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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12/08/2019 at 7:46 PM #114446

Paul

Looks like tony has some nice advanced ideas but I will make it work for myself and post the excel sheet.

Paul
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12/08/2019 at 8:23 PM #114447

Tony87

Thanks Paul, for me it’s on the back burner at the moment, but I do plan to work on it some more in the future, I think the main advantage is, to easily establish a robustness baseline that can be compared to when adapting a strategy, I will also update if I make progress on it

Tony87
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12/08/2019 at 11:05 PM #114460

Paul

Looking forward to your improvements, it sounds interesting!

They way I compare often, on a mac, is taking screenshots, which I can open at the same time to quickly compare. But that’s basic!

Here’s what I got so far.

I had an easy macro included, but it’s not allowed to be uploaded so it’s removed.

Don’t take the results for granted. It needs checking.

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12/09/2019 at 10:01 AM #114470

Vonasi

Perhaps we should also be calculating the average win rate from all the tests and the average gain per trade from all the tests as this gives us a truer idea of the performance of a strategy based on all the tests. Perhaps giving some weighting to tests that have more trades in and less weighting to those with only a few trades in would be a good idea when calculating these averages.

Vonasi
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12/10/2019 at 3:53 AM #114528

Paul

a bit more to play with, but looking at these figures it’s incredibly boring!

Didn’t do direct weighting to it but it could be done on this basis.

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Vonasi

Paul
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12/10/2019 at 4:58 AM #114531

Paul

tried another system with less trades.

splitting it on average trades in 3 ways has it flaws because of div/0 error. Anyway.

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12/10/2019 at 5:17 PM #114587

Paul

fixed the div/0.

even when not all sheets are filled, all is calculated correctly

report sheet is locked to prevent accidental changes, password is in cell a1

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GraHal

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12/10/2019 at 10:30 PM #114611

Paul

final one p6

if tested with 2-10 1-5, the 45 test results can also be copied. The graphs aren’t dynamic and are stuck with 100 tests so lines go half way.

2 reports, added one extra, with one split less. Probably better for strategies with fewer trades.

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Dow Jones, Bard

Paul
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01/18/2020 at 3:07 PM #117165

nonetheless

Hello all, apologies for being dense — I have the test results but how do I get the optimize report into Excel?

Yes, I did read the idiot’s guide on page 1 but, drag and drop what exactly? Nothing moves and cant select for copy/paste. I don’t geddit.

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01/18/2020 at 4:45 PM #117169

Vonasi

Have the optimised results window open on the same screen as Excel. Click anywhere on the optimised results window and hold the mouse button and drag it into the Excel data page and then release the mouse button. The optimised results window contents will appear in the Excel page.

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nonetheless

Vonasi
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01/18/2020 at 5:04 PM #117172

nonetheless

Yeah, tried that about a hundred times … nada. Nothing moves. Nothing copies over to Excel.

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01/18/2020 at 5:48 PM #117175

Vonasi

Sometimes I find that Excel disappears when I click and hold on the results window but if I drag down to the Excel item on the task bar at the bottom of the screen (Windows 10) then Excel suddenly appears again.

Perhaps you should try shutting down your platform and starting it again as switch it off and on again often fixes things!

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01/19/2020 at 1:45 AM #117185

Paul

ran a test on the dow with 1 hour timeframe and spread 2.4 200k bars

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GraHal

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01/19/2020 at 2:14 AM #117188

Paul

another one, dow with 5 min timeframe and spread 2.4 200k bars

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GraHal

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01/19/2020 at 2:27 PM #117207

nonetheless

Vonasi wrote:

as switch it off and on again often fixes things

Primary tech advice – see image 1! And yes, seems to have done the trick, thanks.

So … what counts as a good result here? and which do you consider as the key metric – Average Gain, % Win or Average of the two?

Do you regard this as superior to WF analysis, or to be used in conjunction with?

@Paul, nice work on the VRT template, dead easy to import data! 👍

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Paul

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