Hi,

In my opinion, the information mentioned earlier is applicable to both v10.3 and v11. Although v11 may give more options on optimization, but we still need to look out how to not over fitting and how to optimize faster.

Sharing the latest version, more complete. Insert it at the end of the strategy.

I used it to make faster optimization…skipping some combinations that I anyway not interested to look at all, e.g. 10 consecutive weekly loss, no point to see this combination.

Sometimes it is also useful during WFA, I have tried to adjust to fit for WFA, but not always accurate, mainly because each cycle of WFA, it restarts the computation, so if the duration of a single WFA being to short, then it will stop the test too early, unless you give more room to the parameter. It also depends on the frequency of the strategy.

E.g. 200k bars for 1 min time frame, 5 iteration, 60/40, so the 1st iteration maybe just 2 months. If too little trades during the 2 months, e.g. if you apply volatility filter during March 2020, strategy trade only 2 trades and loss, then the return can be too little so back test stop. So depends on strategy, you might want to give more room to the parameter, like increase the maxconsecutiveweeklyloss to 3

capital = 5000
quarterlymingain = -20
quarterlymaxgain = 300
monthlymingain = -15
monthlymaxgain = 200
weeklymingain = -10
weeklymaxgain = 100
maxconsecutivequarterlyloss = 0
maxconsecutivemonthlyloss = 1
maxconsecutiveweeklyloss = 2
once lastquarterlycapital = capital
once lastmonthlycapital = capital
once lastweeklycapital = capital
once consecutiveweeklyloss = 0
once consecutivemonthlyloss = 0
once consecutivequarterlyloss = 0
once monthnum = 0
once weeknum = 0
once daynum = 0
runningquarterlyperc = ((strategyprofit - lastquarterstrategyprofit) / lastquarterlycapital) * 100
runningmonthlyperc = ((strategyprofit - lastmonthstrategyprofit) / lastmonthlycapital) * 100
runningweeklyperc = ((strategyprofit - lastweekstrategyprofit) / lastweeklycapital) * 100

//0. Check quarterly not lower than expected profit and consecutive loss
if OpenMonth <> OpenMonth[1] and (openmonth = 1 or openmonth = 4 or openmonth = 7 or openmonth = 10) then
quarterlyreturn = runningquarterlyperc[1]
lastquarterstrategyprofit = strategyprofit
lastquarterlycapital = capital + strategyprofit
//total = total + monthlyreturn
//count = count + 1
//monthlyaverage = total/count
if quarterlyreturn < 0 then
consecutivequarterlyloss = consecutivequarterlyloss + 1
else
consecutivequarterlyloss = 0
endif


//graph quarterlyreturncoloured(0,120,150) as " Last Quarters % Return"

//Avoid to stop in case just started 2 monthnums or less
if (quarterlyreturn < quarterlymingain and monthnum > 2) or quarterlyreturn > quarterlymaxgain or (consecutivequarterlyloss > maxconsecutivequarterlyloss) then
QUIT
endif

monthnum = 0

endif

//1. Check monthly not lower than expected profit and consecutive loss
if OpenMonth <> OpenMonth[1] then
monthnum = monthnum + 1
monthlyreturn = runningmonthlyperc[1]
lastmonthstrategyprofit = strategyprofit
lastmonthlycapital = capital + strategyprofit
//total = total + monthlyreturn
//count = count + 1
//monthlyaverage = total/count
if monthlyreturn < 0 then
consecutivemonthlyloss = consecutivemonthlyloss + 1
else
consecutivemonthlyloss = 0
endif

//alltime = (strategyprofit / capital) * 100
//graph runningperc coloured(0,128,0) as "Running % Return"
//graph monthlyreturn coloured(0,0,150) as " Last Months % Return"
//graph alltime coloured(128,145,150) as "All Time % Return"
//graph monthlyaverage coloured(0,0,0) as "Monthly Average %"

//Avoid to stop in case just started 2 weeks or less
if (monthlyreturn < monthlymingain and weeknum > 2) or monthlyreturn > monthlymaxgain or (consecutivemonthlyloss > maxconsecutivemonthlyloss) then
QUIT
endif

weeknum = 0

endif

//2. Check weekly not lower than expected profit and consecutive loss
if opendayofweek < opendayofweek[1] then
weeknum = weeknum + 1
weeklyreturn = runningweeklyperc[1]
lastweekstrategyprofit = strategyprofit
lastweeklycapital = capital + strategyprofit
if weeklyreturn < 0 then
consecutiveweeklyloss = consecutiveweeklyloss + 1
else
consecutiveweeklyloss = 0
endif

//graph weeklyreturn coloured(0,145,150) as " Last Weeks % Return"

//Avoid to stop in case just started 2 days or less
if (weeklyreturn < weeklymingain and daynum > 2) or weeklyreturn > weeklymaxgain or (consecutiveweeklyloss > maxconsecutiveweeklyloss) then
QUIT
endif

daynum = 0

endif

if openday <> openday[1] and openday[1] <> 7 then
daynum = daynum + 1
endif

I’m not sure if you grasp the mechanism of VRT test, but I think is important to know it first, and in short, ProBacktest is limited by the fact that once a trade is on market, it will not open another trade (unless you activate cumulateorders), so during a trade, you may have another signal, but not taken into account by ProBackTest. Those missing signal could have killed your strategy but you do not know as they were skipped. Thus, VRT is born, to tried to skip some barindex, in order to give opportunity for those missing trades to appear and see if they still work well. (though from software point of view, this can be improved by having multiple instances to monitor per trade, and consolidate each signal that are unique, but I doubt PRT will do that).

Monobrow wrote:

I wonder if it is because my strategies are faster than Vonsai and use more trades per day.

There is no problem if you have more trades per day. It is more about if during the VRT test, is your trades reduce drastically? E.g. from total 300 trades to become 50 trades. If it is reduce to 50 trades, are the trades still consistent? If yes, then your PRT result will be still good. If no, the chance of curve fit could be higher, it means you might have few big winners (in relative to your average gain), and since those big winners have disappeared in VRT, then weakness appear. And how big chance of those big winner to appear again in live trading? Without those big winners, is your profit become poor? This is quite subjective, because your strategy might be a scalper, thus more trades are in your strength…then you might consider to adjust the parameters.

Monobrow wrote:

can you recommend VRT QTY and Random settings please?

The game is the higher value of QTY, the less trades it will be, after you finalize with QTY, then you try to adjust Random so to have total 100 combinations (as PRT optimization window allows only 100 combinations), so you may adjust to your need, my recommendation is to have at least 100 trades for 1m TF. My preference for 1 min TF strategy is to get a score >60 in QTY 2-10/random 1-10, and further test it with QTY 2-5 /random 1-21 with >70, based on experience from my 1m strategy that have profit in live for sometime. To be honest, running VRT is already the last step, the difficult part is are you willing to give up your strategy if it scores badly, as you might have spent several weeks on it? So even it scores badly, maybe just put it in demo and let it run for sometimes and see. If VRT scores well, at least more confident to put it on live sooner… (and I can tell you for my 1m strategy, I have run many rounds of test, improve, test prove, in VRT, WFA, and other tests 🙂 )

Hope it helps, and don’t hesitate to come back and share your opinion and new findings.