Re: Ross Hook

Simply put, the data is responsible for the results and measurements. crap data will give crap results and robots generated from crap data are not worth any consideration whatsoever.

I suggest that rather than barking up the tree that FST is giving bad results that you spend more time to understand how the results are generated by examining each indicator on the chart and understand why an entry is triggered.

If you do not have clean data you are wasting your time.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

27

Re: Ross Hook

here's a recent generated strategy with max number of opening conditions reset to 2; no other changes made.  Sharpe ratio for this strategy is= 1.76,  nice, eh.



Strategy name: Generated
Forex Strategy Builder v2.98.3.0 RC
Exported on: 6/15/2013 1:19:53 PM

Description:
(This description might be outdated!)

Automatically generated on 6/14/2013 7:08 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 51885.40 USD (8/29/2012 4:00 AM  Bar: 2591)

-----------
Modified by the strategy generator on 6/14/2013 7:45 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 52680.10 USD (8/29/2012 10:00 PM  Bar: 10316)

-----------
Modified by the strategy generator on 6/14/2013 8:35 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 55632.10 USD (8/29/2012 10:00 PM  Bar: 10316)

-----------
Modified by the strategy generator on 6/14/2013 8:42 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 56038.80 USD (8/29/2012 9:00 PM  Bar: 10317)

-----------
Modified by the strategy generator on 6/14/2013 9:07 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 50626.10 USD (11/21/2012 3:30 AM  Bar: 13999)

-----------
Modified by the strategy generator on 6/14/2013 9:16 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 51787.60 USD (11/21/2012 3:30 AM  Bar: 13999)

-----------
Modified by the strategy generator on 6/14/2013 9:21 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 51787.60 USD (11/21/2012 3:30 AM  Bar: 13999)

-----------
Modified by the strategy generator on 6/14/2013 9:35 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 59218.20 USD (8/29/2012 4:00 AM  Bar: 2591)

-----------
Modified by the strategy generator on 6/15/2013 11:47 AM.

-----------
Modified by the strategy generator on 6/15/2013 11:48 AM.

-----------
Modified by the strategy generator on 6/15/2013 12:08 PM.

-----------
Modified by the strategy generator on 6/15/2013 1:18 PM.

Market: GBPUSD 4 Hours
Spread in points: 20.00
Swap Long in Points: 2.00
Swap Short in Points: -2.00
Commission per lot at opening and closing in Points: 0.00
Slippage in points: 0

Maximum open lots: 1.00
Entry lots: 0.10
Adding lots: 0.10

Intrabar scanning: Accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 1
Tested bars: 18581
Balance: 3213 points (53212.70 USD)
Minimum account: 0 points (50000.00 USD)
Maximum drawdown: 43 points (43.00 USD)
Time in position: 4 %

[Strategy Properties]
     A same direction signal - Adds to the position
     An opposite direction signal - Does nothing
     Permanent Stop Loss - None
     Permanent Take Profit - None
     Break Even - None

[Opening Point of the Position]
     Ross Hook
     Enter long at an Up Ross hook

[Opening Logic Condition]
     Envelopes
     The position opens above Upper Band
     Smoothing method  -  Weighted
     Base price  -  Typical
     MA period  -  182
     Deviation %  -  3.00
     Use previous bar value  -  Yes

[Closing Point of the Position]
     Take Profit
     Exit at the Take Profit level
     Take Profit  -  286

Winning trades 108, losers = 1

Re: Ross Hook

I put on the latest find from Nashville and looked into the strat from post 19.

Data of 500 bars or so from alpari.

Excluded Day of Month, cause otherwise there's only 2 trades.

Looks like this:

http://s22.postimg.org/b7qy04h4d/image.jpg

I'll generate the living day light out of it later, but this holy grail seems to be extremely well curve-fitted. Even more so when it makes so few trades. FSB is set up to generate more profitable strats (current profit needs to be bigger when previous if custom sorting is not used), and of course it throws out many indis from this very strat as they clearly pose a limitation due to their curve-fitting nature. At this moment everything is as it's supposed to be.

29

Re: Ross Hook

continued generations of same RH-TP 'linked' strategy. 18700 test bars, 57 wins - no losses, Sharpe ratio = 5.82, beautiful monotonic increasing Balance/equity curve, no evidence obvious of the Phantom
Fudge Factor at work.

Strategy name: Generated
Forex Strategy Builder v2.98.3.0 RC
Exported on: 6/15/2013 2:20:28 PM

Description:
(This description might be outdated!)

Automatically generated on 6/14/2013 7:08 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 51885.40 USD (8/29/2012 4:00 AM  Bar: 2591)

-----------
Modified by the strategy generator on 6/14/2013 7:45 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 52680.10 USD (8/29/2012 10:00 PM  Bar: 10316)

-----------
Modified by the strategy generator on 6/14/2013 8:35 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 55632.10 USD (8/29/2012 10:00 PM  Bar: 10316)

-----------
Modified by the strategy generator on 6/14/2013 8:42 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 56038.80 USD (8/29/2012 9:00 PM  Bar: 10317)

-----------
Modified by the strategy generator on 6/14/2013 9:07 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 50626.10 USD (11/21/2012 3:30 AM  Bar: 13999)

-----------
Modified by the strategy generator on 6/14/2013 9:16 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 51787.60 USD (11/21/2012 3:30 AM  Bar: 13999)

-----------
Modified by the strategy generator on 6/14/2013 9:21 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 51787.60 USD (11/21/2012 3:30 AM  Bar: 13999)

-----------
Modified by the strategy generator on 6/14/2013 9:35 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 59218.20 USD (8/29/2012 4:00 AM  Bar: 2591)

-----------
Modified by the strategy generator on 6/15/2013 11:47 AM.

-----------
Modified by the strategy generator on 6/15/2013 11:48 AM.

-----------
Modified by the strategy generator on 6/15/2013 12:08 PM.

-----------
Modified by the strategy generator on 6/15/2013 1:18 PM.

-----------
Modified by the strategy generator on 6/15/2013 2:19 PM.

Market: GBPUSD 4 Hours
Spread in points: 20.00
Swap Long in Points: 2.00
Swap Short in Points: -2.00
Commission per lot at opening and closing in Points: 0.00
Slippage in points: 0

Maximum open lots: 1.00
Entry lots: 0.10
Adding lots: 0.10

Intrabar scanning: Accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 18710
Balance: 7556 points (57555.80 USD)
Minimum account: 0 points (50000.00 USD)
Maximum drawdown: 0 points (0.00 USD)
Time in position: 19 %

[Strategy Properties]
     A same direction signal - Adds to a winning position
     An opposite direction signal - Does nothing
     Permanent Stop Loss - None
     Permanent Take Profit - None
     Break Even - None

[Opening Point of the Position]
     Ross Hook
     Enter long at an Up Ross hook

[Opening Logic Condition]
     Detrended Oscillator
     The Detrended Oscillator crosses the zero line upward
     Smoothing method MA1  -  Simple
     Smoothing method MA2  -  Weighted
     Base price  -  Close
     Period MA1  -  10
     Period MA2  -  45
     Use previous bar value  -  Yes

[Closing Point of the Position]
     Take Profit
     Exit at the Take Profit level
     Take Profit  -  1347

Re: Ross Hook

jgp wrote:

the generator changes my NothingNone settings to whatever; I don't.   and I always have my minimum Sharpe setting= 0.2, always.

Where is the setting to set a minimum sharpe ratio? I've turned on additional statistics under the Testing menu item.

Re: Ross Hook

themaxx wrote:
jgp wrote:

the generator changes my NothingNone settings to whatever; I don't.   and I always have my minimum Sharpe setting= 0.2, always.

Where is the setting to set a minimum sharpe ratio? I've turned on additional statistics under the Testing menu item.

Open 'Criteria' on the Generator screen and u will see Sharpe Ratio at the bottom.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Ross Hook

and I always have my minimum Sharpe setting= 0.2, always.


That line explains why you are having trouble. You will need to to some serious study about mechanical trading before you will enjoy success.

Merely firing up the generator will not make the good things happen, this stuff takes study and research.

There is no sense to starting to generate a strategy without setting good parameters.

Hopefully you will start to see the light, there are discussion threads in this forum that cover many items that are relevant.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Ross Hook

Blaiserboy wrote:

Open 'Criteria' on the Generator screen and u will see Sharpe Ratio at the bottom.

I can't see 'Criteria' on my generator screen? I've searched through the wiki too?!?

Post's attachments

generator.png 36.66 kb, file has never been downloaded. 

You don't have the permssions to download the attachments of this post.

Re: Ross Hook

Can I suggest that you download a newer version

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Ross Hook

Blaiserboy wrote:

Can I suggest that you download a newer version

I'm on the latest version 2.76.0.0 - should I downgrade?

Re: Ross Hook

Did you see the RC version below the one you downloaded, get the most recent and keep looking at that page as it is being update often.



Forex Strategy Builder v2.98.3 RC

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

37

Re: Ross Hook

thanks, but that is the version I'm using on the Win8 Pc

Re: Ross Hook

Blaiserboy wrote:

Did you see the RC version below the one you downloaded, get the most recent and keep looking at that page as it is being update often.



Forex Strategy Builder v2.98.3 RC

Thank you so much. Yes, the RC gives me the "criteria" menu, and I can see many more options.  Looks like I can filter these options to give me a much more stable equity curve.

Last question Dave - when you filter strategies for sharpe ratio, what is the level you recommend? The default of 0.2 or something much higher as mentioned in some of your older posts?

39 (edited by jgp 2013-06-17 09:22:12)

Re: Ross Hook

There is no sense to starting to generate a strategy without setting good parameters.

Hopefully you will start to see the light, there are discussion threads in this forum that cover many items that are relevant

All my recent posts have had a common theme.  Master Popov says that there are no parameters to 'set' for the FSB quasi-RossHook.  Further, the Master Popov default Sharpe setting is 0.2  Yet something weird frequently happens when I use quasi-RossHook as the OpeningPoint of the Position and "link" it to a Closing Point of the Position, such TakeProfit or TrailingStopLimit.  FSBv2.98.3.0 RC proceeds to generate like crazy, generating dozens of strategies. the top ten having few or no losing trades and Sharpe ratios 10, 20 times the Popov default minimum of 0.2.  The QRH has no variable parameters.  So what generates all those wonderful strategies?  Windows8?

Re: Ross Hook

jgp wrote:

There is no sense to starting to generate a strategy without setting good parameters.

Hopefully you will start to see the light, there are discussion threads in this forum that cover many items that are relevant

All my recent posts have had a common theme.  Master Popov says that there are no parameters to 'set' for the FSB quasi-RossHook.  Further, the Master Popov default Sharpe setting is 0.2  Yet something weird frequently happens when I use quasi-RossHook as the OpeningPoint of the Position and "link" it to a Closing Point of the Position, such TakeProfit or TrailingStopLimit.  FSBv2.98.3.0 RC proceeds to generate like crazy, generating dozens of strategies. the top ten having few or no losing trades and Sharpe ratios 10, 20 times the Popov default minimum of 0.2.  The QRH has no variable parameters.  So what generates all those wonderful strategies?  Windows8?

Maybe it is gremlins from northeaster Pluto.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

41

Re: Ross Hook

Perhaps, but what if the FSB gremlins don't restrict their activities to generating wonderful strategies and Sharpe ratios via the no-parameter Ross-Hook indicator?

Re: Ross Hook

Hi,

I tested jgp's last generated strategy on "my" FSB data, GU H4 from AlpariNZ.
Simply creating the strat' "by hand" from scratch from jgp's posted strategy description.
I adjusted the number of bars to match jgp (in Data Horizon : 18766, to match the 18710 "tested bars", although my GU H4 data can go back to 21071 tested bars)

Attached is a screenshot of what i get...

(too bad that we cannot upload images directly into the forum, i mean hosted by the forum, this would be a very nice addition to the forum!)

This DOES look too good to be true indeed...

Would something be wrong with how rosshook is being handled by the baktester ?

Sq

Post's attachments

jgp-rosshook-detrended-GU-H4-screenshot.png 50.74 kb, 1 downloads since 2013-06-17 

You don't have the permssions to download the attachments of this post.

43

Re: Ross Hook

Enjoy

Strategy name: Generated
Forex Strategy Builder v2.98.3.0 RC
Exported on: 6/17/2013 11:56:05 AM

Description:
(This description might be outdated!)

Automatically generated on 6/15/2013 6:51 PM.
Out of sample testing, percent of OOS bars: 30%
Balance: 53071.80 USD (10/6/2009 8:00 AM  Bar: 13136)

-----------
Modified by the strategy generator on 6/17/2013 11:38 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 56055.10 USD (8/29/2012 4:00 AM  Bar: 2591)

-----------
Modified by the strategy generator on 6/17/2013 11:45 AM.
Out of sample testing, percent of OOS bars: 30%
Balance: 53307.60 USD (8/29/2012 4:00 AM  Bar: 2591)

Market: GBPUSD 4 Hours
Spread in points: 20.00
Swap Long in Points: 2.00
Swap Short in Points: -2.00
Commission per lot at opening and closing in Points: 0.00
Slippage in points: 0

Maximum open lots: 1.00
Entry lots: 0.10

Intrabar scanning: Accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 3697
Balance: 3104 points (53104.00 USD)
Minimum account: -669 points (49331.40 USD)
Maximum drawdown: 836 points (836.20 USD)
Time in position: 91 %

[Strategy Properties]
     A same direction signal - Does nothing
     An opposite direction signal - Does nothing
     Permanent Stop Loss - None
     Permanent Take Profit - None
     Break Even - None

[Opening Point of the Position]
     Ross Hook
     Enter long at an Up Ross hook

[Closing Point of the Position]
     Trailing Stop Limit
     Exit at Trailing Stop Loss or at a constant Take Profit level
     Trailing mode  -  Trails once a bar
     Initial Stop Loss  -  3260
     Take Profit  -  1932

Re: Ross Hook

Squalou wrote:

Hi,

I tested jgp's last generated strategy on "my" FSB data, GU H4 from AlpariNZ.
Simply creating the strat' "by hand" from scratch from jgp's posted strategy description.
I adjusted the number of bars to match jgp (in Data Horizon : 18766, to match the 18710 "tested bars", although my GU H4 data can go back to 21071 tested bars)

Attached is a screenshot of what i get...

(too bad that we cannot upload images directly into the forum, i mean hosted by the forum, this would be a very nice addition to the forum!)

This DOES look too good to be true indeed...

Would something be wrong with how rosshook is being handled by the baktester ?

Sq

I think you are showing a 50 per cent drawdown...... and with that kind of drawdown you can get all sorts of weird and wonderful numbers as well as going broke

An additional file you can post is the 'Overview' complete with additional statistics, that page gives some very interesting information.

You might consider setting drawdown to a number like 10 or even less in order to make your results more feasible. I have recently started to use 2 and 3 on my work in order to ensure good results.

You will see a tremendous reduction in the number of trades when using stricter criteria

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Ross Hook

The forum is hosted on a server that is costing the developer out of his pocket each month, so it is not easy to add a lot to the forum as it is growing with text rapidly.

Some people do donate cash once in a while but that does not nearly cover the costs.

Some people donate a bit of time periodically, and one or two people have donated considerable effort to upgrading the site and working out modifications to the software. Some modifications will not appear until the PRO version is released, and those have consumed a lot of volunteer time.

Other people have donated great efforts in developing indicators.

You will see that some people have spent a lot of time creating documentation pages in the wiki.

In any event, this is a community effort without a lot of cash being provided for the costs of maintaining the site.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

46

Re: Ross Hook

All the more reason to find and correct if possible what may be a serious bug in FSB before marketing FST-FSB Pro to the masses.

Re: Ross Hook

jgp wrote:

All the more reason to find and correct if possible what may be a serious bug in FSB before marketing FST-FSB Pro to the masses.

I invite you to review the code so that you , as the expert, can point out the specific errors.

The code is available for you to examine as it is open source.

Let's see what you can discover as a flaw and you can enlighten all of us.

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

Re: Ross Hook

Squalou wrote:

Hi,

I tested jgp's last generated strategy on "my" FSB data, GU H4 from AlpariNZ.
Simply creating the strat' "by hand" from scratch from jgp's posted strategy description.
I adjusted the number of bars to match jgp (in Data Horizon : 18766, to match the 18710 "tested bars", although my GU H4 data can go back to 21071 tested bars)

Attached is a screenshot of what i get...

(too bad that we cannot upload images directly into the forum, i mean hosted by the forum, this would be a very nice addition to the forum!)

This DOES look too good to be true indeed...

Would something be wrong with how rosshook is being handled by the baktester ?

Sq

To upload an image, you may find it convenient to use an image site and upload the url for the image. That is what others have done in the past

My 'secret' goal is to push EA Studio until I can net 3000 pips per day....

49 (edited by jgp 2013-06-17 20:22:33)

Re: Ross Hook

further generation of RossHook Opening  to "linked" TrilingStopLimit -  initially NothingNothingNoneNoneNone strategy changed by FSB to AddRevNoneNoneNone
77Wins 30Losses Sharpe ratio 0.32
Opening Logic Conditions selected and added by FSB

Market: GBPUSD 4 Hours
Spread in points: 20.00
Swap Long in Points: 2.00
Swap Short in Points: -2.00
Commission per lot at opening and closing in Points: 0.00
Slippage in points: 0

Maximum open lots: 1.00
Entry lots: 0.10
Adding lots: 0.10

Intrabar scanning: Accomplished
Interpolation method: Pessimistic scenario
Ambiguous bars: 0
Tested bars: 3679
Balance: 3392 points (53392.20 USD)
Minimum account: -22 points (49978.20 USD)
Maximum drawdown: 274 points (273.90 USD)
Time in position: 33 %

[Strategy Properties]
     A same direction signal - Adds to a winning position
     An opposite direction signal - Reverses the position
     Permanent Stop Loss - None
     Permanent Take Profit - None
     Break Even - None

[Opening Point of the Position]
     Ross Hook
     Enter long at an Up Ross hook

[Opening Logic Condition]
     Average True Range
     ATR falls
     Smoothing method  -  Smoothed
     Base price  -  Bar range
     Smoothing period  -  21
     Level [points]  -  184
     Use previous bar value  -  Yes

[Opening Logic Condition]
     Accumulation Distribution
     AD falls
     Use previous bar value  -  Yes

[Closing Point of the Position]
     Trailing Stop Limit
     Exit at Trailing Stop Loss or at a constant Take Profit level
     Trailing mode  -  Trails once a bar
     Initial Stop Loss  -  4091
     Take Profit  -  398

Re: Ross Hook

(too bad that we cannot upload images directly into the forum, i mean hosted by the forum, this would be a very nice addition to the forum!)
This DOES look too good to be true indeed...

I prefer postimg.org. The last right button on command toolbar above the post form..
http://s12.postimg.org/b3trzpe61/jgp_rosshook_detrended_GU_H4_screenshot.jpg