1 (edited by Popov 2013-05-29 14:13:24)

Topic: Forex Strategy Builder v2.77 Beta

The main reason for this release is the fantastic contribution of Adam Burgess (ab).

The changes concerns Generator:
- Added generator autostart feature through command argument.
- Added ability to load a custom configuration file
- Added support for generator strategy Templates
- Added custom generator sorting and analytics
- Added new FSB_Launcher.
- Added more acceptance criteria (previous known as Limitations) to Generator and Optimizer
- Acceptance Criteria unified for Generator and Optimizer
- Added Generator benchmark
- Account Statistics shows Sharpe ratio


Download link: removed


http://i.imgur.com/KO3uczg.png

http://i.imgur.com/gm4Uebu.png

http://i.imgur.com/R1pdiOc.png

Re: Forex Strategy Builder v2.77 Beta

Breve hint: Custom Sorting works only if Additional Statistics option from  Testing menu is turned on.

Adam will provide additional info and help articles.

EDIT

Additional Statistics option is removed. It is always on. There is Show Red / Green balance lines option instead.

Re: Forex Strategy Builder v2.77 Beta

many thanks for pop and ab

Re: Forex Strategy Builder v2.77 Beta

Wow.... Thanks so much for that Sharpe Ratio!

These are great enhancements.!

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

Re: Forex Strategy Builder v2.77 Beta

Start testing

I used win/loss ratio  and the 3rd found strategy was ratio 1 and no new strategies added '' generator still running''

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Re: Forex Strategy Builder v2.77 Beta

Question : Why Custom Sorting works only if Additional Statistics option from  Testing menu is turned on ?

Re: Forex Strategy Builder v2.77 Beta

A generated strategy must satisfy first the conditions set under Limitations tab.
You have to set minimum number of trades in order to receive some meaningful strategy.

Re: Forex Strategy Builder v2.77 Beta

ahmedalhoseny wrote:

Question : Why Custom Sorting works only if Additional Statistics option from  Testing menu is turned on ?

Because it uses stats parameters that are calculated only if Additional Stats is on. One example is Sharpe Ratio.

A agree that this behavior is not  very comfortable.
For example FSB Pro calculate Additional Stats always and has options for showing Red / Green balance charts.

Re: Forex Strategy Builder v2.77 Beta

Why The conditions are Simple OR advanced  and not Simple AND advanced !!!!!!

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Re: Forex Strategy Builder v2.77 Beta

Continue: 
these are the conditions and limitations  of the same strategy

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Re: Forex Strategy Builder v2.77 Beta

Hmm!!
When using custom sorting, Generator looks only for the best value of the selected parameter.
It completely ignores Balance.

We need a limitation - Minimum profit or even better profit per day.

Re: Forex Strategy Builder v2.77 Beta

Popov wrote:

Hmm!!
When using custom sorting, Generator looks only for the best value of the selected parameter.
It completely ignores Balance.

We need a limitation - Minimum profit or even better profit per day.

Or make it like excel sorting : sort by simple then by advanced  , this will give us use advantages of strong and diversified options come with simple then make the makeup process using the advanced correlation smile 

is that logical

Re: Forex Strategy Builder v2.77 Beta

sort by simple then by advanced


This would work if we have equal values of the first parameters, but our case is not that.

Re: Forex Strategy Builder v2.77 Beta

What value are you using for the risk-free rate of return when calculating the Sharpe ratio? This is a very nebulas fiqure with forex since it depend on so many factors. Firstly, you get interest on the account, secondly, since you are trading on margin you may get charged interest if you trade a currency with a different interest rate, this also depends on your leverage and lot size.

Re: Forex Strategy Builder v2.77 Beta

Risk Free Value for Sharpe = 1.

SharpeRatio = (AverageHoldingPeriodReturn - 1) / StandardDeviation

AverageHoldingPeriodReturn = TotalHoldingPeriodReturn / TotalTrades

TotalHoldingPeriodReturn = Sum( 1 + ProfitLoss / InitialAccount )     <-- for all positions

Re: Forex Strategy Builder v2.77 Beta

I think we can use the Sharpe Ratio as a bench mark, a comparative as we develop history using the measure....  ie we can be assured that a reading of.19 is doomed to fail whereas .94 is pretty well excellent.... and then experience with the rating will tell us the real truth.

As with an oscillator, it is a calculated estimate and not the gold plated guaranty, another tool.

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

17

Re: Forex Strategy Builder v2.77 Beta

There are a number of issues with the implementation of the custom sorting options that I would be happy to go into detail in the developers forum if there is anyone out there that would like to improve on the way this has been implemented.

Sharpe Ratio uses the math that was already part of the 'Additional Statistics' calculations, as mentioned already.  I agree that a risk free interest rate should be included in the calculations (but there just isn't a practical way to build this into the application at the moment).

It will be possible to build your own custom sort criteria into an external C# file once this code is released fully, so if additional criteria was desired (such as building interest into the the sharpe ratio calculation) then this could be achieved fairly easily.

As for the 'Additional Statistics' issue, a possible solution is to enable it as soon as the generator is opened (ie. we could assume that by running the generator process, the use is interested in the additional stats).  Any ideas would be appreciated.

Unfortunately all the original code was built around balance, so I needed to make a lot of compromises to make all this work, and will try and cover some of these items in the documentation when it is releases also. 

Popov wrote:

... When using custom sorting, Generator looks only for the best value of the selected parameter. It completely ignores Balance.

Yes, this is an issue as we are looking for the highest (best) 'custom value' rather than the highest (best) 'balance'.

The issue of a line that slopes down should not occur when using most sort options, as a system with end balance < opening balance would normally have a 'custom value' of < 0, which would not be presented in the Top 10 list anyway.

The Correlation calculation is comparing the equity/balance curve with a straight line between the starting balance and ending balance (more in the doco when released), and if that line is heading south, then the math is just trying to find the best match to the line.

This issue could probably be resolved by a simple filter that checks to ensure that the ending balance > starting balance before calling the custom filter code.

ab

Re: Forex Strategy Builder v2.77 Beta

Most important to recognize that many users will not be able to use these stats without some sort of guideline as to their application.

Even some simplistic explanation and guide to benchmarks will be helpful......

Or else the features will not be fully used....

Maybe there is a reference that can be accessed for each , a web page or similar.

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

Re: Forex Strategy Builder v2.77 Beta

I started refactoring and fixing some issues. I hope to upload the final code to GitHub in several days.
After that we can discus remaining issues and improvement.

Now I'm rearranging FSB project. Additional stats provide access to the calculated values.

        public static double AnnualizedProfit { get; private set; }
        public static double AnnualizedProfitPercent { get; private set; }
        public static double AvrgHoldingPeriodRet { get; private set; }
        public static double GeomHoldingPeriodRet { get; private set; }
        public static double ProfitFactor { get; private set; }
        public static double SharpeRatio { get; private set; }

These params can be used in Limitations. I'll add some of them in next release.

Re: Forex Strategy Builder v2.77 Beta

FSB v2.77.1 Beta is available for testing. The download link is in the first post.

It has many internal changes but what you can see is:
- fixed a crash when click on Top10 slot and Custom Sorting is used.
- only strategies on a profit can be added to Top10.

Re: Forex Strategy Builder v2.77 Beta

i checked '' check for new beta versions ''  and now i have 2.77.0.0  and it didnot recognized the new beta

2.77.1 !!!!

Re: Forex Strategy Builder v2.77 Beta

FSB v2.77.2 Beta was released.

It comes with a new Launcher and splash screen.

Link is in the first post.

Re: Forex Strategy Builder v2.77 Beta

Popov wrote:

Breve hint: Custom Sorting works only if Additional Statistics option from  Testing menu is turned on.

the only way not to show all three curves is to select Long/Short indicator to be in the strategy

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Re: Forex Strategy Builder v2.77 Beta

FSB_v2.77.2b Crashed

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Re: Forex Strategy Builder v2.77 Beta

I got an error today also re unhandled exception......  I just deleted it and started again, no problem, could be that my machine was overloaded at the time


Sharpe Ratio.  wow. I really appreciate  that showing in Top 10, it opened my eyes a bit to my results.  Thanks for allowing that to appear...!!

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