Adaptive Trading Strategies

The attachment is an image of the state of the swarm as at the last bar. The bots that are spread throughout the entire parameter space are 'ghost' bots. Ghost bot signals are not used when generating the systems trading signal, but they are used during the bar by bar adaptation process. The cluster of bots is the 'live' swarm.
 

Attachments

I used the following parameter ranges for the QQQQ SMA Crossover system:

Plus SMA length 2 to 8
Minus SMA length 20 to 40

The lookback period is 1,000 trading days. The results are not anything special. The attached file is an image of the equity curve.
 

Attachments

Quote from jalsck:

The trade report for the QQQQ SMA Crossover system is attached.
More...

The results you get are very disappointing. This is what I get with a stop and reverse system that buys when mov. avg 5 > mov. avg. 30 and sells when it is <. Equity curve is like a straight line up.

Total net profit 88.2400
Total long trades 333
Total short trades 49
Winning long trades 236
Winning short trades 11
Total winning trades 247
Total losing trades 135
Win rate 64.65%
Profit factor: 1.85
Max. open drawdown -3.30

Obviously, your bots are doing something wrong. I get the feeling from looking at your open equity of about 8 versus the closed equity of just around 6.6 and the low win rate you get that the bots are taking the extreme parameter values.
 
Thanks for the trade report. I don't think it is the bots. I am using SMAs of the close and trading on the next open. Are you doing the same?
 
Quote from jalsck:

Thanks for the trade report. I don't think it is the bots. I am using SMAs of the close and trading on the next open. Are you doing the same?
More...

Yes, I use that file goodgoing uploaded. Trading starts on Jan. 2002. Actually, it turns out that the (5,30) system is a good one. I wonder why your bots fail.
 
It is related to the trading delay. I just set the trading delay to zero and the equity curve looks good. However, my understand is that a trading delay of zero means the system will trade on the current period's open. I need to take a close look at the trades. I don't usually trade on the open so I might have used the wrong setting.
 
According to the Dakota documentation my initial understanding of how the trading delay works was correct. I am going to check all values on a spreadsheet against a 'fixed' 5/30 parameter system in Dakota.
 
I checked a Dakota 5/30 system against a spreadsheet and they were in perfect agreement. I am using simple moving averages of the closing price and trading on the next open. The equity curve of the fixed 5/30 system is uglier than the adapted version.
 
You must log in or register to reply here.
Back
Top