• Minch
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Topic: Optimising SL/TP in Validator

Hi,

I have 100 strategies which I would like to upload and optimise. I load these into the Validator. I also want to ensure that the SL/TP is optimised but I want to optimise these within a set range and have these in the collection if they pass the acceptance criteria.

All fine except the SL/TP within the range. The "full optimisation" option under Validator allows you to "optimise stop loss and take profit" but you cannot set the range. Likerwise, under optimiser settings, you can set the range for each individual strategy but not the whole collection that you have uploaded. Compare this to the Reactor where you can set the range under "Strategy Properties".

To solve this, I am setting the SL/TP range in Reactor then clicking into Validator, and this seems to be bringing through only strategies which are optimised within the range. However, there are exceptions so either this is total coincidence; the workaround is semi-successful or there is no option to do this.

This is a practical case since, imagine my 100 strats are from a live portfolio and I want to reoptimise them after a month but I want to decrease my risk - I will want to optimise these 100 on a lower SL (some will pass, some will not) and then know how many new strategies I need to find anew in the Reactor to have a portfolio of 100 again.

Can someone please kindly advise on this?
Thanks,
Matthew

  • Blaiserboy
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Re: Optimising SL/TP in Validator

When you start out with the initial 100,  can u save the collection so that you can work with individual strategies at another time?

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  • Minch
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Re: Optimising SL/TP in Validator

Yes I can do that, I do save my strategies, and I will need to re-optimise them every now and again - but I just dont see how to re-optimise them within a range (e.g I dont want any SL to be above 100) unless I do them individually - which means doing the same thing 100 times over.

The reason I am being picky about my SL here is because I want to be able to control the risk on each trade. If I have one strategies with a SL at 150pip and another at 34pips thats super it's optimised for the past curves, but it doesnt help me to stay within my 2% risk amount in the future.

I think the easiest way to deal with the challenge is simply to find new strategies every few months (or whenever they become unprofitable) which keeps them fresh, at least.

  • Popov
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Re: Optimising SL/TP in Validator

I think the easiest way to deal with the challenge is simply to find new strategies every few months (or whenever they become unprofitable) which keeps them fresh, at least.

This was exactly my idea when started FSB 19 years ago.

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  • Minch
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Re: Optimising SL/TP in Validator

smile

  • Blaiserboy
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Re: Optimising SL/TP in Validator

My approach has been to generate new and prune existing.  reason being I got confused trying to re optimize.

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  • Minch
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Re: Optimising SL/TP in Validator

Thanks, Blaiserboy - yes, I am going to create new strats. Pruning the old ones is possible but you cannot set the range to optimise between (e.g. optimise for the best result between 50 and 100 pips for the stop loss) ... Anyway, its all fine - with each new post, I learn something new about the approach and it's really educational to learn what the more experienced traders are doing, too.

PS - I see you are in Toronto - Ottawa, here.

  • Blaiserboy
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Re: Optimising SL/TP in Validator

You can lock the stop loss and optimize............. change to a new number and optimize again.

Use that optimizer as much as you can...... AND  ... keep a lot of notes in a binder.

I have a 4 inch ring binder filled with scraps of paper and notes, comes in handy once in a while.

I bet H has a great note keeping system as well

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  • Minch
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Re: Optimising SL/TP in Validator

Nice, thank you again. I already do the binder, it's useful to keep my settings and some results in there, which I am looking to move over to a more formal excel system once I have systematised the strategies a bit more. I think I probably spend more time testing than trading lol!

  • Blaiserboy
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Re: Optimising SL/TP in Validator

I have not been able to develop a suitable notebook format. so I just have a mess of notes.

I tried to think of a way to use excel, but there are so many variables that I gave up hahaha

The notebook is working ok, as long as the pages do not get too yellowed.....

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  • Minch
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Re: Optimising SL/TP in Validator

Old fashion pen+paper+brain is by far the best !