System Developers Journal Thread: Revisited

[Gyles]

Quote from SuperCruz:

Is it possible to post more details, regarding the experiment, something like they do in manuals, explaining steps with images, so it is easier to understand?

As per your request, I can create a short report accordingly. I shall be posting the same in the “TradersStudio Thread” as it shall complete and might be of some help to other users.

 

[Gyles]

Quote from SuperCruz:

Is it possible to post more details, regarding the experiment, something like they do in manuals, explaining steps with images, so it is easier to understand?

Quote from Gyles:

As per your request, I can create a short report accordingly. I shall be posting the same in the “TradersStudio Thread” as it shall complete and might be of some help to other users.

With reference to your request, SuperCruz, Please have a look here:

TradersStudio Thread


The various zip files have already been posted earlier in this thread and the same can easily be referred to for the experiment.

 

[SuperCruz]

Quote from Gyles:

With reference to your request, SuperCruz, Please have a look here:

TradersStudio Thread


The various zip files have already been posted earlier in this thread and the same can easily be referred to for the experiment.

Thankyou, Gyles.

 

[Gyles]

Welcome, SuperCruz

Quote from Gyles:

Attached is a modified ThreeMACrossover code[

Here, we shall add conditions to the part with the buy /sell rules to filter trades i.e. we shall add filters like ADX(14)>30 or RSI(CLose,10,0)>80 for a buy, so that you are not already overbought.

We shall continue this in the next post.

With reference to the above post, here our step shall be to filter the buy/sell entries. A simple example using ADX has been attached as PDF file (modified_3macross_code1.pdf).

I shall be trying out other ideas too.

Meanwhile, if anyone of you wishes me to try out any other different filter, please do not hesistate to ask here.

Thanks,

 

[GermanTrader]

While I like VB, most charts do not have such ability. Do you have the indicator settings broken down?

 

[Gyles]

Quote from GermanTrader:

While I like VB, most charts do not have such ability. Do you have the indicator settings broken down?

I own TradersStudio, so the code has been written in it. However, if anyone of you wishes to translate the same, it is fine.

 

[TraderSystem]

Quote from Gyles:

................

These two are different as "3D optimizer" analyzes optimization grid while "GA Optimizer" runs a smart optimization.

In fact, I am using both these add-ins for this experiment:

• The "3D optimizer" with the optimization grid.
• The "Genetic optimizer" in order to do major optimization test for filters later on.

Thanks, Gyles for the clarification.

Please can someone answer the following questions:

Quote from TraderSystem:

What happens with long term systems when a trade lasts for 6 months or more and you have multiple slippage and commission how do you test for that?

Also, when you optimize a system, how do you tell if a set of parameters is robust or not?

Quote from TraderSystem:

How is the parameter “maxbar” important? Do we have to take results from such a old date as 1980? What will happen if we take another different date?

Thanks!

 

[Gyles]

Came across an interesting thread with valuable inputs, as follows:

Strategy testing and simulation

 

[Murray Ruggiero]

Quote from Gyles:

TraderSystem, you have asked a good question.

I am not sure of the answer, shall need to think it over, or still better I shall ask Mr. Murray.

Mr. Murray, please answer the above query, thanks.

I like testing systems as far back as possible , unless there is a reason I know of that the markets changed. For example in T-Bonds , they use to open at 9:00 am before 1988, reports came out at 8:30. Now they open at 8:20 am and reports come out at 8:30 am so the market is open when the report is released. This had a effect on openning range breakout systems. If you have a trading system which works after 1988 in T-Bonds and not before that ok , because of this. But if it works back to 1983, all the better.

 

[TraderSystem]

Quote from Murray Ruggiero:

I like testing systems as far back as possible , unless there is a reason I know of that the markets changed. For example in T-Bonds , they use to open at 9:00 am before 1988, reports came out at 8:30. Now they open at 8:20 am and reports come out at 8:30 am so the market is open when the report is released. This had a effect on openning range breakout systems. If you have a trading system which works after 1988 in T-Bonds and not before that ok , because of this. But if it works back to 1983, all the better.

Thanks, Mr. Murray for the answer I think the above is for the following question:

Quote from TraderSystem:

How is the parameter “maxbar” important? Do we have to take results from such a old date as 1980? What will happen if we take another different date?

Thanks once more.