Strategy Robustness Tester

Vonasi · Sun, 01 Sep 2019 12:34:14 +0000

Following on from a discussion elsewhere regarding walk forward testing I had the idea to create a bit of code that you can add to any strategy and see how it would have performed if you had traded on only odd days or only on even days, or odd or even months or odd and even years or any combination of the three. By comparing the output of all 23 tests we can get an idea of how consistently a strategy makes profit. The gain figure in the optimisation results should be ignored as the number of trades for each test will be very different. The average gain per trade, win rate and equity curve for each test can tell us a lot about the strategies robustness though. You just add the code to the start of your strategy code and then insert the extra condition ‘and tradeon’ in the conditions whenever you send buy or sellshort orders to the market. Then just optimise with a variable ‘choice’ with values 0 to 22 step 1. Then just click on each result in the optimisation report to see the equity curve for each test. Here is the code to add to the start of your strategy in case it is of use to anyone: //Day Month and Year Robustness Tester //By Vonasi //20190901 //0 = all days //1 = odd days only //2 = even days only //3 = odd months only //4 = even months only //5 = even years only //6 = odd years only //7 = odd days in odd months only //8 = even days in even months only //9 = even days in odd months only //10 = odd days in even months only //11 = even months in even years only //12 = odd months in odd years only //13 = even months in odd years only //14 = odd months in even years only //15 = odd days in odd months in odd years only //16 = even days in even months in even years only //17 = even days in odd months in odd years only //18 = odd days in even months in even years only //19 = odd days in even months in odd years only //20 = even days in odd months in even years only //21 = even days in even months in odd years only //22 = odd days in odd months in even years only oddday = opendayofweek mod 2 = 1 evenday = opendayofweek mod 2 = 0 oddmonth = openmonth mod 2 = 1 evenmonth = openmonth mod 2 = 0 oddyear = openyear mod 2 = 1 evenyear = openyear mod 2 = 0 tradeon = 0 if choice = 0 then tradeon = 1 endif //odd days only if choice = 1 and oddday then tradeon = 1 endif //even days only if choice = 2 and evenday then tradeon = 1 endif //odd months only if choice = 3 and oddmonth then tradeon = 1 endif //even months only if choice = 4 and evenmonth then tradeon = 1 endif //even years only if choice = 5 and evenyear then tradeon = 1 endif //odd years only if choice = 6 and oddyear then tradeon = 1 endif //odd days in odd months only if choice = 7 and oddday and oddmonth then tradeon = 1 endif //even days in even months only if choice = 8 and evenday and evenmonth then tradeon = 1 endif //even days in odd months only if choice = 9 and evenday and oddmonth then tradeon = 1 endif //odd days in even months only if choice = 10 and oddday and evenmonth then tradeon = 1 endif //even months in even years only if choice = 11 and evenmonth and evenyear then tradeon = 1 endif //odd months in odd years only if choice = 12 and oddmonth and oddyear then tradeon = 1 endif //even months in odd years only if choice = 13 and evenmonth and oddyear then tradeon = 1 endif //odd months in even years only if choice = 14 and oddmonth and evenyear then tradeon = 1 endif //odd days in odd months in odd years only if choice = 15 and oddday and oddmonth and oddyear then tradeon = 1 endif //even days in even months in even years only if choice = 16 and evenday and evenmonth and evenyear then tradeon = 1 endif //even days in odd months in odd years only if choice = 17 and evenday and oddmonth and oddyear then tradeon = 1 endif //odd days in even months in even years only if choice = 18 and oddday and evenmonth and evenyear then tradeon = 1 endif //odd days in even months in odd years only if choice = 19 and oddday and evenmonth and oddyear then tradeon = 1 endif //even days in odd months in even years only if choice = 20 and evenday and oddmonth and evenyear then tradeon = 1 endif //even days in even months in odd years only if choice = 21 and evenday and evenmonth and oddyear then tradeon = 1 endif //odd days in odd months in even years only if choice = 22 and oddday and oddmonth and evenyear then tradeon = 1 endif Then alter your strategy code to use the TRADEON variable so that trades are only opened if the day, month and year meet the test criteria. if (your long entry conditions) and tradeon then buy 1 contract at market endif if (your short entry conditions) and tradeon then sellshort 1 contract at market endif

This topic has 161 replies, 20 voices, and was last updated 3 years ago by Roger.

Tagged: casino, robustness, walk forward

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09/11/2019 at 4:22 PM #107211

Vonasi

I’ve created a scoring system so as to easily rate each set of robustness test results.

The calculation is:

100-(((H-L)/H))*100)

Basically an inverted percentage of the difference as a percentage of the best result.

H = the best % of winners rate

L = the worst % of winners rate

Replace % of winners with average gain per trade if scoring that. A high score is a good score and a low score is a bad score.

I have set up an Excel book so that I can just clear the contents and drag in my latest test results and the graphs just appear and the calculations for the score are presented. The attached image is for QTY and RANDOM settings of 10 and 5. If I want to test other settings then I will just copy the Excel sheet to another tab and alter the chart data selection and then have a sheet for those settings all ready to use in the future. I’ve included graphs of trade numbers so it is easy to see if there has been plenty of them across the test.

The Excel book is attached – just right click and clear the contents and then drag in your average gain per trade results to the top left box and then drag the % of winners directly under it leaving a one line gap.

4 users thanked author for this post.

Bard, Andyswede, Magifina, GraHal

Vonasi
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09/11/2019 at 6:26 PM #107233

GraHal

Had a few issues as I’m using google sheets!

Also it’s been good (but not enjoyable) to refresh my spreadsheet skills! Use it or Lose it comes to mind! 🙂

Attached my results.

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09/11/2019 at 6:28 PM #107235

GraHal

Weird … I couldn’t select my 2nd file as I got an error message saying I cant select the same file twice ,,, but it has a different filename as you can see

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09/11/2019 at 6:31 PM #107237

Vonasi

You haven’t organised the average gain per trade from low to high which makes it a little difficult to analyse.

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09/11/2019 at 6:31 PM #107238

GraHal

And attached with your Template Vonasi.

I only imported the csv data (as I needed for google sheets) once only, but it produced both graphs anyway??

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09/11/2019 at 6:37 PM #107240

GraHal

Vonasi wrote:

You haven’t organised the average gain per trade from low to high which makes it a little difficult to analyse.

Okay I’ll do same analysis later or tomorrow on another System!

Her indoors has been outdoors hoovering out my new used Mondeo and was moaning at me glued to the screen! 🙂

GraHal
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09/11/2019 at 6:41 PM #107243

GraHal

It’s clicked with me now why we need 2 lots of data! haha

We can use 1 lot of data but we would have to do a screen shot of the charts separately after sorting columns etc.

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09/11/2019 at 6:44 PM #107249

Vonasi

Looking good GraHal – now you just have to add the scoring calculation – but perhaps relieving the missus of hoovering the Mondeo duties should take priority!

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09/11/2019 at 7:06 PM #107254

GraHal

Attached is the full data for Av Gain.

I’m doing it all a bit quick with one eye on the rerun of House and the data range was still set for your data e1:e47

GraHal
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09/11/2019 at 8:16 PM #107262

GraHal

Vonasi wrote:

If I want to test other settings then I will just copy the Excel sheet to another tab and alter the chart data selection and then have a sheet for those settings all ready to use in the future

As the Optimiser displays a max of 100 rows of data, would it not be better to have the VRT Template set from 1 to 101 and then 103 to 204??

There should then be no need to reset the Chart data range etc??

GraHal
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09/11/2019 at 8:29 PM #107266

GraHal

Vonasi wrote:

relieving the missus of hoovering the Mondeo duties should take priority!

I had to pull her off that job so she could get me a meal cooked! 🙂

Attached from the VRT Template after changing data ranges and calcs etc.

I guess it will all gel into a routine the more I do it!?

GraHal
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09/11/2019 at 8:38 PM #107269

Vonasi

GraHal wrote:

As the Optimiser displays a max of 100 rows of data, would it not be better to have the VRT Template set from 1 to 101 and then 103 to 204?? There should then be no need to reset the Chart data range etc??

Very well spotted – but we would have to ensure that we dragged and dropped our data into exactly the right places which could lead to errors. I’m going to stick to separate sheets for each setting combination as I imagine that I will only use a handful of different settings.

I’m not sure that you got the score thing right as it is impossible to score over 100!

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09/11/2019 at 8:40 PM #107270

Vonasi

I see that your charts are opposite ways round! One is low to high and one is high to low which will mess the scores up. They must both be low to high.

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09/11/2019 at 8:50 PM #107273

GraHal

Vonasi wrote:

The attached image is for QTY and RANDOM settings of 10 and 5

I take it you mean Qty 1 to 10 and RANDOM 1 to 5 … both in steps of 1?

Vonasi wrote:

They must both be low to high.

Right I’ll go sort it, thanks!

GraHal
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09/11/2019 at 8:57 PM #107274

GraHal

Phew … it’s like being back at work! 🙂

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