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Additional testing to be undertaken... #471371
03/01/18 17:30
03/01/18 17:30
Joined: Feb 2018
Posts: 25
1
1ND1G0 Offline OP
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1ND1G0  Offline OP
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Joined: Feb 2018
Posts: 25
I'm currently running an algo on a demo account as part of a final check prior to going live. However, I also wanted to make sure there were no other obvious tests I could undertake directly in Zorro before funding this with actual capital.

The strategy is based on 60 minute bars, so I have been using M1 data rather than Tick. I have tried to only optimise relevant parameters.

I've tested with both fixed lot sizes and also margin amounts. While developing, I have set NumWFOCycles to 10 and NumSampleCycles to 10. MonteCarlo to 1000.

I've trained and tested the algo using both SKIP1/2/3 settings and then DataSplit / DataSlope.

I've used various Detrend settings including CURVE, INVERT, and SHUFFLE.

I've used various start and end dates for training / testing as well as the default 6 year view.

I've updated the AssetsFix file with realistic spread, commission and roll amounts, using worst case numbers provided by my broker.

I've tried it with and without phantom trades but found it best without any equity curve trading.

Any additional points to consider?





Last edited by 1ND1G0; 03/02/18 17:48. Reason: Removing performance details
Re: Additional testing to be undertaken... [Re: 1ND1G0] #471373
03/01/18 17:57
03/01/18 17:57
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Offline
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AndrewAMD  Offline
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Posts: 1,718
Chicago
Some boilerplate questions:
* Is this algo going to get used on Forex/Cryptos?
* If so, is your historical data source straight from the broker you intend to use?
* Is this a portfolio setup or a single-asset setup?
* How are your positions sized?

Re: Additional testing to be undertaken... [Re: AndrewAMD] #471374
03/01/18 18:12
03/01/18 18:12
Joined: Feb 2018
Posts: 25
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1ND1G0 Offline OP
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1ND1G0  Offline OP
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Hi Andrew,

It's forex. Single asset for now.

I haven't been able to get historical data from the broker, but tested on both the Zorro provided data initially, and then also created new t6 files from histdata for the relevant pair.

Positions are sized based on the account Margin and OptimalF factor. It also reinvests profits.

Re: Additional testing to be undertaken... [Re: 1ND1G0] #471385
03/02/18 10:12
03/02/18 10:12
Joined: Feb 2015
Posts: 652
Milano, Italy
M
MatPed Offline
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MatPed  Offline
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Milano, Italy
How many trades for single optimized parameter does the algo place?
The rule of thumb is 20 trade for each parameter in single wfocycle
Establish in advance a set a parameters or indicator that will determine the "Stop the TS condition" and be ready to stick with it.
i.e PF of the last 30 trades < 85% of PF of the TS in the backtest and number of consecutive loss > maximum of consecutive loss of the TS.
Reinvesting will complicate this topic a bit

Re: Additional testing to be undertaken... [Re: MatPed] #471388
03/02/18 12:38
03/02/18 12:38
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Offline
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AndrewAMD  Offline
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Add this to the end of your script and show us the plot:

Code:
plotMAEPercentGraph(50);


Re: Additional testing to be undertaken... [Re: AndrewAMD] #471389
03/02/18 14:03
03/02/18 14:03
Joined: Sep 2017
Posts: 235
H
Hredot Offline
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Hredot  Offline
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Posts: 235
Weird, I get an error "undeclared identifier" about plotMAEPercentGraph even though it is listed in the manual under the "Help" button...

Re: Additional testing to be undertaken... [Re: Hredot] #471390
03/02/18 14:25
03/02/18 14:25
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Offline
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AndrewAMD  Offline
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Posts: 1,718
Chicago
Originally Posted By: Hredot
Weird, I get an error "undeclared identifier" about plotMAEPercentGraph even though it is listed in the manual under the "Help" button...
Oh, right, add this to the top:
Code:
#include<profile.c>


Re: Additional testing to be undertaken... [Re: AndrewAMD] #471397
03/02/18 17:50
03/02/18 17:50
Joined: Feb 2018
Posts: 25
1
1ND1G0 Offline OP
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1ND1G0  Offline OP
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Posts: 25
Hi Andrew,

I've attached an image (I could not see an easy way to insert directly into the post).

I've also removed the performance / risk metrics from my original post as they are not actually relevant to the discussion. My main aim was to understand how best to improve my test approach during algo development.

Attached Files 2018-03-02 17_43_31-Chart Viewer - [Algo_XXXX.png - Image 1 of 1 [100%]].png
Last edited by 1ND1G0; 03/02/18 17:52.
Re: Additional testing to be undertaken... [Re: 1ND1G0] #471401
03/02/18 19:06
03/02/18 19:06
Joined: Feb 2017
Posts: 1,718
Chicago
AndrewAMD Offline
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AndrewAMD  Offline
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Joined: Feb 2017
Posts: 1,718
Chicago
A quick look at the plot says a couple of things:

* You let your winners run. This is good.
* Once you have a trade that draws down more than 1.1% of your position, you never have a winning trade. You can add one more filter to improve risk management. May I offer a suggestion? Close your trades when you have 1.0% nominal position drawdown, and optimize it for 0.5% to 1.5% position drawdown.
* After you make the above adjustment, re-plot.

As it says in the book Trading Systems by Tomasini and Jaekle, your losses are within your realm of control and not your profits. Yet, it is by controlling your losses that you will create more opportunities for profit.

Re: Additional testing to be undertaken... [Re: AndrewAMD] #471419
03/03/18 07:15
03/03/18 07:15
Joined: Sep 2017
Posts: 235
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Hredot Offline
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Hredot  Offline
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Posts: 235
I don't understand, what is the x-axis and the y-axis? How should one read this plot?


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