Tagged: #acceptance criteria
- April 29, 2021 at 1:25 #84669
I only go back 8 weeks on the M1. I use the reactor. I leave out the previous week as I use this as a pre-filter. So actually start back 9 weeks. I use COT = 100, PF = 1.2, Max losses = 3. I don’t use any robustness or optimisation. I just want raw strats as I run my own form of robustness tests later by comparing many slightly different versions of my core strategy. I run 12 instances of EA studios at the same time. 6 on each PC. It normally takes 6 hours to get 300 strats on each EAS. So about 4 or 5 days to get 60000 strats. Seems like an overkill I know……. I have done many tests with different amounts of strats up to 60000 and have found that the more I have the lower the DD and the higher the PF becomes. I am aware that I may be curve fitting the strats by having that many so am watching for that. After I have the 60000 I run them forward on the previous weeks data in the validator. With much stricter criteria: COT = 10, PF = 2, Max losses = 1. This shows me how those 60000 strats would have run “Live” for that week. There is normally 300 strats that pass this criteria. I then select the top 100 / 200 and create a portfolio. I run them on demo. I use a custom made filtering app that does the final filtering and sends the ones that pass through to a live account. Normal settings are something like wait 3 trades, if 2/3 trades win with a PF of 2 and R2 above 50% they go to live. I monitor them in the live account and if they start to drop below my criteria they are removed.
I am always continuously testing. So if I have an idea that I want to test I usually run about 10 slight variations of it side by side for a month or so and then evaluate and move forward with the one that is working the best. This way I keep narrowing down what works for me.
After lots of testing with the M15 and the H1 I found I just could not get consistent results. Not to say it can’t be done, just doesn’t work for me. The markets have also been pretty crazy for the last year and there is potentially massive changes ahead to the fiat currency system as we know it….. So i want to trade a TF that can adapt quickly to changes and not look back to far in the past. Again this is just what I am comfortable with…..
I have also narrowed it down to one particular pair that performs well and I also only run my EAs on a 4 hour window each day when the markets are most active and the markets are not crossing over from one another…..
I still have a way to go but the results are improving and getting more consistent as I go…..
I am working towards opening an account with FTMO and some other prop firms in the next month or so. So I have been trying to create a system that stays with the tight requirements of the prop firms….
Good luck and just keep testing and practicing……April 29, 2021 at 9:22 #84735JordyTr971Participant
Can I ask you why you don’t use OOS of EA Studio and do it manually ?
> I have also narrowed it down to one particular pair that performs well and I also only run my EAs on a 4 hour window each day when the markets are most active and the markets are not crossing over from one another…..”
So you are generating your EAs also on a 4 hour window each day by using the “Trading Session” ?
Thank youApril 29, 2021 at 11:50 #84810
I hold back the previous week of data and then run the strats forward on that week using the validator. This is basically doing a one week OOS. I prefer to use the validator to do this as it gives me more filtering options and allows me to load large amounts of strats. It allows me to set slightly different run times or whatever other filters I choose for testing purposes…
Yes After much testing I have decided to focus on the 4 hour London / US overlap. This is the most active session of the day. Also I have noticed that when a new market session opens it can sometimes reverse the current market, so I try to line up as many things as I can in my favour….
I also only want to trade a pair that has both of their respective banks open during that session which is why I am focussing on the GBPUSD for now….
I create my strats on the 4 hour overlap only. I have done comparisons of creating them over a 24 hour period and the overlap and the overlap shows more promising results….. So for me I set the sessions to 1515 – 1845.April 29, 2021 at 12:21 #84812
This is my summary of algo trading and what has brought me to this point that I feel works for me. (I could be wrong???)
Put a large amount of time / filters / robustness tests into creating a smaller number of EAs that are tuned to run for a longer period of time and ride out the drawdowns with confidence that your EA will work in the longterm.
Create a larger number of EAs with less robustness filters etc… Allow them to run forward and filter them on the fly….. Replacing them on a more frequent basis to keep them aligned with the market.
I am just more comfortable with the second.
If you watch enough of Petko’s videos ( And I recommend that you do) you will see there are 2 main filtering systems that he utilises.
1.) Create your strats, run them forward on demo, filter the top performers ( with PF, WL etc) and transfer them to live account.
2.) Create your strats. Leave them for a week / month. Load them into validator and pick the top performers and transfer them straight to live. Or hold back a week / month run them through the validator and transfer to live.
So for me I chose to use both filtering systems as this gave me better results….. I create my M1 strats over 8 weeks of data, not using the previous week. Then run them forward on the validator for one week, giving me the top 100 / 200 or whatever. (Pre-filter). Then to demo. After they meet my criteria on demo they go to live for the rest of that 4 hour session.
I hope that makes sense….. I have probably gone on too much…….April 29, 2021 at 14:47 #84831JordyTr971Participant
Thank you very much for your precise answer.
More I am using EA Studio and more I am thinking of putting less effort into Filtering ea with robustness tests.
Because we can never be sure the EA’s will perform in the future no matter what robustness tests we are doing.
I may just want to generate a bunch of EAs (3k+) then put them on Demo and transfer the top performer to live account.
I’ve do that in the past but with only 100 EA’s so with a much larger portfolio I think I have much larger chance to have profitable strategies.
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