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
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
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
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.