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 | ATR 0.8-2.2 | Period 20 | NOT Use indicator levels
• ProfitTarget: required | ATR 1-4.0 | Period 20 | Use indicator levels
• Data
• Only test until 31.12.2019, remaining data is for second OOS Test (Trump/Corona Test)
• Test last 6 years (last years are more important hence markets are not stationary)
• IS 70%, 30% OOS
• Building Blocks
• Focus on Indicators, not on predefined conditions
• Pullback (rare, high WR, needs high SL, psychological demanding)
• Breakout (Stop-Order, WR ~40%, usually trend following, therefor PT not require, but trailing)
• Mean Reversion (after a trend, price went back to MA, prefered Limit-Orders, only for markets that are not trending)
• Trend follower (higher timeframe only 4H+)
• Fuzzy Logic (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
• Monte Carlo trades manipulation (250 sims | randomize trade orders | full sample | resampling)
  • Filter are same as in MC trades Retest
• Higher backtest precision
  • Net profit of precision-test > 70% of orig. Net profit | SQN > 2.0 | Stability SQ3 > 0.8
• Ranking
• Weighted fitness: SQN * 1 | Complexity * 1
• Automatic filter: all + add warnings
• Custom filters: # of trades >= 175 | Winning Percent(IS+OOS) >= 40% | SQN Score(IS) >= 1.8 | SQN Score(OOS) >= 1.4 | Avg. Win >= 10
  (make sure strat dont loose Alpha in OOS)

Retest - STAGE 1

• Data
• Slippage: "1" is enough for Forex, allways according to markets (as example Gold is 100+.).
• Turn off Ranking custom filters, won't 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) <= 16%
• Filter Ret/DD ratio (@ 95% confidence) >= 2.5
• Filter Net Profit (@ 99% confidence) > 0
• Higher backtest precision
• Net profit of higher precision >= 70% of orig. Net profit
• SQN of higher precision >= 2
• Stability SQ3 of higher precision >= 0.8
• Monte Carlo retest (test for broker, price peaks)
• 2 tests with 1000 sims | full sample | selected TF only
• Randomize history data: prob. 30% | change 12%
• Slippage 0-3 (~1 x spread of symbol)
• Filter Max DD % (@ 95% confidence) <= 16%
• Filter Ret/DD ratio (@ 95% confidence) >= 2.5
• Filter Net profit (@ 95% confidence) >= 65% of Net profit
• Filter manually: MC channel has to be symmetrically above/below orig. equity curve (Risk and Reward have to be symetric)
• Monte Carlo retest (test for overfitting)
• 1 tests with 1000 sims | full sample | selected TF only
• Randomize strategy params: prob. 20% | change 25% | symetric
• Filter same as MC above
• Filter manually: check for a) stagnating equity curves b) strats that differ a lot from orig (then its curve fitted)
• OOS Trump Tweets/Corona test
• Test 1.1.2019 until today
• Filter Profit factor >= 1.3
• SPP / Overfitting test
• Sys. Param Permutation | 5000 sims
• Filter % of Profitable Optimizations > 90
• Filter Average profit (in $) of all optimizations > 100
• Filter Net profit (Median) >= 65% of Net profit
• Filter Ret/DD Ratio (Median) >= 2.5
• 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 10-60 Step 5
• Runs 5-20 Step 5
• Value distribution 30% up/down | 12 max steps
• Filter recommended conditions

Improve manually - STAGE 2

• Exclude negative trading days? (eg. dont open on friday)
• Demo for min. 2 weeks and compare calculated SQX trades with real trades of your platform

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