Attached is a Renko ML2: 2 x Machine Learning Algos: ValueX for the BoxSize and ValueY for the Trailing Stop.
I am not sure how much you can trust any of these results sometimes, because I have literally got quite different results using the exact same parameters (I screenshot everything as form of keeping track of data).
In the past I’ve tended to keep the BoxSizes and Trailing Stop Loss small between 10 and 150 but when you increase, eg the Trailing Stop range, like from 10 to 150 up to a new setting of 200 up to max 300 the profit might go down but drawdown has also gone down massively for some of my Dow backtests. I think ML1 is simpler and more profitable, I think the less parameters you have the more likely the system won’t suffer curve fitting. When I, (if I), get the Robustness Tester to be able to switch on an off using tradeon = 1, and without having to // all the code, I’ll do the VRT tests.
I’ve think I may have an answer to the Tick by Tick Warnings: Because of keeping track with screen-shoting, I think, the tbt warnings are at times being tripped by the settings and not because it’s a daily TF.
For example having used the larger Trailing Stop at 200 to max 300 and had no trouble backtesting Dow Daily 2015 to present, when I went back the smaller previous ranges (10 to 150 for both the Stop and the BoxSize) I immediately got a tbt warning. This happened with optimisations of the BoxSize when I used small starting values of 10 or 50 (to 300 in steps of 10) but not with 200 (to 300) but it didn’t happen when I replaced the ValueY with 10 (for a trailing stop loss)? When I went back and tried my ValueX = BoxSize (as opposed to Trailing Stop) system the only way I could get Dow Daily tbt warnings to stop was when I increased Starting Value to 200 (having tried 10, then 100 first). The Tick Mode was 579. However on the £/$ I got no tbt warning despite the Stop Loss starting at 10!?
The same thing happened when I changed the Ehler’s Universal Oscillator bandedge setting from 50 to 200, I got a tbt warning.
IG have confirmed there is enough daily tbt data: “Daily view: as much data as possible.” (Typically back to Aug 2010 and besides PRT will warn you when there isn’t enough data).
Who knows why this is happening?
Bottom line though: If the curve looks too good to be true (i.e. perfect line from the bottom left to top right like a lot of the ValueX Trailing Stops test can show), then it likely is. Those Stops probably won’t happen as perfectly in live trading. Just a hunch unless anyone has live data?
