Optimization of the systems in today’s time?

phoentzs · 2021-10-01T08:26:31+00:00

I have one question about optimizations … if I optimize a system that runs well to very well over 200,000 bars, over 200,000 bars, I get a passable performance. I always optimize with WF70 / 30. But how would I adapt / optimize it more to the present day? At the moment it is often the case that my insample curve is steeper than my outsample curve. How do I get it the other way around? The insample runs passably, but outsample better? Simply optimize the WF70 / 30 over 50000bars, i.e. shorten the optimization time, works quite well. But is the result still robust? A good example is SP500 or Nasdaq, which 8 years ago were significantly lower than today’s. How do you optimize systems with WF that outofsample delivers better results? So more into the present day? Can someone answer that?

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10/01/2021 at 12:27 PM #178874 quote

phoentzs
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Master

Can you provide me with an example of an exit condition with standard deviation as a code?

10/01/2021 at 12:33 PM #178875 quote

JS
Participant

Master

Can you provide me with your system…:)

10/01/2021 at 12:38 PM #178878 quote

phoentzs
Participant

Master

Test MACD Nasdaq M15

That for example. It actually only works because the Nasdaq has just risen above 200000bars. I need exit conditions that work realistically.

10/01/2021 at 1:42 PM #178889 quote

JS
Participant

Master

Standard deviation AEX = 8,65
Standard deviation Nasdaq = 294,03

(8,65 / 768) * 100 = 1,23%
(294,03 / 14710) * 100 = 1,99%

10/01/2021 at 2:02 PM #178892 quote

phoentzs
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Master

Very nice of you. How do I build this into the code? A code snippet, please?

10/01/2021 at 2:29 PM #178900 quote

VinzentVega
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Veteran

@phoentzs

pls contact xxxxxxxxxxxxxxxxxxxxx. This is an trashmail account and for 1h activ.

10/01/2021 at 2:50 PM #178902 quote

phoentzs
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Master

I did.

10/01/2021 at 3:22 PM #178904 quote

robertogozzi
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@VinzentVega

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