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Posts: 12

1 (edited by mel8331 2014-06-28 23:23:48)

Topic: Parabolic Equity Curve

From the equity curve, I see most looks like the parabolic curve that gets flat in the current past, the best is equity curve that looks like a "straight line" I have never seen equity curve that looks somewhat like an exponential curve or even equity curve whose gradient that is steeper in the current past (end of curve) as compared to the distance pass (beginning)

This I believe is the way we "reward" the strategy generation process, most will come up with strategy that  is, had we start investing in the distance pass using this strategy we would had been this profitable now. They are coming up with "past" performance strategy, that's why they are no indication of the "future" performance.


We need strategy generation that give us a fighting chance ,to comes up with strategy that indicate we are profitable in the near past but were still profitable in the distance future and would have need the lowest capital in the past to arrive at this state.

Re: Parabolic Equity Curve

Are you setting the stop loss and take profit or are you generating those. You may find what you seek by pegging the stop loss and take profit at the start.

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

3 (edited by mel8331 2014-06-29 02:23:45)

Re: Parabolic Equity Curve

Blaiserboy wrote:

Are you setting the stop loss and take profit or are you generating those. You may find what you seek by pegging the stop loss and take profit at the start.

Thanks for the tip, but I it still flag strategy that were profitable in the past over that in the near past, if FSB Pro could give preference to selecting strategy that's profitable in the near past, strategy that's profitable in live demo could be found easier and more profitable strategy found easier.

Its a work around the current limitation but I believe it severely limit the possibility. If FSB Pro is configure to give more weight-age to near past profitability over that of the distance past, it might be the software that easily come up with strategy that is more likely to be profitable in live trading.

4 (edited by mel8331 2014-06-29 03:40:09)

Re: Parabolic Equity Curve

mel8331 wrote:

From the equity curve, I see most looks like the parabolic curve that gets flat in the current past, the best is equity curve that looks like a "straight line" I have never seen equity curve that looks somewhat like an exponential curve or even equity curve whose gradient that is steeper in the current past (end of curve) as compared to the distance pass (beginning)

This I believe is the way we "reward" the strategy generation process, most will come up with strategy that  is, had we start investing in the distance pass using this strategy we would had been this profitable now. They are coming up with "past" performance strategy, that's why they are no indication of the "future" performance.


We need strategy generation that give us a fighting chance ,to comes up with strategy that indicate we are profitable in the near past but were still profitable in the distance future and would have need the lowest capital in the past to arrive at this state.

One method I believe could make the FSB Pro give more weight to the performance of the current past is to artificially reverse the timeline (date) then instead of generating for profit, it should generate for maximum loss.

This strategy derived in such manner when use in the normal timeline (date) should emphasis higher profitability in the current past over that of the distance past.

As this strategy only require the software to "see" yesterday date as the time flow "forward" direction and the generator to search for maximum loss , it should be much easier to change the coding to see if it work.

Re: Parabolic Equity Curve

Blaiserboy wrote:

Are you setting the stop loss and take profit or are you generating those. You may find what you seek by pegging the stop loss and take profit at the start.

Thanks Blaiserboy for the tips.

Now I have a strategy with an "exponential" curve type equity curve.
I will test it in demo live to see if strategy with such equity is superior to strategy that generate has huge profit but most of the gain are in the distant past.

http://i60.tinypic.com/16lw60k.jpg

This can be a test case if FSB Pro should be configure to look out for strategy that reproduce this family of equity curve.

6 (edited by mel8331 2014-06-28 14:57:12)

Re: Parabolic Equity Curve

To illustrate the point above, the equity curve at the earlier time is steeper compare to the latter, hence the  current strategy generation and optimization give more weight-age to how profitable it was at the beginning of the trade period rather than the current performance.

Hence the software should be designed so that the current equity curve is steeper than in the past so that it will be more profitable when use in live demo or trade.

Re: Parabolic Equity Curve

mel8331 wrote:

A different way to access how profitable the strategy is.

Often a strategy was very profitable only to find that is not during the demo testing, this I think is the way we track strategy by using the normal way to track profit because it emphasis high  profitability in  the past trades, hence the current performance need not be even profitable because the past profit can cushioned the poor current performance.

We need to figure a mechanism to give emphasis to strategy that is doing very well in the near past while still profitable in the distant past for it to be "robust" in the future.

This is a concept as I still have not figure out how to assign a measurement so the mechanism that prefer better profitability in the current past over that of the distant pass, maybe we section the testing period over multiple section and measure the profit over each period and give higher weight to strategy that perform better in the current past  over that in the distant pass as big past profit allow for bad current performance and confirm it with the normal way profit is track.

May be one way is to assigned the profit for the last trade to be zero and the traded lot size to be say at 100 lot and calculate the equity in reverse order of the trades, what the capital would have to be at the first trade, the lower the capital the better the better the strategy ( for profitable strategy, the initial capital is suspected to be very negative figure).The effect of the distant past needs to be negated ie if the strategy call of addition of positions, in the reverse calculation it should do the reverse and calls for a reduction as we step backward in timeline. This will negate the effect of high profit in the pass to cover poor current performance.

This calculation is to be use for the strategy generation only, the normal way of profit calculation is to be used display after the optimization.

One of the changes coming is the opportunity to optimize two instruments together, that should improve robustness.

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

Re: Parabolic Equity Curve

I wonder if you can post the journal so we can have a look at the trades in distant past and compare them to the more current trades.

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

Re: Parabolic Equity Curve

Blaiserboy wrote:

I wonder if you can post the journal so we can have a look at the trades in distant past and compare them to the more current trades.

Please find attached the journal.

Re: Parabolic Equity Curve

I can see that you have added positions so that it is very difficult to know how your adviser is trading.

Sometimes it is best to optimize with only one constant lot until you have it right and then start to add positions.

It is most difficult to analyze with the additions.

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

11 (edited by mel8331 2014-07-02 00:21:14)

Re: Parabolic Equity Curve

Blaiserboy wrote:

I can see that you have added positions so that it is very difficult to know how your adviser is trading.

Sometimes it is best to optimize with only one constant lot until you have it right and then start to add positions.

It is most difficult to analyze with the additions.

OK, remove the addition but it required more capital, the equity curve for the recent past is steeper than that in the further past.

Re: Parabolic Equity Curve

Parabolic curves are typical when using Martingale money management. However such curves show mostly overoptimized strategy or in the best case - higher risk.

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