Posted By: nanotir
Spliting optimization for uptrend and downtrend - 01/22/16 07:49
Hi
It is mentioned in the manual that the forex assets are symmetric and therefore the strategy has to pass the detrend = CURVE; option. Since they are simmetric is is also mentioned that to split the optimization of parameteres for uptrend and downtrend should not be done as it introduces overfitting.
However, I have not observed that simmetry myself. And I get a problem by optimizing parameters of the strategy due to it. Because if an asset has been mostly trending upward since 2010, it means that the optimization of a trend indicator will provide better PF if the train favor the long trades. The problem is that as consequence, the strategy does not enter right the short trades and the strategy only provides profit in upward trend.
However if I split the parameter optimization for uptrend and downtrend, then I get short wining trades as well.
I was thinking about spliting the parameters and introducing the detrend=CURVE; in train mode. Will that avoid overfitting?
I have observed in the performance report of the Z12 that it only introduces trades in one direction for certain assets and algos. So that could be a posibility as well. Just avoid entering short in an asset if the backtest only provides good PF results in long trades. But if a downtrend comes in the future, either there is an algo to cover that behaviour as well, or the it can be a problem.
Any ideas?
It is mentioned in the manual that the forex assets are symmetric and therefore the strategy has to pass the detrend = CURVE; option. Since they are simmetric is is also mentioned that to split the optimization of parameteres for uptrend and downtrend should not be done as it introduces overfitting.
However, I have not observed that simmetry myself. And I get a problem by optimizing parameters of the strategy due to it. Because if an asset has been mostly trending upward since 2010, it means that the optimization of a trend indicator will provide better PF if the train favor the long trades. The problem is that as consequence, the strategy does not enter right the short trades and the strategy only provides profit in upward trend.
However if I split the parameter optimization for uptrend and downtrend, then I get short wining trades as well.
I was thinking about spliting the parameters and introducing the detrend=CURVE; in train mode. Will that avoid overfitting?
I have observed in the performance report of the Z12 that it only introduces trades in one direction for certain assets and algos. So that could be a posibility as well. Just avoid entering short in an asset if the backtest only provides good PF results in long trades. But if a downtrend comes in the future, either there is an algo to cover that behaviour as well, or the it can be a problem.
Any ideas?
