Topic: Multi market validation

I wanted to share other peoples Experian es with using multi market validations.

I currently am generating strategies that have less than 10% drawdown (sometimes as low as 2%) with 20% OOS data over 16 years M30 (190xxx) bars with 7 squared over 80. With no SL or TP

These are straight out of the generator with no optimisation what so ever and pass 4 multi markets from a possible 24.

The issue I’m having is I cannot get any strategies generated that have more than 4 markets with an r squared of over 75. The markets are all forex markets and all built on majors and related over the big 6-7 currencies.

I’m just wondering other peoples experiences?

2 (edited by GD 2019-03-26 02:59:11)

Re: Multi market validation

I do not use multimarkets as I cannot use different brokers with EA studio, as I do with FSB pro. FSB pro does not use R squared. For me Multimarket I cannot use.

3 (edited by ats118765 2019-03-26 13:09:20)

Re: Multi market validation

Michael1 wrote:

I wanted to share other peoples Experian es with using multi market validations.

I currently am generating strategies that have less than 10% drawdown (sometimes as low as 2%) with 20% OOS data over 16 years M30 (190xxx) bars with 7 squared over 80. With no SL or TP

These are straight out of the generator with no optimisation what so ever and pass 4 multi markets from a possible 24.

The issue I’m having is I cannot get any strategies generated that have more than 4 markets with an r squared of over 75. The markets are all forex markets and all built on majors and related over the big 6-7 currencies.

I’m just wondering other peoples experiences?

I hear you Michael. I love EA Studio but this is one of the limitations that really holds me back.

At the moment EA studio only offers fixed size position sizing and stops and profit targets defined in pips in the reactor and generator 'strategy properties setting'. What this means is that if you want to test the strategy across multi-markets, you can therefore only test the efficacy of the strategy across those markets that possess very similar volatility profiles.

For example, it is illogical to test EURUSD against any JPY pair or against any metal as the relative pips in terms of standard volatility are wildly different. You therefore need to select the nearest equivalent market/s in terms of possessing a similar ATR expressed in pips assuming the same fixed position sizing such as GBPUSD for example,

If we had different position size options such as % of trade equity or fixed $ risk allocation using ATR per trade for position sizing calculation,  stop/profit target placement  then we would have a standardised method that would apply across the entire range of multi-markets on offer.

Having this feature then truly would give EA studio a leg up as a multimarket strategy data-mining solution from which you could create very robust portfolios. Until this day comes, we are stuck with the current limitations so you need to do a bit of homework in assessing what instruments have a similar ATR to select for multi-market purposes.

I do have a fairly unique workflow process however that is suited to datamining 'divergent' strategies as opposed to 'convergent' techniques that require a different process with more emphasis based on strategy design than in statistical treatment and optimisation. As a result I place more emphasis on diversification than Popov and the majority of users on this forum and hence are looking for common strategies that work across a very large data set (or multimarkets). I can therefore accept that this 'wish list item' is perhaps not so much of a priority for the masses.

Cheers

Rich B

Diversification and risk-weighted returns is what this game is about