StrategyQuant X Workflow

Goal = 3 strategies per market

• Make sure goal can adhere number of simultaneous trades of your broker
• 1 Fuzzy strategy on 1H
• 1 Random strategy on 4H
• 1 Fuzzy strategy on 1D
• 1 Classic trend following strategy on 1D

Build - STAGE 0

• What to build
• StopLoss: required | 20-100 Pips | ATR 0.5-2
• ProfitTarget: not required | 20-160 Pips | ATR 1-3
• SL/PT ranges: M30 15-100 pips | H1 30-200 pips | H4+ 50-300 pips | Gold 600-3000 pips
• Data
• Only test until 31.12.2019, remaining data is for second OOS Test (Trump/Corona Test)
• ~5-6 years (not too much, last years are more important hence markets are not stationary)
• IS 70%, 30% OOS
• Building Blocks
• Pullback (rare, high WR, needs high SL, psychological demanding)
• Breakout (Stop-Order, WR ~40%, usually trend following, therefor PT not require, but trailing)
• Chop/Mean Reversion (sideway expecting to bounce from certain level, prefered Limit-Orders, only for markets that are currently MR)
• Trend follower (higher timeframe only 4H+)
• Fuzzy Logic/Biased (55%-95% of 3-6 conditions have to be fullfilled)
• Money management
• Initial capital: 10.000
• Fixed size: no, with SL by ATR, each trade will have different trade size in money
• Risk fixed %: no, equity curve will not be normalized
• Fixed amount: 100$ per trade flat per 10K capital
• Cross check
• Higher backtest precision (Net profit of precision-test >= 80% of orig. Net profit)
• Monte Carlo trades manipulation (300 sims | randomize trade orders | full sample | resampling)
• Ranking
• Weighted fitness: 2 * Ret/DD | 1 * Ulcer Performance Index
• Automatic filter: no trades | too many ambiguous trades | add warnings
• Custom filters: # of trades >= 80 | Winning Percent >= 35% | SQN >= 1.3 | Ret/DD Ratio(OOS) >= 1.3 | Stability(OOS) >= 0.6
  (dont go too strict, give genetic evolution a chance)
• Filter out stats with correlation > 0.8 Profit/Loss by Week (Allow negative correlation)

Retest - STAGE 1

• Data
• Slippage: in average 1 is enough for Forex, but you can retest with 3 to make sure. Allways according to markets (as example Gold is 100+.).
• Turn off Ranking custom filters, wont work anyways unless you define the correct retested input data.
• Monte Carlo trades manipulation (test for random market timings/occurences)
• 1 tests with 1000 sims | full sample | resampling
• Filter Max DD % (@ 95% confidence) <= 15%
• Filter Ret/DD ratio (@ 95% confidence) >= 20% Ret/DD ratio
• Filter Ret/DD ratio (@ 95% confidence) >= 1.5
• Filter Stability (@ 95% confidence) >= 0.55
• Higher backtest precision
• Net profit of precision-test >= 80% of orig. Net profit
• Monte Carlo retest 1 (test for overfitting)
• 1 tests with 350 sims | full sample
• Randomize strategy params: prob. 20% | change 25% | symetric
• Filter Max DD % (@ 95% confidence) <= 14%
• Filter Ret/DD ratio (@ 95% confidence) >= 40% Ret/DD ratio
• Filter Ret/DD ratio (@ 95% confidence) >= 2.5
• Filter manually by watching out for a) stagnating equity curves b) strats that differ a lot from orig (delete the curve fitted)
• Monte Carlo retest 2 (test for broker, price peaks)
• 3 tests with 350 sims | full sample | selected TF only
• Randomize history data: prob. 30% | change 12%
• Slippage 0-3 (~1 x spread of symbol) | Spread 2-5 (~1.5 x spread of symbol)
• Filter same as MC above
• Trump Tweets/Corona test
• Test 1.1.2019 until today
• Filter Profit factor >= 1.3
• SPP / Overfitting test
• Sys. Param Permutation | 2000 sims
• Filter % of Profitable Optimizations > 85
• Filter Ret/DD Ratio(median) >= 66% Ret/DD Ratio
• Filter Ret/DD Ratio(median) >= 3
• Filter Max DD % Ratio(median) <= 15%
• Walk-Forward Matrix (usually skip, only when too many strats pass all other)
• 5000 tests | Simulated IS, Exact OOS | Percent, Floating
• OOS 10-35 Step 5
• Runs 5-20 Step 5
• Filter recommended conditions

Improve manually - STAGE 2

• Retest on MT4/MT5 (or whatever your trading platform is)
• Exclude none trading days (dont open on friday?)
• Fuzzy Logic: try higher # of conditions that have to be fullfilled

Improve exit - STAGE 3

• Load strategies from Stage2 into Builder "Improve existing strategy"
• Choose only the exists, everything else is same as in builder
• Weighted fitness: 2* Ret/DD | 1* Max DD %
• Repeat all retests from Stage 1

Improve all parameters - STAGE 4 (high risk of overfitting)

• Load passed strategies from Retester STAGE 3 into Optimzer
• Simple Optimization | Max 20.000 | Recommended parameter | Opt. also trading options
• Value distri. up/down 32 | Steps 8
• Repeat all retests? Not necessary, results will be overfitted. But yeah sure, go test, allways!

Combined portfolio - STAGE 5

• Filter correlated assets
• How? Todo
• ? RSquared of Asset 1 Diff vs Asset 2 Diff
• Filter similar algos - in SQX
• Run the strats without any robustness test, but with 1min precision
• Sort by Ret/DD Ratio, eyeball equity curves, remove those that that are too equal to another strat
• Click all, create Portfolio; check equity curves of portfolio parts; how many do they visually overlap?
• Correlation by Monthly (on daily trades), Weekly (on 4h trades), Daily (on 1h trades) | Correlation of Profit/Loss | Allow negative correlation
• Check pseudo-code, if there are really different
• Filter similar algos - in QuantAnalyzer
• Select all in "Portfolio Master"
• Brute force
• Number of strategies in portfolio = min 2, max 2 (if all are breakout strats)
• Rank by Return / Drawdown ratio
• Correlation Settings = 0.3 Profit/Loss per Day
• Allow negative correlation
• Data range = recent lookback
• Choose a combined strategy and click "Analyze" button, check overlapping equity curves (source)

Enjoy da Pips - LIVE

• Avoid over-leveraging (too many trades in same direction of one symbol)
• Risk reduction with "escape rules"
• Economic News
• Price Shock