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Posts: 11

Topic: Reducing a steep / parabolic increase with strategies

Hi,

COVID has made markets choppy and it is more difficult to make robust strategies after April 2020. Many strategies have a steep increase or a parabolic increase in the charts. That is not good for robustness.

I have used r-square for data optimization to prevent this, but it still creates steep/parabolic increases in strategies.



What is the best way to reduce strategies with steep/parabolic increases?



Steep/parabolic increases in strategies examples are shown below:

https://i.snipboard.io/3u4nbx.jpg

Re: Reducing a steep / parabolic increase with strategies

First time I've heard someone say their equity curve is "too good".

I would ask you, are you filtering out other significant events? CHF floor break in 2015? JPY flash crash in Jan 2019? GFC?

If not, then why are you cherry picking a single event to exclude from your testing? Whether you like it or not the event happened, just as others have happened in the past, and will happen again the the future.

I believe you are doing the opposite by removing it. You are making your strategies LESS robust.

I say leave it in.

Re: Reducing a steep / parabolic increase with strategies

Luv it B. Spot on IMO :-)

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

Re: Reducing a steep / parabolic increase with strategies

Most possibly your EA is a break out system.
A parabolic curve will naturally emerge that is the idea.

If properly applied the EA will develop similar in real time. Improperly applied and it will not be a happy time.
The reason for these is that a break out EA customized for these reason is skewed  to one side and when the other side shows then the results will be negative, so it will be time to retire the EA form performing in real accounts.

So parabolic curves are natural for a particular EA fitted for breakouts , the EA will remain close to horizontal or not step curves  during other times.

5 (edited by montreal06 2020-08-29 05:04:51)

Re: Reducing a steep / parabolic increase with strategies

Burrup.Lambert,

I never said "the equity curve is too good". I never said "I am cherry picking". You must be smoking some good stuff in South America.


Please read carefully.


If you have been in the game for a while, you should know what a parabolic movement is whether forex or stocks. It means that winning trend will come to a complete halt, crash, or revert to the mean.


Parabolic movements or steep movements of strategies that passed robust tests of walk forward,monte carlo, and/or incubation will not perform well in the short term after incubation.


To be clear, all these strategies are created via the generator.

I just want to be able to create strategies that rise at a 45 degree angle (especially after a major current event such as COVID)

Does anyone have any suggestions?

Re: Reducing a steep / parabolic increase with strategies

Montreal06,

Once you test the EA with Monte Carlo since the EA is skewed the  result will not be favorable in the sense that statistically that EA is not strong enough or a real time application.

When an EA looks so good on a test scale it is usually not a great performer in the immediate future.

Please try it on a demo account and you will be able to have the experience  without losing money on a real account.

Re: Reducing a steep / parabolic increase with strategies

Maximus1,

I had mentioned I use incubation which is demo testing. Even after succesful demo testing and using a strategy with a  parabolic movement, it has a high failure right in the short term.

I have been creating EAs for 7 years, and I know that it is difficult to create strategies after a major current event or crash.

I just wanted to hear from people how they create statagies that are non-parabolic after a major event.

Re: Reducing a steep / parabolic increase with strategies

Montrealo6,

There are multiple ways to create basic EA's, unfortunately to create one that works is quite difficult but is possible.
The more variables and complexities are added to the EA’s the least it works I real life.
It is very easy to get lost in the creation of EA's but with 7 years of experience you should know that the basics of classical analysis applied to larger times frames should be the being of all development, for example daily and weekly analysis and from there develop tending or consolidation strategies.
If the markets are choppy, stochastics will be a better choice and small profit increments, but is the markets are trendier then RSI, and moving averages will be definitely best.

As you know there is no magical formula and usually as a rule of thumb:
1-    the shorter the times frames the more difficult the game and EA’s may not last for very long in a profitable
2-    Longer time frame EA’s will have the tendency to be more stable, bear in mind also larger drawdowns. Re-training and over re-training could be disastrous. After all the creation of the EA’s is a reflection of the trader’s mind and vision.
3-    Any time we develop a wonderful EA, we think that is so unique- and usually we considered it a secrect -  it es all BS  once it stat  losing money and we do not use another strategy fitted to the condidionts of the I moment (All those EA’s that are for sale for $150 to $ 5,000 USD are full of garbage, because they only wok during specific times and under specific circumstances, brining loses most of the time). If these EA’s where so good to make $50,000 dollars or more do you think they will sell then so easy? NO, - it is writing.
4-    In general traders are hesitant to share an EA that is making money OUT of greed, later they publish how great all was, at that time most probably that EA is obsolete.
Please follow some tutorials and basic EA’s creation rules.
I will be more than happy to collaborate with you or any other person in this matter via PM due to the amount of data and discussions that may be cumbersome if not tedious. At the end there are no secrets, but everybody sells them. The secret is NO SECRET : do your homework and stick to it.
Please follow these links and material that will allow you better how to apply concepts   to develop EA’s in FSB:
•    https://eaforexacademy.com/
•    https://www.youtube.com/channel/UC4qoTUO7k-VQuWA05b3jgVg
•    https://forexsb.com/forum/search/769948527/ (do a search on the actual forum EA: Testing EA’s)
•    All Mr. Popov videos are excellent and he uncovers in detail techniques for development of EA’s.
•    Do a back testing search in the forum it will provide  incredible ideas , there is a mathematical science about it , you may find the follow up videos that explain in detail the statistical challenges…https://forexsb.com/forum/search/769948527/
•    Read about the Battle of Traders contest in the forum it will give you an out of the box approach to develop or use EA’s on las reference for trading https://forexsb.com/forum/search/756819014/
•    Use traidingview.com to uncover trading opportunities using the FOREX screamer on a weekly basis. 80 to 90 % of the time if you find a change in the weekly tend the opportunity to be profitable is extremely high. These change in trends could last 3 to up to 20 weeks Here you do not really need a robot but common sense.
•    You also must discover the stringing and weaknesses of developing with FSB. With these I mean FSB is only a tool and an excellent one only to the extend on the user.
•    Annalise some of the repository EA’s, since they will provide some insight on the use of indicators and possible outcomes.
•    For analyzing data , and data mining you could use artificial intelligence programs such as WEKA, that will allow you to classify data and see the distributions statistical curves : https://www.cs.waikato.ac.nz/ml/weka/ , this program is free and powerful it contains top of the best predicting and classification  DATA algorithms in the world.
•    A group support will be a great idea follow: https://forexsb.com/forum/topic/8520/collective-intelligence-group-to-develop-better-eas/
I wish it will be simpler that that but is not.
If a group of traders could star sharing a repository of new ideas and developments openly, the group will benefit itself 10 times fold, BUT EVERY ONE THINKS IS A GENIUS AND HAVE THE SECRETS OF THE MARKETS – and with that mentality very little is achieved.

I have no secrets and if any one tell you so …. for sure you are been taking as a fool!

9 (edited by burrup.lambert 2020-08-30 17:04:54)

Re: Reducing a steep / parabolic increase with strategies

montreal06 wrote:

If you have been in the game for a while, you should know what a parabolic movement is whether forex or stocks. It means that winning trend will come to a complete halt, crash, or revert to the mean.

I only trade what the data and results tell me. I don't presume to know anything about the market or what it is going to do next.

montreal06 wrote:

I just want to be able to create strategies that rise at a 45 degree angle (especially after a major current event such as COVID)

Does anyone have any suggestions?

If only it was that easy to find a holy grail EA that moves from bottom left to top right...

You have my suggestion. Leave it in, instead attempt to curate a portfolio of uncorrelated return streams diversified over many markets. Your parabolic return stream won't have much impact by itself if you follow those guidelines.

10 (edited by montreal06 2020-08-31 06:06:40)

Re: Reducing a steep / parabolic increase with strategies

Thank you all.


Thanks burrup.lambert and maximus1 for the detailed answers.



The simple solution for avoiding it is to increase the number of entry and exits you want. Therefore, more strategies can be created which can be further filtered.

Recently, there was a new feature added which is below:

https://i.snipboard.io/QGbzau.jpg

Instead of making the following settings to make simple strategies

Max entry indicators: 2
Max exit indicators: 1

Increasing the numbers or even using the default settings for indicators creates more strategies that will not be parabolic. Therefore, I was able to Monte Carlo and OOS the strategies without seeing a parabolic movement on many strategies outputted by the generator.

Again, the generator did not prevent it, but it created a lot of non-parabolic strategies. Also, I had to change the collection limit to 300 from the settings, and filter out the ones I did not like using r-square filters and using my eye.

I have been using the EA Robot Factory for quite some time, and it has brought me happiness. It was more difficult to make robust strategies after May 2020 compared to months before that.

Thank you all again.

Re: Reducing a steep / parabolic increase with strategies

Montreal06,

I am glad you found ways to achieve your goals in the creation of EA’s
During the last 30 years I have seen experience traders loose it all in a few months or weeks, I my self have been there as well.

So is not bad to have always a group of committed individuals sometimes to refresh our ideas.
And that is one reason why I belong to this Forum, in which the only objective is to become a biter user and learn ways to use the FSB tool.

Your parabolic EA’s should not be totally discarded, just because they do not fit the 45-degree angle.
There is value on it and the selective application of it. A good trader should take advantage and explode every angle, knowing the weakness and strengths of the tools at hand. Here the key does not relay in the FSB software but the one using it. with these I mean a tool is a good as the user.

There are many examples of the above once proper filtration on a daily and weekly chats have been done manually, for example if the daily MACD breaks to the upside having the weekly trend intact, we could see a parabolic performance of the EURUSD all the way to 1.2494. Is that possible? We do not know, simply we decide to take the risk or not and put a couple of EA’s to work looking for a positive balance at the end.

Let’s see what happens next! cheers.

If I can be of your assistance in the future do not hesitate to contact me.

Good luck with trading.

Posts: 11

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