First results SAR Strategy …
-
Hi @April O’Neil
It is always better to have different algo who works with different system, market structure and so on …
You can see the different algos with OOS results on my “Incubator” (I can’t have more on complete V11 version). On demo for testing and when V11 IG will be available I will put the best on real
But with a good money management and of your risk it’s not a real problem to have only one algo. For example 1 % risk/trade
Have a nice day
As Bad CCI Donkey, the Bad Stochastic Donkey has stopped for today because of goal reach
+46 % OOS results in 6 days. As you see there is a sometimes somes bugs on the results and for example we can’t have win/loss ratio
Bad SAR Doney is at +7 % of the day. It can probably take one or 2 other trades
+ 82 % in 8 days with 110 trades taken Win/loss ratio of 2.34 (I always look for >2)
Very interesting, you see that better trades last less than 15 mn
We have a lottttt of very good indicators on the results, sadly PRT never give any details and explanations on interpretations (But we can find it on others platforms)
See you later if it changes
As I previously said, I hope PRT will add some improvments as the possibility to do backtest based on our indicators (Not very complex to code I think)
For example the win/loss ratio who always need to be >2 and higher is better with STD smaller as possible
Fingers crossed
thanked this postWell very very nervous on EUR/USd (Near 1.2)
Donkey SAR finish at +2 %, + 85 % after 9 days Win/loss 1.88 = correct and Sharpe 1.88 = correct too
Surprise it works pretty well with so much trades and a so bad Donkey
We will see at the end of week
Good evening
Thanks @Paul
Not sure to understand. You want to the trades from today ? I Put the graphic
The algos takes only short today and it takes more trades after my last post, and now for today we are at +14 %, and +97 % in 9 days. Not bad at all for a donkey
And yes this algos (not all) have a breakeven. Generally I don’t like breakeven, target and so on because it stop too soon the trades, and I prefer to let the trades breathe. The problem is that when it goes wrong you can have a big drawdown, but if you have a good WIn/loss ratio it’s not a real problem
Paul thanked this postThanks looks like a tough market but still results are very good. Because your approach I try different ways. Not getting the results I want though. Are you using mtf in this code? and sorry few more questions.
Would it be better 20 max reoccurrences with limited 10k-50k data or i.e. 3-7 occurrences with much more data?
you prefer linked or unlinked?
Just curious!
Hi @Paul
Generally I use MTF but I think we can have good results without MTF (I will test) as is is only a multiple
Average[20](close) in 15 mn is quite average[20*15](close) in one minute
And for Walk Forward, I think is is better to have less occurence with more data, but I don’t use a lot WF because actually it is not very useful as it is only on some conditions (Gain..) and not on indicators I want to
FYI The bad SAR Donkey works well but not reach the goal +5%, and +100 % after 10 days (Not bad for a bad Doneky on OOS results)
And even better on Bad STo Donkey with +20 % today, +68% in 7 days (Win/LOss = 4.26 !)
Have a nice day, and conclusion tomorrow with the last day of the week
Bye
Well, end of week test with these bad Donkeys and stupid strategies
The system are stopped because of goal reach (May be sto will take another)
Bad Sto Donkeys + 77 % in 9 days. Not bad, with an excellent Win/Loss of 4.69 ratio
Bad SAR Donkeys + 116 % in 11 days. Not bad too for OOS Results Sharpe ratio of 2.31 quite good and Win/Loss of 2.21, good too
The conclusion is always the same : Stop finding the best strategy but search, find, test your best Money Management, simplify code, analyze market structure…This is the Way 🙂
Now i will let this algos run, to see when they will be broken (Big Max Drawdown), to evaluate when reevaluate variables and do another backtest on IS and do another OOS test
Have a nice day and week-end
- You must be logged in to reply to this topic.
Summary
This topic contains 57 replies,
has 10 voices, and was last updated by 
5 years, 3 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 09/08/2020 |
| Status: | Active |
| Attachments: | 34 files |
