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DeTrend #463130
11/16/16 13:24
11/16/16 13:24
Joined: Feb 2015
Posts: 652
Milano, Italy
M
MatPed Offline OP
User
MatPed  Offline OP
User
M

Joined: Feb 2015
Posts: 652
Milano, Italy
Hi,
I am a lot confused by the use of DETREND and related options.

I have a portfolio of 3 strategies all of them use the same parameters to enter long and short trades (Detrending prices is not needed).

How can I use the detrending to improve training parameters or verify robustness.

Is there anybody using detrend?
Thank you

Re: DeTrend [Re: MatPed] #463346
11/29/16 08:50
11/29/16 08:50
Joined: Feb 2015
Posts: 652
Milano, Italy
M
MatPed Offline OP
User
MatPed  Offline OP
User
M

Joined: Feb 2015
Posts: 652
Milano, Italy
Come on, help me. some link where I can learn more about DETREND, some example, anybody is using this Zorro,s feature?

Re: DeTrend [Re: MatPed] #463356
11/29/16 18:22
11/29/16 18:22
Joined: Dec 2013
Posts: 568
Fuerth, DE
Sphin Offline
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Sphin  Offline
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Joined: Dec 2013
Posts: 568
Fuerth, DE
I don't have an answer but I also wonder about this feature. It's stated that a trend is removed from, inverted or randomized in the historic price data. But what trend? Anyone that can determine a generally valid trend would be able to generate a very well performing trend follower. And isn't there a danger to remove the inefficiencies as well?

Re: DeTrend [Re: Sphin] #463360
11/29/16 22:27
11/29/16 22:27
Joined: Feb 2015
Posts: 652
Milano, Italy
M
MatPed Offline OP
User
MatPed  Offline OP
User
M

Joined: Feb 2015
Posts: 652
Milano, Italy
Yeah, unfortunately the Zorro's community its not very wide and squeeze info and help is not easy on more exotics stuffs...

Re: DeTrend [Re: MatPed] #463364
11/30/16 07:11
11/30/16 07:11
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Detrend is just a simple and often needed feature. You don't want trend bias in backtest results, so Detrend removes trend either from the prices, or from the trade returns. Trend, in that context, is simply any difference between the first and last price.

Re: DeTrend [Re: jcl] #463367
11/30/16 08:28
11/30/16 08:28
Joined: Feb 2015
Posts: 652
Milano, Italy
M
MatPed Offline OP
User
MatPed  Offline OP
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M

Joined: Feb 2015
Posts: 652
Milano, Italy
thank you, jcl.
The DETREND feature has several option described in the manual. When you have time, can you write some recommendation on how to use it or not use it, as you have done with the oversampling on your blog. I will pay you a beer if you visit Milano!

Re: DeTrend [Re: MatPed] #463391
12/01/16 17:05
12/01/16 17:05
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
For a beer I owe you of course a good explanation. Aside from the detrending modes, you can invert or randomize the price curve with Detrend. Inverting is just for testing if the system still works when the trend goes in the other direction. SHUFFLE is for reality checks. You can find an example when you download the "boersenhackerbuch" scripts from my blog. The script "Alice4b" uses this feature for a reality check of a system similar to workshop 7.

Re: DeTrend [Re: jcl] #463397
12/01/16 22:06
12/01/16 22:06
Joined: Feb 2015
Posts: 652
Milano, Italy
M
MatPed Offline OP
User
MatPed  Offline OP
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M

Joined: Feb 2015
Posts: 652
Milano, Italy
Alcohol is always a door opener!
Thank you lets go for 3 beers (huge) and lets assume that workshop 6 is "the TS" How would you use DETREND, validating the algos, in the training, testing and trading phases?

Thank you

Re: DeTrend [Re: MatPed] #463413
12/03/16 07:20
12/03/16 07:20
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Detrending is not needed for WS 6 since it's a symmetrical algo. But for a reality check you can plot a return distribution with Detrend = SHUFFLE, with the same method as in Alice4b.

Re: DeTrend [Re: jcl] #464516
02/22/17 01:18
02/22/17 01:18
Joined: Nov 2016
Posts: 55
Taipei
ytc Offline
Junior Member
ytc  Offline
Junior Member

Joined: Nov 2016
Posts: 55
Taipei
Hey jcl,

Can you elaborate more about Detrend in TRADES, PRICES and CURVES with some examples?

What does it mean that "Detrend trade results" in TRADES flag?

I can't understand the insights well even after reading the manual so many times.

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