Gamestudio Links
Zorro Links
Newest Posts
AlpacaZorroPlugin v1.2.0 Released
by DdlV. 12/01/21 18:04
Oanda LotAmount in Trade Mode
by JayWilly. 12/01/21 15:08
Price of entry with OrderDelay
by Zheka. 11/30/21 09:56
Issues with Binance Futures Plugin v1.0.2.9
by degenerate_762. 11/30/21 09:03
Lapsa's very own thread
by Lapsa. 11/29/21 00:56
Basic Time Windowed profit taking
by Petra. 11/28/21 07:38
Sam Foster Sound | Experienced Game Composer for Hire
by titanicpiano14. 11/27/21 15:02
Should be possible
by AndrewAMD. 11/27/21 14:56
AUM Magazine
Latest Screens
Tactics of World War I
Hecknex World
Scheherazade's Journey
Paradox Vector
Who's Online Now
6 registered members (Quad, AndrewAMD, 3run, Lapsa, degenerate_762, jack800), 517 guests, and 9 spiders.
Key: Admin, Global Mod, Mod
Newest Members
allelxr, dcointrade, mcyr, AlgOz, Dark_Saber
18710 Registered Users
Previous Thread
Next Thread
Print Thread
Rate Thread
Is it possible to find robust systems? #484375
10/17/21 15:19
10/17/21 15:19
Joined: Oct 2021
Posts: 4
Madrid
M
Mariano Offline OP
Guest
Mariano  Offline OP
Guest
M

Joined: Oct 2021
Posts: 4
Madrid
Hi all,

I wanted to open a thread that is difficult to find on the internet.

I have been studying and programming algorithmic trading for 3 years.
I have solved many of the associated problems: platform, live trading robot, error capture, money management algorithms. I have the ability to operate multi-instrument + multi-timeframe and be able to allocate capital to different systems in real time based on their performance. Likewise, global capital management of accounts with withdrawal policies, MSD control (%), etc.

But ... I have a big problem. I CAN'T FIND SYSTEMS THAT I CONSIDER ROBUST TO BE ABLE TO OPERATE IN REAL.

My initial approach has been mainly through data mining, using programs like StrategyQuantX and BuildAlpha.
My experience is that they are good programs to get the best curve in the past, as they use genetic algorithms to extract that much desired set of rules.
But when I want to analyze the strategies in OOS and with robustness tests (monte carlo, noise test, etc.) 99% fall.

Now I am learning Zorro and I see that it is a good platform to test ideas quickly and to be able to validate them in OOS.

I throw several questions:

1 - Can you get robust automatic systems that work in real life?
2 - Can anyone confirm that you have them and operate with them?
3 - What opinion do you have about builders (data mining) vs trying ideas with logic?
4 - How is your process of finding systems?

I have been very stuck for 6 months and already very frustrated.
I hope someone can help me and give me some real opinion of their systems.

Thank you very much in advance.

Re: Is it possible to find robust systems? [Re: Mariano] #484376
10/17/21 16:22
10/17/21 16:22
Joined: Aug 2017
Posts: 70
Netherlands
G
Grant Offline
Junior Member
Grant  Offline
Junior Member
G

Joined: Aug 2017
Posts: 70
Netherlands
1. I'm confident you can, but it can be a long road of testing & evaluating certain concepts, rules, models, etc.
2. Not yet!
3. I believe that machine learning is def the way to go. These algos are way more objective & sophisticated than simple trading rules (please forget technical analysis).
4. Create a large data set, train a model (I use R), while preventing over-fitting as much as possible by applying techniques like cross-validation or the AIC or BIC criterion and out-of-sample test this in Zorro. Store all results in an organized way.

Bonus tip: there are esp 3 important concepts about machine learning that you need to understand: sample size determination, variable-selection methods (i.e. variable importance) and the bias-variance tradeoff.

Last edited by Grant; 10/17/21 17:16.
Re: Is it possible to find robust systems? [Re: Mariano] #484382
10/18/21 20:59
10/18/21 20:59
Joined: Oct 2021
Posts: 4
Madrid
M
Mariano Offline OP
Guest
Mariano  Offline OP
Guest
M

Joined: Oct 2021
Posts: 4
Madrid
Grant,

thank you very much for the reply. It's a great help.

And thanks for the machine learning tips, I didn't know about the bias-variance tradeoff (I'm also studying it).


Moderated by  Petra 

Powered by UBB.threads™ PHP Forum Software 7.7.1