[veejay108]

Ok, followed your advice to obtain limited success but don’t know if it is adequate.  I will present my findings.  I used the Reactor with Monte Carlo validation.  Details as under:

Data Source: FS DukasCopy; USDJPY; M15; 200k bars; Did not use date.  Strategy properties: SL – always use; fixed or trailing; Min pips 10 – Max pips 100; TP – Always use; Min 10; Max 100 pips;

Generator setting – 600 mins; search best – Net Balance; OOs 20%; Common Acceptance Criteria – Min Net profit – 10; Min count of trade – 500; Min profit factor – 1.2; In sample (training) min profit factor of 1.1; OOS (trading) 1.1;

Optimizing strategy – None.  Perform Robustness testing – Monte Carlo validation.

Collection – No performance filters; Only ticked resolve  correlation automatically.

Tools – General Settings – ticked both start backtest from 100 bars and close the position at the end of the back test.

Correlation Analysis threshold at 0.98; and ticked both detect balance lines correlation and detect strategies with similar trading rules.

Settings – Account currency USD; Initial Amount – USD 3k; Leverage 1/200; Trading session – everything is at 00:00 to 24:00 and do not trade on Sunday; ( just for info – my broker does not trade on saturday either);Back test output metrics – Net profit; Profit factor; R-squared; Max stagnation and count of trades;

Data horizon – Max data bars – 200k; Min data bars – 0.3k; No dates were used

The outcome is – Generated 91,643 strategies; Passed validation – 3 (0.00%); Monte Carlo validation – Calculated strategies 3(60); Passed validation 2 (66.67%).  Please advice if these results are in keeping with what is to be expected?  Personally I feel they are too less.  Leave me with very little scope to even have a portfolio!  What I observe from Petko’s training videos is that always lot more strategies are generated.  I don’t know what mistake I am doing anymore!  Clearly something is amiss, or so I think!  While my patience is tested, I do believe am doing something wrong  – hoping someone will guide me through as patiently 🙂

[veejay108]

Hi,

I followed your advice.  I did a sample run of the generator for 300 mins; Net Balance and In sample without any acceptance criteria and without any filter criteria in collection.  I used FS DukaCopy database for M15 and it loaded 200,000 bars from 01/06/2012 to 12/06/2020.  I adjusted the specs to that of my broker for EURUSD  for spread @ 20 points (although the actual spread was 16 points), Swap day to Wednesday and swap rates for long and short. I noticed something interesting – it generated very quickly 100 strategies within first 5 and 10 minutes and then stayed at that right up to the end.  Of the 100 strategies, 98 strategies were correlated.  If I checked the ‘resolve correlations automatically’ I am then left with only 2 strategies! Collection record stats read – Pushed total strategies -4012, Added Strategies 4021; Resolved correlations -0 ; Pruned excessive strategies -3921; Correlated strategies – 98.  I am yet to check out XAUUSD as per advice and will do so.  Look forward to your advice as to able to generate strategies.  Somewhere something is amiss.  The problem it seems that far too may correlated strategies are being throughput and why after 100 the collection doesn’t collect any more strategies I don’t know.  I don’t think it is the historical data but you know better 🙂

 

 

[Author]

Posts