First results SAR Strategy …
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Hi Guys,
To continue on our last discussion on overfitting here are the first results on OOS
The idea was to evaluate/confirm that less variable = better OOS correlation
That’s why I test a very simple strategy based on SAR with only 2 variables (Signal if close crosses SAR)
As always strategy = Signal (SAR) + Analyse of the market structure + Money management
Backtest wasn’t famous with only 58,99 % winners on 556 trades ! 100 000 units EUR/USD 1 mn Sharpe Ratio 1.1.
There was the backtest of this week-end
As you see on 100 000 units the equity curve wasn’t really linear (As usual with only few variables)
Results on (Demo) OOS :
After 3 days and a risk of 10 % on equity we are at + 29.52 % (Some people will stop here now 🙂 )
65 % winners, not bad, but not really good, sharpe ratio 2.77 , very good but doesn’t mean a lot after only 3 days R/R of 2.25 (Necessary with a small % winners), and only 15.75 % time in market (good)
Strategy 1000 USD / Day as usual and after 3 days it’s ok
What we see here is that with a not good/not bad strategy actually it seems to work
We will see at the end of the week the results, but quite 1000 usd/day, who was the goal, is accomplished for now
I’m more and more sure that the strategy mean nothing (perhaps 30 %) but the money management, the 2d/3d optimization, simplify the code, the market structure is more important
If I have time I will use a stupid strategy on another post to give you all steps I use and see if we can transform a donkey into a racehorse 🙂
See U
Stupid strategy like this one based on Stochastic (3 variables, one for signal, one for market structure, one for Money management)
// / Signal /////// indicator1 = Stochastic[4*a,a](close) c1 = (indicator1 CROSSES over average[5](indicator1)) c2 = (indicator1 CROSSES over average[5](indicator1))With this kind of backtest
4th day of the Strategy : The system stopped because the goal of the day was reached
+39,38 % RR 0.87 Sharpe ratio of 2.55
We will see tomorrow now
In this case market structure is defined by ADX (One variable for limit range/trend) and the variable of the money management is x*ATR
But we can use whatever we want to to define market structure and money management. So many possibilities …
Always the same type of thoughts as you can see on another algo who runs since 30 august = OOS demo results (don’t look at the amount of the winnings, who cares)
bertrandpinoy, Paul and Razz thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 09/08/2020 |
| Status: | Active |
| Attachments: | 34 files |
