Topic: Vertical Date lines on Balance/Equity Chart

Mr Popov and all Forexonauts,

I will often use Balance/Equity Chart for rough valuation of a strategy.

1. Let say that broker’s demo data set contains 100 000 bars. I will cut of the first 25 thousand bars and the last 25 thousand bars with help of Data Horizon option, leaving 50 thousands bars in the middle of data set for Generator.

2. After the resulting collection is created, I will change the Data Horizon option to 100% of available data set (100000 bars), and I will check, on Balance/Equity Chart strategies in the collection visually; the good ones should (on the Balance /Equity graph) behave in similar way (rising in similar graphical form) in the beginning 25% and in the ending 25% of data set, as in the graph’s middle part of 50%. Those which behave very differently in first 25% and last 25%, suffer from curve fitting in the middle 50%.

Mr. Popov, is it possible to incorporate, into the Balance/Equity graph, two vertical date lines, movable left and right on my wish (drawn to right or left with help of mouse pointer?). Those lines should be market with date, and date markings should change accordingly when moved. Those two lines could (maybe) read automatically values from Data Horizon start date limit and end date limit, but this automatic solution is more problematic for obvious reasons.

To illustrate what I mean I took a screenshot of my monitor. Thicker vertical lines should be movable. Two lines in the middle show cut position for 25% +50% +25%

The graph illustrates also what I mean with bad/good behavior. As you can see on the graph, the curve linearity and behavior changes in the last 25% of the graph.

Of course it is not only criteria which should be used, but it seems to me that it is a good preliminary qualifier?

One of the reasons for my proposal here is to put my theory to your criticism.

Leon


http://s9.postimg.org/9godfgnff/Balance_Equity_Chart.jpg

2 (edited by pradeepgolfer 2016-02-25 03:14:52)

Re: Vertical Date lines on Balance/Equity Chart

LeonHerd wrote:

Mr Popov and all Forexonauts,

I will often use Balance/Equity Chart for rough valuation of a strategy.

1. Let say that broker’s demo data set contains 100 000 bars. I will cut of the first 25 thousand bars and the last 25 thousand bars with help of Data Horizon option, leaving 50 thousands bars in the middle of data set for Generator.

2. After the resulting collection is created, I will change the Data Horizon option to 100% of available data set (100000 bars), and I will check, on Balance/Equity Chart strategies in the collection visually; the good ones should (on the Balance /Equity graph) behave in similar way (rising in similar graphical form) in the beginning 25% and in the ending 25% of data set, as in the graph’s middle part of 50%. Those which behave very differently in first 25% and last 25%, suffer from curve fitting in the middle 50%.

Mr. Popov, is it possible to incorporate, into the Balance/Equity graph, two vertical date lines, movable left and right on my wish (drawn to right or left with help of mouse pointer?). Those lines should be market with date, and date markings should change accordingly when moved. Those two lines could (maybe) read automatically values from Data Horizon start date limit and end date limit, but this automatic solution is more problematic for obvious reasons.

To illustrate what I mean I took a screenshot of my monitor. Thicker vertical lines should be movable. Two lines in the middle show cut position for 25% +50% +25%

The graph illustrates also what I mean with bad/good behavior. As you can see on the graph, the curve linearity and behavior changes in the last 25% of the graph.

Of course it is not only criteria which should be used, but it seems to me that it is a good preliminary qualifier?

One of the reasons for my proposal here is to put my theory to your criticism.

Leon


http://s9.postimg.org/9godfgnff/Balance_Equity_Chart.jpg

your procedure is quite acceptable and widely followed as a  filter.

there is a default limit of 50000 bars:how to increase this limit.?

Re: Vertical Date lines on Balance/Equity Chart

Mr pradeepgolfer,

Each Data Feed (Data Set from a Broker you have downloaded) creates a separate description file. This file can be found in FSB directory, and the name of the file follows the name of the Broker. For example the name and the placing of FSB Demo Feed definition file is as follows: C:\Program Files\Forex Strategy Builder Pro\User Files\System\DataSource_FSB Demo data.json

If you can edit this file (with some simple editor, I use Total Commander’s Edit) you will find constant “MaximumBarsLimit = 50000”, almost at the end of the file. This value can be changed to a larger one. Also you have to close the FSB program first, before editing the file. On the next start FSB will load new MaximumBarsLimit value and will allow you to choose a large number of bars.

I have done this a few times, and it works. But it influences the working of FSB – large amount of bars means that FSB will work more slowly in producing new strategies.

Leon

Re: Vertical Date lines on Balance/Equity Chart

Leon, you mentioned....

After the resulting collection is created, I will change the Data Horizon option to 100% of available data set (100000 bars), and I will check, on Balance/Equity Chart strategies in the collection visually; the good ones should (on the Balance /Equity graph) behave in similar way (rising in similar graphical form) in the beginning 25% and in the ending 25% of data set, as in the graph’s middle part of 50%. Those which behave very differently in first 25% and last 25%, suffer from curve fitting in the middle 50%.


Can you post 2 pictures for comparison. One picture showing both tail ends of 25% behaving different (how different, is consider different ) and the 2nd picture, shows the acceptable curve

Hannah

Re: Vertical Date lines on Balance/Equity Chart

Hannahis,

I will post pictures a.s.a.p., but I have first to run to Central Station here to pick up my son arriving from Stockholm.

Thank you for your interest to help!

Leon

Re: Vertical Date lines on Balance/Equity Chart

Thanks Leon for helping me deepen my understanding, it's something new to me (although it may be common sense to others).  I see your strength in this area, if you were to be patient with me, I would like to learn more.  Kindly share more of these knowledge,  even if you think it's simple and common sense, let you said, sometimes we become so knowledgeable that we forgot how complicate it may seem for people like me 

Take your time, no hurry.  There is always time for learning, no rush.

Hannah

7 (edited by LeonHerd 2016-02-25 16:05:52)

Re: Vertical Date lines on Balance/Equity Chart

Hannahis,

First strategy developed with 50 percent of data set, 25 percent cut in the beginning and in the end of the set.

http://s16.postimg.org/t1gtrz8b5/50_percent_Balance_Equity_Chart.jpg

And this is the final result; same strategy with removed Data Horizon, e.g. with 100 percent of data set.


http://s22.postimg.org/jr1ocpz71/25_50_25_Balance_Equity_Chart.jpg

Please observe in the second picture, how differently the curve behaves in the beginning and in the end (before the red line and after the red line). Strategy was developed with strong curve fitting behavior which is shown clearly when whole of data set is used on the graph. Of course, there is a statistical possibility that those two 25 percent periods were different in market behavior from the 50 percent in the middle. But I prefer to discard such strategy as bad.

Those are my conclusions. Please put them under your scrutiny.

I will in the next post show a strategy with behavior which is consistent during all periods e.g. 25+50+25 percent.

Re: Vertical Date lines on Balance/Equity Chart

What Leon is doing is pre OOS and post OOS ,which is a very interesting approach.


|->      OOS         |         In Sample         |      OOS          | --> future
|   validation data  | testing / optimizing data |  validation data  | trading 

Re: Vertical Date lines on Balance/Equity Chart

Here comes the second example. It is an unrealistic scalping strategy. But it illustrate well what I want to show.

First graph, only middle part of data set used to develop the strategy (50 percent):

http://s11.postimg.org/xuisvy1e7/50_percent_Balance_Equity_Chart.jpg

And the second graph showing using all data set for same strategy (100 percent).


http://s22.postimg.org/rjqhz79f1/25_50_25_Balance_Equity_Chart.jpg

It is visible from the graphs that the Balance/Equity curve mostly behaves in similar way in all parts of the graph.

Leon

Re: Vertical Date lines on Balance/Equity Chart

Hi Leon,

I appreciate you showing me those pictures...I can understand better what you are trying to say in terms of what to really look out for.  Thanks for your insight and using this method to determine whether a strategy is over curve fitted and therefore, use it as a filtering process.  Do you have more to share, I'm beginning to enjoy such tutorials. Bit size, not too overwhelming and not too many jargon smile yet clear and concise.

Do you open up every EA generated/optimize and do your step 2?  And those with better "fitting" curves you keep?

I curious to know, for those shortlisted ones, how do they perform in the demo/live account.  Do update us, here with your finding, I'm eager to know, does this method of filtering help us narrow a predictive EA better, if yes, I wonder whether Popov has a faster method to allow us to do such filtering automatically without having to manually adjust each EA one by one.

As you mentioned before, here is step 1 and 2.

1. Let say that broker’s demo data set contains 100 000 bars. I will cut of the first 25 thousand bars and the last 25 thousand bars with help of Data Horizon option, leaving 50 thousands bars in the middle of data set for Generator.

2. After the resulting collection is created, I will change the Data Horizon option to 100% of available data set (100000 bars), and I will check, on Balance/Equity Chart strategies in the collection visually; the good ones should (on the Balance /Equity graph) behave in similar way (rising in similar graphical form) in the beginning 25% and in the ending 25% of data set, as in the graph’s middle part of 50%. Those which behave very differently in first 25% and last 25%, suffer from curve fitting in the middle 50%.

Hannah