: 20 and 50% validated.

Criteria of acceptance:
Minimum net profit: 100
Min. number of operations: 200
Max Drawdown: 12%
Max Stagnant days: 60


Then I leave a day and something else for the reactor to think about and order the collection by SQN. This puts us at the top of the operations with less DD and they rise exponentially, that is, if the sample is one year, in the last six months it has been working better and I remove those that currently (an imaginary 10% OOS) are in DD . Because I only want systems that are currently winning, that my system has worked in the last year but in the last six months better. And I normalize, (this above all touches our stop of 200 in many cases it is very big.)

In the tests I've done, none of them crash like we used to, the systems that don't work stay in range for a bit and then lose and the winners win. From there I made a portfolio of at least 20 experts for my opinion and remove the stagnant or losers and leave winners. Considering that our systems have a great curve for the short amount of time. But in this systems management I am very new, as in all this. I am 26 years old and I have never made money consistently but I think I have improved somewhat the results we had. I would like people to try it and modify this concept to find a more optimal way if possible.

129 (edited by GPyles 2023-02-09 14:41:18)

Re: Definition of insanity...looking for some guidance

First post here.  Just checking out the trail of EA Studio and looks good so far. 

Is anyone still testing this strategy of only using few days data to create EA's for current short term runs?  I have been attempting this with stand alone EA's (5-10 per currency pair) since I am not able export Portfolio EA's with the trial version. 

Only been a couple of days but I have had some success. (a little over 1% profit per day)

-Greg

Re: Definition of insanity...looking for some guidance

sleytus wrote:

Very, very cool -- thanks for performing the tests...

If you compare different pairs I think you'll find that CJ lends itself best.  GJ also works, but sometimes DD can get a bit hairy...

EA Studio is the magic sauce since it allows us to create new portfolio EAs at the press of a button.  Even if a portfolio EA could survive a few days I still substitute with a new one every day starting a few hours prior to London Open.  And if there are Open trades then I set Max Open Trades to '0' for the decaying EAs and let those close gracefully.  I also use broker data because it is more up-to-date.  Premium Data lags behind by about 4 hours -- and because my data horizon is so short then every hour counts...

One last point -- I only provided very crude instructions -- i.e. CJ / M15 / 300 bars.  There are many other configuration settings in EA Studio where we probably differ.  Yet, you still saw decent results.  That is an indication this approach is robust and doesn't necessarily rely on fine tuning...


How do you "set Max Open Trades to '0'"?

Re: Definition of insanity...looking for some guidance

In the expert inputs while you are attaching it on chart.

GPyles wrote:
sleytus wrote:

Very, very cool -- thanks for performing the tests...

If you compare different pairs I think you'll find that CJ lends itself best.  GJ also works, but sometimes DD can get a bit hairy...

EA Studio is the magic sauce since it allows us to create new portfolio EAs at the press of a button.  Even if a portfolio EA could survive a few days I still substitute with a new one every day starting a few hours prior to London Open.  And if there are Open trades then I set Max Open Trades to '0' for the decaying EAs and let those close gracefully.  I also use broker data because it is more up-to-date.  Premium Data lags behind by about 4 hours -- and because my data horizon is so short then every hour counts...

One last point -- I only provided very crude instructions -- i.e. CJ / M15 / 300 bars.  There are many other configuration settings in EA Studio where we probably differ.  Yet, you still saw decent results.  That is an indication this approach is robust and doesn't necessarily rely on fine tuning...


How do you "set Max Open Trades to '0'"?

Re: Definition of insanity...looking for some guidance

This doesn't exist for single EA Studio EAs, they don't have this option and that's what he was referring to.

Re: Definition of insanity...looking for some guidance

geektrader wrote:

This doesn't exist for single EA Studio EAs, they don't have this option and that's what he was referring to.

So if I purchase a license then I will have this option with the Portfolio EA's, correct?

Re: Definition of insanity...looking for some guidance

Yes.
You're not trialing? In trial version you should have full functionality also, gives you an idea how it works.

GPyles wrote:
geektrader wrote:

This doesn't exist for single EA Studio EAs, they don't have this option and that's what he was referring to.

So if I purchase a license then I will have this option with the Portfolio EA's, correct?

Re: Definition of insanity...looking for some guidance

footon wrote:

Yes.
You're not trialing? In trial version you should have full functionality also, gives you an idea how it works.

GPyles wrote:
geektrader wrote:

This doesn't exist for single EA Studio EAs, they don't have this option and that's what he was referring to.

So if I purchase a license then I will have this option with the Portfolio EA's, correct?

  Yes I am using the trail version.  In the trail I cannot export Portfolio EA's.  I am assuming that the option only exists in the Portfolio EA and not in the individual Ea's...

Re: Definition of insanity...looking for some guidance

My bad, no exporting function in trial mode.

Yes, the max open position feature is an input for portfolio EAs.

137 (edited by jgang 2023-05-01 17:26:15)

Re: Definition of insanity...looking for some guidance

The comment I posted above, I only used it for a few weeks. What I currently use to determine if a system is currently functioning is to generate it "In sample" with an end date of X in the Data section. In other words, I create the system with past data, once I have enough EAs loaded, I remove the end date and click Recalculate. Now I truly know how it behaves in reality without the IS and OOS of EA Studio.

I don't use as few days as what is being looked for here, although I would love to have a combination that gives good results. But that's my way of eliminating 95% of systems that don't fit well in the new market.

That's how I win, if someone wants to share something even in private.

138 (edited by geektrader 2023-05-02 17:08:33)

Re: Definition of insanity...looking for some guidance

As a long term quantitative trader (doing this since 2008), I follow a rigorous methodology to ensure that my trading strategies are based on robust data analysis. Specifically, I utilize a vast dataset spanning from 1987 to 2017, with a limiting end date as yourself. Subsequently, I retest the resulting strategies on a more recent dataset from 2017 to present. Upon passing stringent stability tests and meeting my performance metrics, I promptly deploy the model into the live trading environment. I have found that this approach is most effective for obtaining consistently favorable outcomes. Conversely, I have found that attempting to use short timeframes such as days, weeks, months, or even ten years of data does not yield any satisfactory results, it´s just almost always randomness with short datasets and you simply can´t tell if there is a real edge with such short horizons. Only by incorporating my comprehensive Forex dataset spanning back to 1987 am I able to achieve the stability and profitability.

https://forexsb.com/forum/misc.php?action=pun_attachment&item=4922&download=0

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139 (edited by jgang 2023-05-06 15:41:00)

Re: Definition of insanity...looking for some guidance

First of all, I would like to congratulate you on your admirable results, great work both by yourself and EA Studio. I would bet that, with your method, you will achieve good results in the medium and long term. My systems and the way I manage them are completely different. I use a much smaller sample (7500 4-hour bars) and one year of out-of-sample testing. I BELIEVE this yields systems with better or the same results in less time, but at the same time, they are less robust, and for that, you need to have a well-diversified portfolio and remove those that decrease their results and replace them. As I mentioned, in my opinion, my way of trading is stressful because one of my systems can last much less than one of yours, or at least I believe so. Undoubtedly, if I had the capital, I would use your method because I would live a more peaceful life. As with everything in life, there are a thousand ways to do the same thing, and sharing is how we grow.

I want to emphasize that I am very surprised by your results. I wouldn't have believed that using such a large sample would yield those results. As always, our beliefs limit us.

the track record that it has achieved in the past few months following this method:
https://ibb.co/NxDHXTx

Re: Definition of insanity...looking for some guidance

Congratulations on your remarkable results! I am curious to know how your portfolio performed during the months of March, April, and May (up until now).

I'm delighted to hear that your method is yielding positive outcomes for you as well. My approach, which I find to be rather stress-free, involves running the generator continuously, reviewing its findings approximately every two weeks, subjecting it to rigorous stress tests, conducting six years of out-of-sample testing, and only implementing it live once it successfully passes all evaluations. It's a straightforward process.

Based on my research, I have observed that the longer the data horizon utilized, the less susceptible the systems are to curve fitting. This is primarily due to the difficulty of fitting such vast datasets through random chance alone, thereby enabling the models to generalize across various market conditions. Consequently, this enhances their chances of survival in the future.

I'm eagerly looking forward to witnessing your progress as well. Wishing you the best of luck!

141

Re: Definition of insanity...looking for some guidance

Thank you very much for everything, I'm glad to discuss this with interesting people and share. I closed that account to take the systems to real and they have more or less the same results. It's also worth admitting that in January I entered into a trade on the DAX that yielded a very good profit. I've noticed that indices provide better and more consistent results.

My portfolio usually has around 8-12 advisors. Since March, I have eliminated 6 of them and replaced them with others. Let's say my "trick" is to have advisors who are winning or not in a drawdown every month. That's why I'm confident that in the future, I will use more historical data so that I don't have to be so vigilant and avoid trading based solely on system performance.

I completely agree with you about the importance of data. In truth, from this post, I have learned a lot about data, overfitting, and other related concepts. However, I got confused in the beginning when I read here that to avoid overfitting, one should use 200 bars. I don't think anyone achieved consistent results with such a small dataset, right? I believe a system with battle scars is more stable than one without. When I saw your message the other day and noticed that you were using data since '87, I became curious. Although I don't have that much data, I started experimenting with more extensive datasets than I usually use, and I was surprised by the results. I think I'll be testing it in the coming weeks. Additionally, I was surprised, or perhaps I didn't understand correctly, that you have the generator running constantly. Does that mean you have a VPS with EA Studio?

Thank you, and I apologize if something is not understood well. I am translating through ChatGPT.

142 (edited by poteree 2024-03-10 16:17:23)

Re: Definition of insanity...looking for some guidance

Good afternoon everyone,
found this interesting topic in testing on just 300 bars.

Before reading it all, I started generated with EA Studio for EURAUD based on the The5ers prop account data.

Had no success after a couple of portfolio, for where I need to close trades manually and got huge drawdown the first day already.

I then saw some posts talking about CADJPY and GBPJPY, @sleytus and @timelleston are still they your best pairs now?

At march 2024, how much bars are you using for generating?

Would love to know your updates and overall result.

My current approach for data used and strategies selection (to put them in the portofio):
500 Bars
No OOS
Small optimization only on SL/TP (+-10)
Not always: Preset indicators: 3 bars rising (BB) + MACD live above signal line (both for trade with the trend)
M15
WinLoss ratio 1.0
Minimum trades 10
SL 10-30 pips
TP 5-30 pips
Drawdown: max 10usd (testing 0.1Lts with 5k)

Do you keep 2 correlated strategies in the portfolio or do you remove them? And how (trend, similar rules, both)?

Please share any feedbacks and updates you feel!
Thanks