Posted By: Mithrandir77
Doubts about Detrend modes - 03/14/19 12:23
I have an strategy that exploits short term inefficiencies and I am using Detrend to find out if the performance is due to trend bias but I am not sure I understand correctly each Detrend type.
I have tested with Detrend equal TRADES, CURVE and INVERT and the system continue to be as profitable as it was.
But with Detrend equal PRICES, RECIPROCAL, SHUFFLE, SHUFFLE+CURVE the system lowered the profit or even became unprofitable. The problem is that I don't know if I understood the manual, according to it:
For determining if a system's profit is caused by artifacts, temporarily set Detrend = SHUFFLE+CURVE and test. If the profit is caused by a real edge, it should then disappear.
Questions:
1) So, since with Detrend = SHUFFLE+CURVE the profit dissapeared, there is a real edge? Or the manual is wrong and is the other way round?
2) What does it mean that the profit decreases only in the case of Detrend=PRICES?
3) Since the strategy exploits short term inefficiencies, I am not concerned that it turns unprofitable with Detrend=SHUFFLE since it 'removes any short-term trends and correlations between the prices' according to the manual. I am right?
Here are the test results
Detrend=SHUFFLE+CURVE
Detrend=PRICES , a bit of decrease of profitability
No Detrend
Thanks in advance!
PS: Is there a way to hide the code and when somebody wants to see it can be expanded? I remember there was a [hide] tag or something like that but it does not work.
I have tested with Detrend equal TRADES, CURVE and INVERT and the system continue to be as profitable as it was.
But with Detrend equal PRICES, RECIPROCAL, SHUFFLE, SHUFFLE+CURVE the system lowered the profit or even became unprofitable. The problem is that I don't know if I understood the manual, according to it:
Quote:
For determining if a system's profit is caused by artifacts, temporarily set Detrend = SHUFFLE+CURVE and test. If the profit is caused by a real edge, it should then disappear.
Questions:
1) So, since with Detrend = SHUFFLE+CURVE the profit dissapeared, there is a real edge? Or the manual is wrong and is the other way round?
2) What does it mean that the profit decreases only in the case of Detrend=PRICES?
3) Since the strategy exploits short term inefficiencies, I am not concerned that it turns unprofitable with Detrend=SHUFFLE since it 'removes any short-term trends and correlations between the prices' according to the manual. I am right?
Here are the test results
Detrend=SHUFFLE+CURVE
Code:
Test shortterm1.0 Simulated account AssetsFix Bar period 1 hour (avg 87 min) Test period 2013-01-02..2018-12-31 (36271 bars), detrended, shuffled Lookback period 80 bars (3 days) Simulation mode Realistic (slippage 5.0 sec) Gross win/loss 1701$ / -2267$ (-5854p) Average profit -94.45$/year, -7.87$/month, -0.36$/day Max drawdown -602$ -106.4% (MAE -616$ -108.9%) Total down time 99% (TAE 65%) Max down time 312 weeks from Jan 2013 Max open margin 201$ Max open risk 128$ Trade volume 1073555$ (179079$/year) Transaction costs -96.83$ spr, 11.18$ slp, -18.83$ rol Capital required 627$ Number of trades 929 (155/year, 3/week, 1/day) Percent winning 28.2% Max win/loss 105$ / -17.85$ Avg trade profit -0.61$ -6.3p (+67.1p / -35.1p) Avg trade slippage 0.0120$ 0.1p (+2.9p / -1.0p) Avg trade bars 39 (+76 / -25) Max trade bars 747 (6 weeks) Time in market 102% Max open trades 17 Max loss streak 21 (uncorrelated 22) Annual return -15% Profit factor 0.75 (PRR 0.68) Sharpe ratio -0.89 Kelly criterion -5.27 R2 coefficient 0.830 Ulcer index 100.0% Portfolio analysis OptF ProF Win/Loss Wgt% EUR/USD avg .000 0.55 76/212 52.9 GBP/USD avg .000 0.90 89/236 16.5 USD/JPY avg .000 0.74 97/219 30.6 EUR/USD .000 0.55 76/212 52.9 EUR/USD:L .000 0.54 34/101 24.0 EUR/USD:S .000 0.56 42/111 28.9 GBP/USD .000 0.90 89/236 16.5 GBP/USD:L .000 0.87 47/113 10.8 GBP/USD:S .000 0.93 42/123 5.7 USD/JPY .000 0.74 97/219 30.6 USD/JPY:L .000 0.69 42/105 17.2 USD/JPY:S .000 0.79 55/114 13.3
Detrend=PRICES , a bit of decrease of profitability
Code:
Test shortterm1.0 Simulated account AssetsFix Bar period 1 hour (avg 87 min) Test period 2013-01-02..2018-12-31 (36271 bars), detrended Lookback period 80 bars (3 days) Montecarlo cycles 200 Simulation mode Realistic (slippage 5.0 sec) Gross win/loss 4383$ / -2633$ (+18116p) Average profit 292$/year, 24.33$/month, 1.12$/day Max drawdown -535$ 30.6% (MAE -694$ 39.7%) Total down time 77% (TAE 78%) Max down time 66 weeks from Jan 2017 Max open margin 245$ Max open risk 2460$ Trade volume 943247$ (157342$/year) Transaction costs -78.44$ spr, -36.74$ slp, -69.41$ rol Capital required 623$ Number of trades 783 (131/year, 3/week, 1/day) Percent winning 42.3% Max win/loss 110$ / -53.86$ Avg trade profit 2.24$ 23.1p (+137.1p / -60.3p) Avg trade slippage -0.0469$ -0.5p (+2.5p / -2.7p) Avg trade bars 114 (+182 / -65) Max trade bars 1055 (9 weeks) Time in market 248% Max open trades 17 Max loss streak 14 (uncorrelated 13) Annual return 47% Profit factor 1.66 (PRR 1.50) Sharpe ratio 0.83 Kelly criterion 1.48 R2 coefficient 0.722 Ulcer index 17.5% Confidence level AR DDMax Capital 10% 53% 435 553$ 20% 51% 468 576$ 30% 49% 499 598$ 40% 47% 539 626$ 50% 45% 568 647$ 60% 43% 604 672$ 70% 41% 667 717$ 80% 38% 742 770$ 90% 35% 838 838$ 95% 30% 1019 966$ 100% 20% 1713 1457$ Portfolio analysis OptF ProF Win/Loss Wgt% EUR/USD avg .210 1.33 101/151 18.7 GBP/USD avg .073 1.92 112/117 49.7 USD/JPY avg .097 1.78 118/184 31.5 EUR/USD .071 1.33 101/151 18.7 EUR/USD:L .353 1.80 5/14 1.3 EUR/USD:S .068 1.32 96/137 17.5 GBP/USD .144 1.92 112/117 49.7 GBP/USD:L .000 0.00 0/12 -0.9 GBP/USD:S .146 1.95 112/105 50.6 USD/JPY .180 1.78 118/184 31.5 USD/JPY:L .195 1.89 112/164 32.7 USD/JPY:S .000 0.67 6/20 -1.2
No Detrend
Code:
Test shortterm1.0 Simulated account AssetsFix Bar period 1 hour (avg 87 min) Test period 2013-01-02..2018-12-31 (36271 bars) Lookback period 80 bars (3 days) Montecarlo cycles 200 Simulation mode Realistic (slippage 5.0 sec) Gross win/loss 5686$ / -3668$ (+20915p) Average profit 337$/year, 28.05$/month, 1.29$/day Max drawdown -155$ 7.7% (MAE -262$ 13.0%) Total down time 73% (TAE 83%) Max down time 31 weeks from May 2017 Max open margin 245$ Max open risk 338$ Trade volume 1792956$ (299082$/year) Transaction costs -146$ spr, -67.29$ slp, -46.08$ rol Capital required 355$ Number of trades 1494 (250/year, 5/week, 1/day) Percent winning 39.3% Max win/loss 123$ / -42.99$ Avg trade profit 1.35$ 14.0p (+100.4p / -41.9p) Avg trade slippage -0.0450$ -0.5p (+2.7p / -2.5p) Avg trade bars 55 (+98 / -28) Max trade bars 739 (6 weeks) Time in market 230% Max open trades 17 Max loss streak 23 (uncorrelated 16) Annual return 95% Profit factor 1.55 (PRR 1.44) Sharpe ratio 1.20 Kelly criterion 1.52 R2 coefficient 0.874 Ulcer index 5.5% Confidence level AR DDMax Capital 10% 96% 148 350$ 20% 92% 169 365$ 30% 90% 181 373$ 40% 88% 193 382$ 50% 86% 208 392$ 60% 84% 222 402$ 70% 81% 238 414$ 80% 78% 266 434$ 90% 73% 309 464$ 95% 69% 342 487$ 100% 61% 427 547$ Portfolio analysis OptF ProF Win/Loss Wgt% EUR/USD avg .126 1.43 171/273 22.2 GBP/USD avg .193 1.68 184/260 45.1 USD/JPY avg .174 1.51 232/374 32.7 EUR/USD .160 1.43 171/273 22.2 EUR/USD:L .030 1.06 80/131 1.3 EUR/USD:S .222 1.73 91/142 20.9 GBP/USD .202 1.68 184/260 45.1 GBP/USD:L .096 1.25 88/139 8.8 GBP/USD:S .289 2.20 96/121 36.3 USD/JPY .136 1.51 232/374 32.7 USD/JPY:L .320 2.25 110/166 29.6 USD/JPY:S .028 1.08 122/208 3.1
Thanks in advance!
PS: Is there a way to hide the code and when somebody wants to see it can be expanded? I remember there was a [hide] tag or something like that but it does not work.