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Posts: 10

1

Topic: Controlling Strategy 'Top 10' in Generator

I have been toying with the idea of ranking the strategies that are built in the generator by something other than NetBalance (as is currently the case).  The basic idea is to allow the selection of an order (in this case called the 'Rank Order') that would allow the Top 10 strategies to be ordered by the selected criteria, as in the example image:

http://s15.postimage.org/w5qztorg7/ranking_dropbox.jpg

In the example, I have added NetBalance (being the default and working exacly the same as the current version), and WinLossRatio.

I believe that there are still a number of areas that I would need to change to make this work fully (at present the Top 10 UI is ordered by NetProfit only) and I not even looked at the OOS logic, although the basic ranking and ordering logic appears to be working as expected (at least in my limited tests at this stage).

A couple of questions for the users out there:

Q. I believe that this will be a useful feature for my work, what do others think?

Q. Any ideas about what other calculations would be useful (other than NetBalance and WinLossRatio).

Q. I am not convinced that 'Ranking' is the right word ... any suggestions?

Regards

ab

Re: Controlling Strategy 'Top 10' in Generator

This feature would be a good addition! Other than NetBalance and WinLossRatio I would add Sharpe ratio, and OOS condition (up in OOS data). Ranking by drawdown might be an idea too.

Re: Controlling Strategy 'Top 10' in Generator

I'd like "Order by Fewest Consecutive Losses". I think this would lead to finding strategies that might lose a few win ratio points but have more stable profit generation week over week, or month over month.

Re: Controlling Strategy 'Top 10' in Generator

When "Top 10" was introduced it was a great addition.

I would love to see "smoothest equity curve" as a selecction. Sometimes good strategies drop out of the top 10 because they show less profit than a strategy with a nice smooth equity curve.

5

Re: Controlling Strategy 'Top 10' in Generator

I would love to see "smoothest equity curve" as a selecction. Sometimes good strategies drop out of the top 10 because they show less profit than a strategy with a nice smooth equity curve.

This is the main reason that I have been working on this concept, as I have found that the system with the highest profit rarely (if ever) would have the smoothest equity curve.

Re: Controlling Strategy 'Top 10' in Generator

Mr Popov did add "Filter non-linear balance pattern" under limitations to reject lumpy equity curves which helps.

Re: Controlling Strategy 'Top 10' in Generator

In order to make such reordering working FSB has to keep info for all strategies that have passed limitation tests. We can add ranking criteria, as shown on the screenshot, for all stats parameters.
The criteria have to be named "Top 10 rank order" since it will acts on Top 10 only.

8

Re: Controlling Strategy 'Top 10' in Generator

I was originally testing the idea of using a UI drop-box to allow for the selection of a criteria for generation of the Top 10, although after looking into this, I believe it would require a considerable amount of change, and would end up with a lot of duplicate code (one extra criteria added about 400+ lines in my tests).

My current line of testing (as this is something that I would really like to do) is to:
a. leave the generator as it is (ie. Top 10 based on NP)
b. add a checkbox option that would allow for saving of a multi-strategy file at the end of the generator run
c. add a dialog that would allow for the review of a multi-strategy file (possibly a grid that allows sorting by criteria or something)

My test code saves a result file and I hope to be able to do some work on a way to work with this file in the next week or so.

ab

9 (edited by Sam M. 2012-04-20 23:01:08)

Re: Controlling Strategy 'Top 10' in Generator

Was just browsing this section and came across this suggestion, just my two cents here-

Sounds like an excellent addition. Most striking to me would be the smooth equity curve and the consecutive losses calculations.

Could potentially save plenty of time otherwise spent cleaning and patching up decent strategies plagued by equity spikes/craters, and that's a nice thought.

Re: Controlling Strategy 'Top 10' in Generator

it could be good if the top 10 or top 100 list had all different combinations of indicators, not just different numbers for the same building blocks.
somehow the good strategies should be applicable to more time frames and currency pairs.

Ed M

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