First results SAR Strategy …

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Viewing 15 posts - 31 through 45 (of 58 total)
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  • 09/14/2020 at 7:33 PM #144253
    April O’Neil

    With this money management you can’t have more than one system running, a bad period and you literally burn your capital, no?

    09/15/2020 at 8:31 AM #144288
    zilliq

    Hi @April O’Neil

    It is always better to have different algo who works with different system, market structure and so on …

    You can see the different algos with OOS results on my “Incubator” (I can’t have more on complete V11 version). On demo for testing and when V11 IG will be available I  will put the best on real

    But with a good money management and of your risk it’s not a real problem to have only one algo. For example 1 % risk/trade

    Have a nice day

     

     

    09/15/2020 at 8:53 AM #144295
    zilliq

    As Bad CCI Donkey, the Bad Stochastic Donkey has stopped for today because of goal reach

    +46 % OOS results  in 6 days. As you see there is a sometimes somes bugs on the results and for example we can’t have win/loss ratio

    Bad SAR Doney is at +7 % of the day. It can probably take one or 2 other trades

    + 82 % in 8 days with 110 trades taken Win/loss ratio of 2.34 (I always look for >2)

    Very interesting, you see that better trades last less than 15 mn

    We have a lottttt of very good indicators on the results, sadly PRT never give any details and explanations on interpretations (But we can find it on others platforms)

    See you later if it changes

     

    09/15/2020 at 11:19 AM #144322
    zilliq

    As I previously said, I hope PRT will add some improvments as the possibility to do backtest based on our indicators (Not very complex to code I think)

    For example the win/loss ratio who always need to be >2 and higher is better with STD smaller as possible

    Fingers crossed

    1 user thanked author for this post.
    09/16/2020 at 11:24 AM #144413
    zilliq

    @April O’Neil

    Just to show why we need to have some different algos at the same time

    There are 2 days I did a donkey algo with repulse this time, and as you see, it doesn’t work at this time.

    I will wait for some days but doesn’t seems to work

    But always interesting to see why it doesn’t work

    Bad CCI Donkey stop for today because of goal reach +38 % for last 5 days

    09/16/2020 at 11:37 AM #144416
    zilliq

    Oups wrong file

    -4 % at this moment on Donkey SAR (+77 % last 9 days) and +10 % on Donkey Sto=stop because of goal reach  + 57 % last 6 days

    1 user thanked author for this post.
    09/16/2020 at 6:08 PM #144465
    zilliq

    Well very very nervous on EUR/USd (Near 1.2)

    Donkey SAR finish at +2 %, + 85 % after 9 days Win/loss 1.88 = correct and Sharpe 1.88 = correct too

    Surprise it works pretty well with so much trades and a so bad Donkey

    We will see at the end of week

    Good evening

    09/16/2020 at 7:46 PM #144470
    Paul

    Hi Zilliq, nice work &  interesting results, if it does many trades can you couple those statistics with a chart from only the last day? I see also a few neutral trades, it uses a breakeven too?

     

     

    09/16/2020 at 9:19 PM #144478
    zilliq

    Thanks @Paul

    Not sure to understand. You want to the trades from today ? I Put the graphic

    The algos takes only short today and it takes more trades after my last post, and now for today we are at +14 %, and +97 % in 9 days. Not bad at all for a donkey

    And yes this algos (not all) have a breakeven. Generally I don’t like breakeven, target and so on because it stop too soon the trades, and I prefer to let the trades breathe. The problem is that when it goes wrong you can have a big drawdown, but if you have a good WIn/loss ratio it’s not a real problem

    1 user thanked author for this post.
    avatar Paul
    09/17/2020 at 4:48 PM #144576
    Paul

    Thanks looks like a tough market but still results are very good. Because your approach I try different ways. Not getting the results I want though. Are you using mtf in this code? and sorry few more questions.

    Would it be better 20 max reoccurrences with limited 10k-50k data or i.e. 3-7 occurrences with much more data?

    you prefer linked or unlinked?

    Just curious!

    09/17/2020 at 9:38 PM #144599
    zilliq

    Hi @Paul

    Generally I use MTF but I think we can have good results without MTF (I will test) as is is only a multiple

    Average[20](close) in 15 mn is quite average[20*15](close) in one minute

    And for Walk Forward, I think is is better to have less occurence with more data, but I don’t use a lot WF because actually it is not very useful as it is only on some conditions (Gain..) and not on indicators I want to

    FYI The bad SAR Donkey works well but not reach the goal +5%, and +100 % after 10 days (Not bad for a bad Doneky on OOS results)

    And even better on Bad STo Donkey with +20 % today, +68% in 7 days (Win/LOss = 4.26 !)

    Have a nice day, and conclusion tomorrow with the last day of the week

    Bye

    09/17/2020 at 9:54 PM #144602
    zilliq

    Hi @Paul

    I did a rapid backtest and confirm we can have very good IS backtest WITHOUT MTF

    (As always Good IS Backtest means nothing, just the first step, and the second step is to confirm in OOS as with Bad Donkeys)

    Bye

    1 user thanked author for this post.
    avatar Paul
    09/18/2020 at 7:08 AM #144615
    MAKSIDE

    I try also to find the best indicator, in order to have lot of trade with a donkey strategy.. Without mtf but algo < 2% on the market.

    Interesting topic

    09/18/2020 at 3:47 PM #144685
    zilliq

    Hi @MAKSIDE

    As indicated on file based on CCI Donkey, the answer is not the indicator (You can have a very backtest and results with quite all indicators as here with STO, SAR, CCI and so on..)

    The most important is to work on money management, money management, and…money management. Simplify your code, analyze the market structure

    So many people search the best strategy, the best indicator but I’m sure it’s not the answer

    Bye

    09/18/2020 at 4:03 PM #144688
    zilliq

    Well, end of week test with these bad Donkeys and stupid strategies

    The system are stopped because of goal reach (May be sto will take another)

    Bad Sto Donkeys + 77 % in 9 days.  Not bad, with an excellent Win/Loss of 4.69 ratio

    Bad SAR Donkeys + 116 % in 11 days. Not bad too for OOS Results Sharpe ratio of 2.31 quite good and Win/Loss of 2.21, good too

    The conclusion is always the same : Stop finding the best strategy but search, find, test your best Money Management, simplify code, analyze market structure…This is the Way 🙂

    Now i will let this algos run, to see when they will be broken (Big Max Drawdown), to evaluate when reevaluate variables and do another backtest on IS and do another OOS test

    Have a nice day and week-end

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