Topic: Separating a Strategy into Long Trades Strat and Short Trades Strat

Here we have a simple strategy on M30. If you scrutinize the chart, you can see that long entries are not adding so much to the balance / equity curve, and especially in the beginning of the period. But on the long run the balance / equity chart shows positive result.

Observe also two parameters:
Ambiguous bars = 1409
Executed orders= 20153.

http://s30.postimg.org/gpf4kgn6l/Both.jpg

So if I will separate trades in this Both Directions Strategy in two strategies – Only Long Trades Strategy and Only Short Trades Strategy, you should expect that each of separated strategies will be a mirror of its corresponding cousin in Both Directions Strategy.

Let us employ Long or Short Indicator to filter out trade direction.

Long trades only:
http://s14.postimg.org/6c0hjm1n1/Long.jpg
Ambiguous bars=105
Executed orders=9207

Short trades only:
http://s28.postimg.org/66hc3bys9/Short.jpg
Ambiguous bars=72
Executed trades=10087


Summing of values in short and long versions gives:
Ambiguous bars=105 + 72 = 177
Executed orders= 9207 +10087 = 19294

So amount of Executed order adds to similar value: Long Orders (9207) + Short Orders (10087) = 19294 when Executed orders for Both Direction are 20153.

But amount of ambiguous bars is very different in original chart (1409) and sum of separated charts (177). Why is that?

And the Balance / Equity is totally different. The Short winning curve on Both Directions chart is completely different from its loosing cousin on separated chart. Same for the Long curve.

So I am missing something here in understanding of the inner working process of FSB?

Leon

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

When you don't let some trades to open, long trades in your example, you are most likely to have signals which were buried under long trades. For example, if there was a long trade opened, no short trades were triggered. Now you have those trades opened and overall dynamic is changed as well, meaning the short trades you have might not correspond to previous trades when both directions were allowed.

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

Footon is right. If you compare the short trade of the first strategy and the short trade if the "short only" strategy you may see that the trades are different. The execution is not the same by two reasons:
- some long trades may disturb eventual short entries and vice versa.
- "Reduce" rule will not work in "one direction only" strategies.

...

Leon, you have a great example of an over-optimized strategy.
I bet the pessimistic method is not the worst one in that case. Can you post a Comparator screenshot? I assume it will look like a peacock's tail.

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

Yes, it is a peacock’s tail! And your explanations are logical. Especially information about “reduce” rule is valuable (and, of course, obvious – why I didn’t thought about it!).

But what about the difference in amount of ambiguous bars? Shouldn’t the sum of both unidirectional strategies’ ambiguous bars be equal to the amount of ambiguous bars in two-directional strategy?

Or, I am once again not seeing some obvious fact?

Leon

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

You have two separate strategies with non-matching trades, care to explain the logic behind having the same number of ambig. bars?

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

Your short and strong response helps me to see the light. I had an erroneous view that if will cut the original strategy in two I will get two strategies (one for long trades, and one for short) which could be “mentally” glued together. But cutting this primary strategy in two changes the Forex landscape totally and the situation cannot be viewed in this way.

Mind obstruction on my side.

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

No problems, sorry if I sound strong, I'm not shouting or anything. I try to keep the contents high with less words, seems more constructive.

You can achieve two-side strategy if it closes at bar closing or it reverses at opposite signal. Essentially every signal has to be used in the original strategy, then if you separate it to long and short strategies, you have mirrored sides.

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

You may find that the ambiguous bars are distorting results.

I use 10 in the control panel as the maximum.

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

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

@Leon: Only when seperating long and short you have also the possibility of running a long and a short trade at the same time. This opens completely different strategie possibilities. See a clear example (from Topic: Long and Short independent at the same time) attached.

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Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

Interesting but odd...Bru1, can you explain more about this strategy?

Hannah

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

@ hannahis
The idea is simple and based on following main hypothesis:
- no one knows which direction the next move will be, but it will fluctuate up and down
- all indicators are based on the past and cannot predict the future for sure
- often a trend in one direction starts only after going first in the opposite direction
- looking at any point of the chart you will often find a long as well as a short target which can be reached, but not at the same time.
- Clever entry points for long and short are independent from each other and the trades may run completely different time span.
So the idea is to independently trade both directions.

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

Hi Bru1,

Thanks for your explanation.  I think it has a lot to do with the types of indicator and parameters being used.

Cos from my own perspective, my EA is not suppose to go into different position independently. 

For eg. if I set MA14 cross MA20, I don't think I would likely to get two different position by separating my EA into Long and Sell strategies only.

Unless, I deliberately didn't "programme" my EA to eliminate side way trending or "false signal". 

I tried to make my EA with high entry/exit accuracy and hence in order to achieve it, entering in "mixed signal trending" period is something I'm avoiding in my EA.  Thus, my mindset is fixed on this perspective of mine. 

Hearing from your sharing, I was puzzled and wonder what's the rationale for doing it.  Interesting concept.  Maybe I'll try that out in a scalper mode EA and see how your concept works out in real trading...there again, it is very subjective cos it depends on what parameters a person use.

Thanks once again for your "enlightenment"

Hannah

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

Hello Bru1,

It is very interesting idea to separate the long and the short trades. The main reason for that is that the trades in the one direction will not prevent opening in the other direction.

I think that we can develop two symmetrical strategies - one for long trades and one for short trades. The only difference between them to be the direction of the "Long or Short" indicator.

This is what we can do:
- set "Long and Short" indicator in the Editor page for "Open long positions only".
- lock "Long and Short" in the Generator and generate
- return to the Editor and switch to "Open short positions only"

Our goal is to find a strategy that works in both direction. A side benefit from such approach is a reduced danger of overptimization because we search a "long" strategy and confirm the results with a "short" one without any manipulations.

I tried that for 2 minutes and found one example. It is not perfect, but shows that there are chances.

Attached images for long only, short only, and combined trades.

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Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

Yes, this is how I seperate it.
At the moment I am only testing on indizes (mainly DAX), I do not know if it can make any sense on forex
- Running long and short independently does not mean they have to start at the same time (@ Hannahis).
They may start and end at different times (see e1.jpg at #9)
- "long" may need different indicators than "short" to find the optimal entry.
- "long strategy" will have different optimal parameters than a "short strategy" (e.g. the SL or TR) because often they have different "rate of change" and geneally different behavior.
- Seperation gives more possibilities for optimisation
Like some people say:
"The bull climbs up the stairs slowly, the bear jumps out of the window"   ;-)

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

Bru, indexes are different than the fx rates.
For an index we have a product with price. We have clear separation between bears and bulls. It is especially true for the commodity market.

On the other hand, the fx symbols are symmetrical. We don't have bulls and bears because  a bull for the base currency is a bear for the underling currency. We don't have a "side".
I think a fx strategy must be absolutely symmetrical.

Re: Separating a Strategy into Long Trades Strat and Short Trades Strat

Thank you for the information, I did not look at it this way yet.