Zilliq Challenge : Give me a Donkey Indicator to transform in a RaceHorse ;-)

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Viewing 15 posts - 16 through 30 (of 70 total)
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  • 09/27/2020 at 2:38 PM #145557
    Vonasi
    GraHal wrote:

    Neither of these would give the (mostly) staircase rise in equity curve that zilliq shows?

    I think they very easily could but without seeing the position sizing we can never know.

    I’ll stick with my initial thought that if it seems too good to be true then….

    09/27/2020 at 2:41 PM #145558
    zilliq

    Ah Ok, of course no there is no averaging down (Thanks @Grahal for explanations), never, and no martingale or everything else like this dumb things

    As I previously said Position size is based on Van Tharp and Vince work (In summary % of equity curve)

    09/27/2020 at 2:49 PM #145561
    Mauro T. “Algorithm System”

    Actually having stratospheric past performance is easy to do with any indicator …. and most likely even the first few weeks you can earn (if you are lucky) … but then with the same probability it becomes a disaster …. when you create a trading System on the past the computer will always system it in an optimal way, but how will the future be?

    09/27/2020 at 2:52 PM #145563
    zilliq
    Vonasi wrote:
    GraHal wrote:

    Neither of these would give the (mostly) staircase rise in equity curve that zilliq shows?

    I think they very easily could but without seeing the position sizing we can never know.

    I’ll stick with my initial thought that if it seems too good to be true then….

    You just need to ask (Picture enclosed) ☺

    Sorry it’s not the same equity curve because I now prepare for the challenge OOS of this week

    @Mauro completely agree, IS backtest is the first step, and the most important part is the OOS results of this week

    1 user thanked author for this post.
    avatar GraHal
    09/27/2020 at 3:40 PM #145567
    Scooby

    Hey !

    I knew that the Bollinger bands can be fine for an algo. Thanks zilliq for this job 🙂

    Hope that the OOS gonna be good during this week ^^

    What is the rewards then ? xD

    09/27/2020 at 3:45 PM #145568
    zilliq

    LOL we will see.

    Results are very instable on the 3D Graph

    No rewards, it’s just another Stupid Internet Challenge ☺

    09/27/2020 at 3:50 PM #145570
    Eric
    GraHal wrote:
    zilliq wrote:

    And you can find the results on 100 000 bars

    Re the disappeared message (very strange?) … Please forgive me if I am wrong, but I can’t stop myself thinking that ‘smoke and mirrors’ might be used here? 🙂

    How come you choose not to show us the dates of the equity curve and also the duration of the backtest on the performance screen shot?

    I sincerely want to believe what you are promoting as maybe then we all could have yachts like Vonasi and sail when the weather is sunny! 🙂

    And how many pips profit per trade

    If its 1 pip or less and big size its only for playing on demo

    09/27/2020 at 3:59 PM #145572
    zilliq
    Eric wrote:
    GraHal wrote:
    zilliq wrote:

    And you can find the results on 100 000 bars

    Re the disappeared message (very strange?) … Please forgive me if I am wrong, but I can’t stop myself thinking that ‘smoke and mirrors’ might be used here? 🙂

    How come you choose not to show us the dates of the equity curve and also the duration of the backtest on the performance screen shot?

    I sincerely want to believe what you are promoting as maybe then we all could have yachts like Vonasi and sail when the weather is sunny! 🙂

    And how many pips profit per trade

    If its 1 pip or less and big size its only for playing on demo

    Between 15-30 pips per trade as you can see on the Bollinger Setup results

     

    09/27/2020 at 4:09 PM #145574
    Vonasi

    The equity curve appears to go up at a steady gradient but the position size more than trebles over the curve. This would indicate a strategy that is taking smaller and smaller profits but only returning similar returns by increasing position size. You also appear to start with a position size of around 1000k(!) which then increases to around 3000k(!) Some pretty big pockets and pretty big spherical objects would be needed to go live with that one!

    It would be interesting to see the same test with fixed position size of 1.

    09/27/2020 at 5:06 PM #145576
    zilliq

    It’s the principe of the Van Tharp / Vince position size, always the same risk, the more you win, the more you can trade, and the more you lose, more you lower your position

    I think a fixed position of 1 is unrealizable because of spread and slippage and fixed position size are less interesting in my experience (Even if there is some advantage like smaller loss) as you can see on the picture (same conditions but fixed position)

     

    09/27/2020 at 5:26 PM #145581
    Vonasi

    That image confirms that the only thing holding the strategy together is the position sizing. Flat at the beginning and flat at the end but perfectly optimised in the middle. Increasing position size during the totally optimised bit amazingly results in fantastic performance. Massive position size makes it look even more amazing!

    09/27/2020 at 6:01 PM #145583
    zilliq

    That’s why I already said that money management and notably Position Sizing is the way, nothing new

    But no, evolution is fractal, so, it doesn’t need to have massive position as you can see on the picture. The code of Position Sizing (Based on Van Tharp & Vince) calculate the optimal size even with a smaller risk

    09/27/2020 at 6:09 PM #145587
    Francesco

    Zilliq as you ever remind to “keep it simple”, don’t ever forget that if it’s too good to be true, it probably is 🙂

    1 user thanked author for this post.
    avatar Nobody
    09/27/2020 at 7:39 PM #145595
    Vonasi
    zilliq wrote:

    That’s why I already said that money management and notably Position Sizing is the way, nothing new

    So you made less than 51 pips in two months and had draw down of what looks to be around 500 pips at times. So if you are lucky and don’t hit a big market reversal or market structure does not change at all then it will take you something like 20 months before you have earned enough to cover that sort of draw down without dipping into your starting capital…. all hidden by money management and being lucky to start at the right point and not just before a market reversal.

    2 users thanked author for this post.
    avatar Mauro T. "Algorithm System", avatar Francesco
    09/27/2020 at 7:55 PM #145598
    zilliq

    ??? Of course these are not the good data. I don’t think a system can survive with such data ;¬)

    In 2 months each algos make much more pips (my computer is off but i can show you easily) and for the drawdown thé stop loss is at 25-45 pips, of course not 500 pips

    Thé 2 algos are on. We will See on friday if they win this challenge

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