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Hi Samuel, I did some investigating this morning and here is what I did. I the 10 strategies I chose at the beginning of September and put them into the EA Studio portfolio. I then recalculated for Sept 1 through Sept 16. These dates are outside the dates used to determine the strategies. Now I can see how my portfolio of 10 different EURUSD strategies should have behaved going forward in time. The following chart shows the results from EA Studio:
I then compared the resulting chart from EA Studio to the chart of my actual trading portfolio. The following chart is from FXblue:
As can be seen the results are similar. FXblue, however, shows about 10 dollars more in loss over the first half of September but does not include the plus 10 dollar float. So, overall loss is about the same.
Now here is the interesting thing. The following chart shows a screeshot of MT4 EURUSD window:
What I find interesting this that the big drawdown in my portfolio seems to be happening at about the same time EURUSD is actually moving higher. It’s like when the market is going up my portfolio is taking Short trades. I don’t think this would be possible but it is quite interesting to see this negative correlation but I cannot say I understand why this would be happening.
I will continue until the end of the month to see what the overall results look like for the month.
Hi Samuel,
The following comment from you confused me:
“Also, in my opinion focusing on a single asset like this is not the way to go at all. Could be really good for a period if it’s doing well but the reverse is also true.”
The reason it confuses me is because Petko has a whole trading course just using EURUSD. And, also somewhere in the courses I have taken from Petko I believe I learned it was best to use different EURUSD strategies to reduce risk. So if it is not advisable to just use EURUSD then why the course on just trading EURUSD. Further what other currencies would I then need to use to make a correct trading portfolio and how many difference currencies is the correct amount? So this is now all confusing to me.
Minimum count of trades: 300
Selection of 10 Best Strategies: I followed EA Studio Professional Course Lecture 5.3 which is as follows:
First I filter my collection of EURUSD Strategies as follows:
Validator
Historical data (Adjusted to last 6 months)
Data source Premium Data
Period M15
Loaded EURUSD; M15 – 12768 bars.
From 2022-03-01 00:00, to 2022-09-01 16:45.Validator settings
Out of Sample: 20%
Common Acceptance Criteria
Complete backtest
Minimum count of trades: 200
Minimum profit factor: 1.2
In Sample (training) part
Minimum profit factor: 1.1
Out of Sample (trading) part
Minimum profit factor: 1.1Optimize strategies:
Normalization
Remove Take Profit unchecked
Remove needless indicators checked
Reduce Stop Loss checked
Reduce Take Profit checked
Normailize indicator paramenters checked
Out of Sample: 20% OOS
Numeric values steps: 20 steps
Search best: Net balance
Normalize Preset Indicators unchecked
Acceptance Criteria checked
Monte Carlo validation
Count of tests: 20
Validated tests: 80%Perform robustness testing:
Monte Carlo validation
Count of tests: 20
Validated tests: 80%The results are then further filtered
Historical data (Adjusted for last one month)
Data source Premium Data
Period M15
Loaded EURUSD; M15 – 2280 bars.
From 2022-08-01 00:00, to 2022-09-01 17:45.Validator settings
Out of Sample: not used
Acceptance Criteria
Complete backtest 1.2 pf
In Sample 1.1 pf
Out of Sample 1.1 pfNone of the other filtering is used as Petko says its all been done before and don’t need to do it again.
The results are then filtered in the Collections tab as follows:
Profit factor adjusted until about 15 to 20 strategies are left
Count of trades is then adjusted to minimum of 10 trades (this is about one trade every other day).Finally the resulting strategies are eyeballed looking for best 10 strategies balance line with no downward trends showing over approximately last one week.
What about other pairs and timeframes?
Each of my 10 MT4 accounts are funded with $400.00. Margin required is $200.00. As you can see I cannot have more than one asset in each MT4 account. My original plan was to diversify EURUSD with 10 different strategies which would be a balanced portfolio as far as I understand. I suppose I could add some H1 assets to this mix.
Another strategy might be to use EURUSD, GBPUSD, USDJPY, EURJPY, EURGBP, GBPJPY, USDNZD, EURNZD, GBPNZD, NZDJPY which would be an underbalanced portfolio by one USD asset which might not be objectionable. I could try this in the future once I have collected sufficient strategies for all these assets or I could use Petko’s pool of strategies.
What do you think?
Right now I have 1521 strategies (EURUSD M15) for the month of August and the month is only half over so I could end up with 3000 strategies by the end of the month.
In the “EA Studio Professional Course” in the section called “The Pool” Petko talks about when he has collected too many strategies he further filters them in the Validator. Unfortunately, Petko skips over how he further filters strategies when there are too many to handle. It is the middle of the month of August and I have been running the Reactor twice every day on two laptops and I am already getting a very large amount of strategies. By the end of the month I will be over burdened with strategies. How is the best way to further filter all these strategies so I have a nice collection for August?
Today I ran a test of my two laptops. I ran the EA Studio Reactor for 60 minutes using my normal settings. The following is the results:
Main laptop
System: 4 core, CPU 2.80GHz, 16.0GB
60 minutes, Generator = 114358, Collected = 2
60 minutes, Generator = 116435, Collected = 5
60 minutes, Generator = 115576, Collected = 3
60 minutes, Generator = 114678, Collected = 3
60 minutes, Generator = 116109, Collected = 8
Average: 4 robots collected per hourSecond laptop
System: 4 core, CPU 1.6GHz, RAM 20.0GB
60 minutes, Generator = 57265, Collected = 3
60 minutes, Generator = 50597, Collected = 5
60 minutes, Generator = 48698, Collected = 3
60 minutes, Generator = 49929, Collected = 3
60 minutes, Generator = 48915, Collected = 2
Average: 3 robots collected per hourWhat I noticed is that the CPU speed is important in hour many robots are generated per hour. However, what was a surprise to me was that the only difference in how many robots actually pass all the filtering is 1 robot per hour (4 vs 3).
My next test will be to see how many robots (EA’s) are collected per hour when I run 2 Reactors on each laptop.
Hi Samuel,
Yes that was my thinking to run them all through the Validator at one time to remove correlations. I am also thinking that it puts the best strategies at the top of the list. And, it also allows me to further filter the complete collection so I can find the best 10 robots to use.
Do you normally use the Multmarket and Walkforward after you have selected the best robots to use before live trading or do you just use the Monte Carlo?
I have another question:
I have Reactor Collections for several days now. Should I further filter them by combining them together in the Validator? How do you handle Many days of Collecting robots?