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Re: Lapsa's very own thread [Re: Lapsa] #487057
01/06/23 14:45
01/06/23 14:45
Joined: Aug 2021
Posts: 237
L
Lapsa Offline OP
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Lapsa  Offline OP
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L

Joined: Aug 2021
Posts: 237
Quote

Monte Carlo Analysis... Median AR 1551%
Win 34.40$ MI 1.70$ DD 0.76$ Capital 1.30$
Trades 3641 Win 63.0% Avg +94.5p Bars 242
AR 1575% PF 2.26 SR 9.29 UI 0% R2 0.00

Re: Lapsa's very own thread [Re: Lapsa] #487392
04/03/23 21:34
04/03/23 21:34
Joined: Aug 2021
Posts: 237
L
Lapsa Offline OP
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Lapsa  Offline OP
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L

Joined: Aug 2021
Posts: 237
porn

[Linked Image]

Re: Lapsa's very own thread [Re: Lapsa] #487406
04/10/23 11:44
04/10/23 11:44
Joined: Apr 2023
Posts: 12
R
rki Offline
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rki  Offline
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R

Joined: Apr 2023
Posts: 12
Anyone has the C code for BandPass Filter

Re: Lapsa's very own thread [Re: rki] #487460
04/29/23 22:45
04/29/23 22:45
Joined: Aug 2021
Posts: 237
L
Lapsa Offline OP
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Lapsa  Offline OP
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Joined: Aug 2021
Posts: 237
Originally Posted by rki
Anyone has the C code for BandPass Filter


yes

Re: Lapsa's very own thread [Re: Lapsa] #487764
09/10/23 19:38
09/10/23 19:38
Joined: Aug 2021
Posts: 237
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Lapsa Offline OP
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Lapsa  Offline OP
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Joined: Aug 2021
Posts: 237
tools are wrong, reliant on "crypto timings", will fail live

but the idea of dominant period crossovers yields surprising amount of signals

think it's a viable option for an algorithm chassis if done right

and feels stop loss friendly

Code
function main()
{
	set(PRELOAD|PLOTNOW);
	setf(PlotMode,PL_ALL+PL_FINE+PL_ALLTRADES+PL_BENCHMARK);
	MonteCarlo = 0;
	BarPeriod = 1;
	PlotPeriod = 1;
	Outlier = 0;
	BarMode = BR_FLAT;
	StartDate = ?;
}

function run()
{
	vars s_p = series(price());
	vars s_c = series(priceC());
	var dp = DominantPeriod(s_p, 50);
	var dp_s = EMA(series(dp), 50);
	vars s_dp_s = series(dp_s);
	var dp_l = EMA(series(dp), 100);
	vars s_dp_l = series(dp_l);
	var dp_d = EMA(series(dp), 1440);
	var mmi = MMI(s_p, 50);
	vars s_mmi = series(mmi);
	
	if(
		dp_s > dp_d
		&& crossOver(s_dp_s, s_dp_l)
		&& falling(s_mmi)
	) {
		enterLong();
	} 

	if	(
		dp_s < dp_d
		&& crossUnder(s_dp_s, s_dp_l)
		&& falling(s_mmi)
	) {
		enterShort();
	}
	
	plot("s", dp_s, NEW , SILVER);
	plot("l", dp_l, LINE , GREY);
	plot("d", dp_d, LINE, GREY);
	plot("mmi", mmi, NEW, BLACK);
}

Re: Lapsa's very own thread [Re: Lapsa] #487804
09/26/23 15:47
09/26/23 15:47
Joined: Apr 2020
Posts: 5
Germany
M
M_D Offline
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M_D  Offline
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M

Joined: Apr 2020
Posts: 5
Germany
Hi Lapsa,

I´m (still) a beginner Zorro user (since 2016 crazy ) have stumbled over your very own thread, have read it all and enjoyed all your posts. Even learned two or more lessons. Thanks for that.
Currently was curious about some of your replicatet indicators, in this case EvenBetterSineWave.
Experimented a little with it. Portfolio (from zorro manual) and Timeframe loops (from financial-hacker. i used 5, 15, 30, 60, 240).
Since my history data is not up to date, i used mid to end 2021 for training parameters (only 1 parameter: var Duration of your EBSW, start from 100 up to 300) and generating Factors to the assets. With my "average" Laptop (8GB RAM) it took about 2 hours to train half a year with 33 Assets x 5 Timeframes x 13 Parameter Steps = 2145 loops.
Testrun after training was of course overwhelming. OptimalF picked the positive perfomers and generatet beauuuuutiful backtest results.


The modified script:
Code
//Zorro Version 2.40
//Lapsa´s EvenBetterSineWave used with Portfolio and Timeframe Loops

#include <profile.c>
#include <legacy.h>

var EvenBetterSinewave(vars Close, var Duration)
{
	var Wave;
	var Pwr;
		
	var* HP = series(HighPass1(Close, Duration), 2);
	if (HP[0] == 0) HP[0] = 1;
	
	var* Filt = series(Smooth(HP, Duration), 3);	
	Wave = SMA(Filt, 3);
	Pwr = (Filt[0]*Filt[0] + Filt[1]*Filt[1] + Filt[2]*Filt[2]) / 3;
	
	return Wave / sqrt(Pwr);
}

function EBSW_Strategy()
{
	vars close = series(priceClose());
	var* ebsw = series(EvenBetterSinewave(close,optimize(200,100,300))); //225 original value
	
	if (crossOver(ebsw, -.99)) enterLong();	
	if (crossUnder(ebsw, .99)) enterShort();

	plot("EBSW", ebsw, NEW, BLACK);
}

function main()
{
	set(PRELOAD|LOGFILE|PARAMETERS|FACTORS|TESTNOW|PLOTNOW); 
	
	BarPeriod = 1;
	StartDate = 20210601;
	EndDate = 20211230;
	
	Capital = 2000;
}

function run()
{
	
	LookBack = 4*250;
	
	
	// portfolio loop
	while(asset(loop(
	"AUD/CAD","AUD/CHF","AUD/JPY","AUD/NZD","AUD/USD",
	"CAD/CHF","CAD/JPY","CHF/JPY",
	"EUR/AUD","EUR/CAD","EUR/CHF","EUR/GBP","EUR/JPY","EUR/NZD","EUR/USD",
	"GBP/AUD","GBP/CAD","GBP/CHF","GBP/JPY","GBP/NZD","GBP/USD",
	"NZD/CAD","NZD/CHF","NZD/JPY","NZD/USD",
	"USD/CAD","USD/CHF","USD/JPY",
	"XAU/USD",
	"GER30","US30","NAS100","SPX500"
	)))
	//TimeFrame Loop
	while(algo(loop("5","15","30","60","240")))
	{
	//only 1 trade per asset and per algo allowed
	MaxLong = MaxShort = -1;
	//since many assets, had to reduce optimalf, otherwise margin call
	Margin = 0.06125 * OptimalF * Capital * sqrt(1 + ProfitClosed/Capital); 
	
	if(Algo == "5"){
		TimeFrame = 5;
	EBSW_Strategy();}
	
	else if(Algo == "15"){
		TimeFrame = 15;
	EBSW_Strategy();}
	
	else if(Algo == "30"){
		TimeFrame = 30;
	EBSW_Strategy();}
	
	else if(Algo == "60"){
		TimeFrame = 60;
	EBSW_Strategy();}
	
	else if(Algo == "240"){
		TimeFrame = 240;
	EBSW_Strategy();}
	
	
	}
}



I added the generated .par and .fac files. (.par was not allowed to upload, so just renamed to .txt, you have to rename it back to .par). In case someone wants to test same conditions, i also added my AssetsFix.csv, which represents my brokers conditions (Roboforex, meanwhile outdated).
Price History is from Zorro website.

Test Results from TRAINED period (No WFO Cycles, no Whites Reality Check, no exit strategy, no whatever):


[Linked Image]
Quote

Test 0_Lapsa_EvenBetterSineWave , Zorro 2.409

Simulated account AssetsFix
Bar period 1 min (avg 1 min)
Total processed 318041 bars
Test period 2021-06-01..2021-12-30 (212776 bars)
Lookback period 1000 bars (23 hours)
Montecarlo cycles 200
Simulation mode Realistic (slippage 5.0 sec)
Capital invested 2000$

Gross win/loss 62512$-28578$, +202900.7p, lr 36922$
Average profit 58189$/year, 4849$/month, 224$/day
Max drawdown -2838$ 8.4% (MAE -9772$ 28.8%)
Total down time 2% (TAE 99%)
Max down time 5 days from Dec 2021
Max open margin 981$
Max open risk 5348$
Trade volume 19016966$ (32610185$/year)
Transaction costs -2276$ spr, -13.60$ slp, -634$ rol, -105$ com
Capital required 413$

Number of trades 7727 (13251/year, 255/week, 53/day)
Percent winning 37.8%
Max win/loss 3438$ / -104$
Avg trade profit 4.39$ 26.3p (+127.9p / -35.6p)
Avg trade slippage -0.0018$ -0.0p (+2.2p / -1.3p)
Avg trade bars 2695 (+4701 / -1475)
Max trade bars 97358 (19 weeks)
Time in market 9789%
Max open trades 101
Max loss streak 33 (uncorrelated 20)

Annual growth rate 14063.20%
Profit factor 2.19 (PRR 2.12)
Sharpe ratio 3.96 (Sortino 4.12)
R2 coefficient 0.932
Ulcer index 7.4%
Scholz tax 13850 EUR

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2021 137 59 101 38 35 28 2 +1749

Portfolio analysis OptF ProF Win/Loss Wgt%

AUD/CAD avg ---- 2.69 38/46 2.1
AUD/CHF avg ---- 1.80 57/81 3.2
AUD/JPY avg ---- 2.47 153/225 8.9
AUD/NZD avg ---- 1.86 40/35 1.3
AUD/USD avg ---- 3.28 202/292 8.0
CAD/CHF avg ---- 1.03 64/128 0.0
CAD/JPY avg ---- 1.58 170/290 3.6
CHF/JPY avg ---- 3.67 43/86 2.8
EUR/AUD avg ---- 1.61 66/80 2.1
EUR/CAD avg ---- 1.20 85/114 0.4
EUR/CHF avg ---- 1.07 191/320 0.3
EUR/GBP avg ---- 1.10 54/74 0.1
EUR/JPY avg ---- 1.94 35/43 1.2
EUR/NZD avg ---- 1.29 62/105 0.6
EUR/USD avg ---- 24.59 32/139 19.3
GBP/AUD avg ---- 1.65 67/94 1.8
GBP/CAD avg ---- 0.99 15/21 -0.0
GBP/CHF avg ---- 1.28 13/19 0.2
GBP/JPY avg ---- 1.33 169/290 1.7
GBP/NZD avg ---- 1.91 11/15 0.6
GBP/USD avg ---- 1.81 194/312 2.2
GER30 avg ---- 1.03 89/175 0.0
NAS100 avg ---- 1.43 177/282 1.4
NZD/CAD avg ---- 1.35 73/100 0.8
NZD/CHF avg ---- 1.39 80/98 1.1
NZD/JPY avg ---- 1.49 162/267 2.8
NZD/USD avg ---- 1.88 50/74 1.1
SPX500 avg ---- ---- 0/0 0.0
US30 avg ---- 5.41 129/209 29.8
USD/CAD avg ---- 1.26 163/268 1.0
USD/CHF avg ---- 1.01 55/91 0.0
USD/JPY avg ---- 1.05 113/316 0.1
XAU/USD avg ---- 1.43 71/115 1.4

15 avg ---- 1.27 891/1439 6.9
240 avg ---- 10.11 102/68 48.9
30 avg ---- 2.42 465/760 26.2
5 avg ---- 1.15 1219/2236 3.5
60 avg ---- 2.18 246/301 14.5

AUD/CAD:240 ---- 8.43 7/1 2.0
AUD/CAD:240:L ---- 3.72 3/1 0.7
AUD/CAD:240:S ---- ++++ 4/0 1.3
AUD/CAD:30 ---- 0.97 24/38 -0.0
AUD/CAD:30:L ---- 0.88 11/20 -0.0
AUD/CAD:30:S ---- 1.10 13/18 0.0
AUD/CAD:60 ---- 1.25 7/7 0.1
AUD/CAD:60:L ---- 0.91 3/4 -0.0
AUD/CAD:60:S ---- 2.05 4/3 0.2
AUD/CHF:15 ---- 1.59 25/37 1.1
AUD/CHF:15:L ---- 1.22 13/18 0.2
AUD/CHF:15:S ---- 1.97 12/19 0.9
AUD/CHF:240 ---- 2.46 2/4 0.4
AUD/CHF:240:L ---- 0.00 0/3 -0.2
AUD/CHF:240:S ---- 11.20 2/1 0.6
AUD/CHF:30 ---- 1.76 22/32 1.0
AUD/CHF:30:L ---- 1.30 11/16 0.2
AUD/CHF:30:S ---- 2.28 11/16 0.8
AUD/CHF:60 ---- 2.30 8/8 0.7
AUD/CHF:60:L ---- 1.13 3/5 0.0
AUD/CHF:60:S ---- 5.42 5/3 0.6
AUD/JPY:15 ---- 1.36 50/78 0.5
AUD/JPY:15:L ---- 1.33 24/40 0.2
AUD/JPY:15:S ---- 1.39 26/38 0.3
AUD/JPY:240 ---- 8.68 4/4 3.5
AUD/JPY:240:L ---- 7.26 2/2 1.6
AUD/JPY:240:S ---- 10.54 2/2 1.9
AUD/JPY:30 ---- 2.22 17/23 1.5
AUD/JPY:30:L ---- 2.02 6/14 0.7
AUD/JPY:30:S ---- 2.47 11/9 0.8
AUD/JPY:5 ---- 1.27 74/118 0.7
AUD/JPY:5:L ---- 1.22 39/57 0.3
AUD/JPY:5:S ---- 1.32 35/61 0.4
AUD/JPY:60 ---- 6.94 8/2 2.8
AUD/JPY:60:L ---- 3.72 3/2 1.3
AUD/JPY:60:S ---- ++++ 5/0 1.5
AUD/NZD:240 ---- 2.43 5/2 0.3
AUD/NZD:240:L ---- 2.29 2/1 0.1
AUD/NZD:240:S ---- 2.49 3/1 0.2
AUD/NZD:30 ---- 1.44 16/17 0.3
AUD/NZD:30:L ---- 1.24 8/8 0.1
AUD/NZD:30:S ---- 1.64 8/9 0.2
AUD/NZD:60 ---- 2.01 19/16 0.8
AUD/NZD:60:L ---- 1.78 9/8 0.3
AUD/NZD:60:S ---- 2.32 10/8 0.4
AUD/USD:240 ---- 17.28 7/1 4.6
AUD/USD:240:L ---- 5.22 3/1 1.2
AUD/USD:240:S ---- ++++ 4/0 3.4
AUD/USD:30 ---- 1.51 15/22 0.4
AUD/USD:30:L ---- 0.91 5/13 -0.0
AUD/USD:30:S ---- 2.42 10/9 0.5
AUD/USD:5 ---- 1.09 172/265 0.2
AUD/USD:5:L ---- 0.94 87/131 -0.0
AUD/USD:5:S ---- 1.26 85/134 0.2
AUD/USD:60 ---- 5.29 8/4 2.9
AUD/USD:60:L ---- 2.79 3/3 0.6
AUD/USD:60:S ---- 8.22 5/1 2.2
CAD/CHF:15 ---- 0.96 49/105 -0.0
CAD/CHF:15:L ---- 0.85 25/52 -0.0
CAD/CHF:15:S ---- 1.10 24/53 0.0
CAD/CHF:240 ---- 1.55 3/2 0.1
CAD/CHF:240:L ---- 0.50 1/1 -0.0
CAD/CHF:240:S ---- 5.51 2/1 0.1
CAD/CHF:60 ---- 0.98 12/21 -0.0
CAD/CHF:60:L ---- 0.64 5/11 -0.1
CAD/CHF:60:S ---- 1.47 7/10 0.1
CAD/JPY:15 ---- 1.35 46/77 0.8
CAD/JPY:15:L ---- 1.31 23/39 0.4
CAD/JPY:15:S ---- 1.40 23/38 0.4
CAD/JPY:240 ---- ++++ 3/0 1.4
CAD/JPY:240:L ---- ++++ 1/0 0.8
CAD/JPY:240:S ---- ++++ 2/0 0.6
CAD/JPY:30 ---- 1.55 30/38 1.0
CAD/JPY:30:L ---- 1.44 14/20 0.5
CAD/JPY:30:S ---- 1.74 16/18 0.5
CAD/JPY:5 ---- 1.20 91/175 0.4
CAD/JPY:5:L ---- 1.19 48/85 0.2
CAD/JPY:5:S ---- 1.21 43/90 0.2
CHF/JPY:240 ---- 7.00 3/5 2.8
CHF/JPY:240:L ---- 10.87 2/2 2.6
CHF/JPY:240:S ---- 1.72 1/3 0.1
CHF/JPY:30 ---- 1.06 30/57 0.0
CHF/JPY:30:L ---- 1.34 16/27 0.1
CHF/JPY:30:S ---- 0.83 14/30 -0.0
CHF/JPY:60 ---- 1.02 10/24 0.0
CHF/JPY:60:L ---- 1.40 6/11 0.0
CHF/JPY:60:S ---- 0.72 4/13 -0.0
EUR/AUD:15 ---- 1.55 42/57 1.2
EUR/AUD:15:L ---- 1.49 19/30 0.5
EUR/AUD:15:S ---- 1.60 23/27 0.7
EUR/AUD:30 ---- 1.74 24/23 0.8
EUR/AUD:30:L ---- 1.56 10/13 0.4
EUR/AUD:30:S ---- 1.98 14/10 0.5
EUR/CAD:15 ---- 1.21 57/75 0.3
EUR/CAD:15:L ---- 1.07 26/40 0.1
EUR/CAD:15:S ---- 1.35 31/35 0.3
EUR/CAD:30 ---- 1.14 28/39 0.1
EUR/CAD:30:L ---- 0.98 16/17 -0.0
EUR/CAD:30:S ---- 1.32 12/22 0.1
EUR/CHF:15 ---- 0.99 59/85 -0.0
EUR/CHF:15:L ---- 0.56 24/48 -0.5
EUR/CHF:15:S ---- 1.58 35/37 0.5
EUR/CHF:240 ---- 1.54 3/4 0.1
EUR/CHF:240:L ---- 0.18 1/2 -0.1
EUR/CHF:240:S ---- 3.37 2/2 0.1
EUR/CHF:30 ---- 1.07 13/26 0.0
EUR/CHF:30:L ---- 0.39 3/16 -0.1
EUR/CHF:30:S ---- 2.40 10/10 0.1
EUR/CHF:5 ---- 1.00 105/183 -0.0
EUR/CHF:5:L ---- 0.66 50/94 -0.1
EUR/CHF:5:S ---- 1.40 55/89 0.1
EUR/CHF:60 ---- 1.32 11/22 0.2
EUR/CHF:60:L ---- 0.42 3/13 -0.3
EUR/CHF:60:S ---- 3.08 8/9 0.5
EUR/GBP:15 ---- 1.00 46/69 -0.0
EUR/GBP:15:L ---- 0.82 21/36 -0.1
EUR/GBP:15:S ---- 1.16 25/33 0.1
EUR/GBP:60 ---- 1.42 8/5 0.1
EUR/GBP:60:L ---- 0.64 3/3 -0.1
EUR/GBP:60:S ---- 2.63 5/2 0.2
EUR/JPY:240 ---- 2.56 6/4 0.5
EUR/JPY:240:L ---- 2.07 3/2 0.1
EUR/JPY:240:S ---- 2.87 3/2 0.4
EUR/JPY:30 ---- 1.42 22/34 0.2
EUR/JPY:30:L ---- 1.14 9/19 0.1
EUR/JPY:30:S ---- 1.90 13/15 0.2
EUR/JPY:60 ---- 2.16 7/5 0.4
EUR/JPY:60:L ---- 1.54 3/3 0.1
EUR/JPY:60:S ---- 2.81 4/2 0.3
EUR/NZD:15 ---- 1.36 38/53 0.6
EUR/NZD:15:L ---- 1.25 16/29 0.2
EUR/NZD:15:S ---- 1.48 22/24 0.4
EUR/NZD:30 ---- 1.05 24/52 0.0
EUR/NZD:30:L ---- 0.94 12/26 -0.0
EUR/NZD:30:S ---- 1.16 12/26 0.0
EUR/USD:240 ---- 5.63 3/5 1.0
EUR/USD:240:L ---- 0.03 1/3 -0.2
EUR/USD:240:S ---- 307.52 2/2 1.2
EUR/USD:30 ---- 84.99 6/11 18.1
EUR/USD:30:L ---- 21.37 2/6 3.1
EUR/USD:30:S ---- 229.79 4/5 15.1
EUR/USD:5 ---- 1.30 23/123 0.1
EUR/USD:5:L ---- 0.52 11/62 -0.1
EUR/USD:5:S ---- 2.43 12/61 0.2
GBP/AUD:15 ---- 1.36 22/41 0.3
GBP/AUD:15:L ---- 1.56 11/20 0.2
GBP/AUD:15:S ---- 1.17 11/21 0.1
GBP/AUD:240 ---- 2.35 5/3 0.4
GBP/AUD:240:L ---- 3.58 3/1 0.3
GBP/AUD:240:S ---- 1.46 2/2 0.1
GBP/AUD:30 ---- 1.25 20/32 0.3
GBP/AUD:30:L ---- 1.52 11/15 0.2
GBP/AUD:30:S ---- 1.05 9/17 0.0
GBP/AUD:60 ---- 2.12 20/18 0.9
GBP/AUD:60:L ---- 2.34 11/8 0.6
GBP/AUD:60:S ---- 1.86 9/10 0.3
GBP/CAD:240 ---- 1.05 2/2 0.0
GBP/CAD:240:L ---- 1.06 1/1 0.0
GBP/CAD:240:S ---- 1.04 1/1 0.0
GBP/CAD:60 ---- 0.97 13/19 -0.0
GBP/CAD:60:L ---- 1.09 6/10 0.0
GBP/CAD:60:S ---- 0.89 7/9 -0.0
GBP/CHF:60 ---- 1.28 13/19 0.2
GBP/CHF:60:L ---- 0.92 6/10 -0.0
GBP/CHF:60:S ---- 1.70 7/9 0.2
GBP/JPY:15 ---- 1.34 56/89 0.7
GBP/JPY:15:L ---- 1.32 31/42 0.4
GBP/JPY:15:S ---- 1.36 25/47 0.4
GBP/JPY:240 ---- 1.98 5/5 0.3
GBP/JPY:240:L ---- 1.63 2/3 0.2
GBP/JPY:240:S ---- 3.23 3/2 0.2
GBP/JPY:30 ---- 1.14 23/45 0.1
GBP/JPY:30:L ---- 1.12 11/23 0.0
GBP/JPY:30:S ---- 1.17 12/22 0.0
GBP/JPY:5 ---- 1.15 71/131 0.2
GBP/JPY:5:L ---- 1.15 38/63 0.1
GBP/JPY:5:S ---- 1.14 33/68 0.1
GBP/JPY:60 ---- 1.62 14/20 0.4
GBP/JPY:60:L ---- 1.48 5/12 0.2
GBP/JPY:60:S ---- 1.88 9/8 0.2
GBP/NZD:60 ---- 1.91 11/15 0.6
GBP/NZD:60:L ---- 2.42 8/5 0.3
GBP/NZD:60:S ---- 1.61 3/10 0.2
GBP/USD:15 ---- 1.00 60/94 0.0
GBP/USD:15:L ---- 0.76 28/49 -0.1
GBP/USD:15:S ---- 1.22 32/45 0.1
GBP/USD:240 ---- 2.99 6/4 0.8
GBP/USD:240:L ---- 1.28 2/3 0.1
GBP/USD:240:S ---- 5.07 4/1 0.8
GBP/USD:5 ---- 1.13 119/211 0.1
GBP/USD:5:L ---- 0.96 58/107 -0.0
GBP/USD:5:S ---- 1.32 61/104 0.2
GBP/USD:60 ---- 3.39 9/3 1.3
GBP/USD:60:L ---- 1.47 4/2 0.2
GBP/USD:60:S ---- 8.38 5/1 1.1
GER30:5 ---- 1.06 82/155 0.1
GER30:5:L ---- 1.11 43/76 0.1
GER30:5:S ---- 1.01 39/79 0.0
GER30:60 ---- 0.31 7/20 -0.1
GER30:60:L ---- 0.47 5/9 -0.0
GER30:60:S ---- 0.12 2/11 -0.0
NAS100:240 ---- 6.55 6/1 0.7
NAS100:240:L ---- ++++ 4/0 0.7
NAS100:240:S ---- 1.01 2/1 0.0
NAS100:5 ---- 1.14 164/275 0.4
NAS100:5:L ---- 1.41 86/133 0.5
NAS100:5:S ---- 0.91 78/142 -0.1
NAS100:60 ---- 1.74 7/6 0.3
NAS100:60:L ---- 5.08 6/1 0.5
NAS100:60:S ---- 0.57 1/5 -0.1
NZD/CAD:15 ---- 1.29 35/54 0.2
NZD/CAD:15:L ---- 1.23 17/27 0.1
NZD/CAD:15:S ---- 1.35 18/27 0.1
NZD/CAD:240 ---- 1.83 6/4 0.3
NZD/CAD:240:L ---- 2.05 3/2 0.1
NZD/CAD:240:S ---- 1.67 3/2 0.1
NZD/CAD:30 ---- 1.28 24/34 0.3
NZD/CAD:30:L ---- 1.23 12/17 0.1
NZD/CAD:30:S ---- 1.34 12/17 0.2
NZD/CAD:60 ---- 1.19 8/8 0.0
NZD/CAD:60:L ---- 1.14 5/3 0.0
NZD/CAD:60:S ---- 1.24 3/5 0.0
NZD/CHF:15 ---- 1.29 51/60 0.3
NZD/CHF:15:L ---- 1.05 21/34 0.0
NZD/CHF:15:S ---- 1.61 30/26 0.3
NZD/CHF:240 ---- 1.53 3/2 0.1
NZD/CHF:240:L ---- 0.12 1/1 -0.0
NZD/CHF:240:S ---- 2.49 2/1 0.1
NZD/CHF:30 ---- 1.47 19/27 0.7
NZD/CHF:30:L ---- 1.11 8/15 0.1
NZD/CHF:30:S ---- 1.87 11/12 0.6
NZD/CHF:60 ---- 1.40 7/9 0.1
NZD/CHF:60:L ---- 0.97 3/5 -0.0
NZD/CHF:60:S ---- 2.30 4/4 0.1
NZD/JPY:15 ---- 1.25 54/91 0.4
NZD/JPY:15:L ---- 1.19 24/48 0.2
NZD/JPY:15:S ---- 1.32 30/43 0.3
NZD/JPY:30 ---- 1.67 17/25 0.5
NZD/JPY:30:L ---- 1.50 6/15 0.2
NZD/JPY:30:S ---- 1.95 11/10 0.3
NZD/JPY:5 ---- 1.14 76/128 0.2
NZD/JPY:5:L ---- 1.10 40/62 0.1
NZD/JPY:5:S ---- 1.17 36/66 0.1
NZD/JPY:60 ---- 2.11 15/23 1.6
NZD/JPY:60:L ---- 1.98 6/13 0.8
NZD/JPY:60:S ---- 2.27 9/10 0.8
NZD/USD:15 ---- 1.17 39/59 0.1
NZD/USD:15:L ---- 0.89 16/33 -0.0
NZD/USD:15:S ---- 1.54 23/26 0.1
NZD/USD:240 ---- 2.09 5/5 0.3
NZD/USD:240:L ---- 0.82 2/3 -0.0
NZD/USD:240:S ---- 3.15 3/2 0.4
NZD/USD:60 ---- 2.25 6/10 0.7
NZD/USD:60:L ---- 1.32 2/6 0.1
NZD/USD:60:S ---- 3.38 4/4 0.6
US30:240 ---- ++++ 7/0 29.0
US30:240:L ---- ++++ 4/0 22.4
US30:240:S ---- ++++ 3/0 6.6
US30:30 ---- 1.09 19/42 0.2
US30:30:L ---- 1.30 11/20 0.3
US30:30:S ---- 0.89 8/22 -0.1
US30:5 ---- 1.14 103/167 0.6
US30:5:L ---- 1.27 57/78 0.6
US30:5:S ---- 1.01 46/89 0.0
USD/CAD:15 ---- 1.10 49/93 0.1
USD/CAD:15:L ---- 1.38 24/47 0.1
USD/CAD:15:S ---- 0.88 25/46 -0.0
USD/CAD:240 ---- 1.85 6/5 0.3
USD/CAD:240:L ---- 15.15 4/1 0.3
USD/CAD:240:S ---- 0.75 2/4 -0.1
USD/CAD:30 ---- 1.20 25/40 0.1
USD/CAD:30:L ---- 1.83 14/18 0.2
USD/CAD:30:S ---- 0.81 11/22 -0.1
USD/CAD:5 ---- 1.22 75/121 0.4
USD/CAD:5:L ---- 1.53 40/58 0.4
USD/CAD:5:S ---- 0.99 35/63 -0.0
USD/CAD:60 ---- 1.32 8/9 0.1
USD/CAD:60:L ---- 5.68 5/3 0.2
USD/CAD:60:S ---- 0.62 3/6 -0.1
USD/CHF:15 ---- 1.01 55/91 0.0
USD/CHF:15:L ---- 1.11 29/44 0.0
USD/CHF:15:S ---- 0.90 26/47 -0.0
USD/JPY:15 ---- 1.08 31/78 0.1
USD/JPY:15:L ---- 1.88 17/38 0.3
USD/JPY:15:S ---- 0.60 14/40 -0.2
USD/JPY:30 ---- 1.08 18/54 0.0
USD/JPY:30:L ---- 2.08 11/25 0.1
USD/JPY:30:S ---- 0.51 7/29 -0.1
USD/JPY:5 ---- 0.97 64/184 -0.0
USD/JPY:5:L ---- 1.37 37/87 0.1
USD/JPY:5:S ---- 0.73 27/97 -0.1
XAU/USD:15 ---- 1.23 27/53 0.3
XAU/USD:15:L ---- 1.03 15/25 0.0
XAU/USD:15:S ---- 1.43 12/28 0.3
XAU/USD:240 ---- 1.40 5/5 0.1
XAU/USD:240:L ---- 0.90 3/2 -0.0
XAU/USD:240:S ---- 2.04 2/3 0.2
XAU/USD:30 ---- 1.50 29/49 0.6
XAU/USD:30:L ---- 1.27 17/22 0.2
XAU/USD:30:S ---- 1.72 12/27 0.4
XAU/USD:60 ---- 1.76 10/8 0.4
XAU/USD:60:L ---- 1.24 5/4 0.1
XAU/USD:60:S ---- 2.16 5/4 0.3




So now, simple reality check. Make OOS Test the following month:


[Linked Image]
Quote

Test 0_Lapsa_EvenBetterSineWave , Zorro 2.409

Simulated account AssetsFix
Bar period 1 min (avg 1 min)
Total processed 54521 bars
Test period 2022-01-02..2022-01-30 (27851 bars)
Lookback period 1000 bars (25 hours)
Montecarlo cycles 200
Simulation mode Realistic (slippage 5.0 sec)
Capital invested 2000$

Gross win/loss 5934$-5634$, -26699.9p, lr 16.63$
Average profit 3916$/year, 326$/month, 15.06$/day
Max drawdown -1442$ 479.6% (MAE -1815$ 603.7%)
Total down time 89% (TAE 99%)
Max down time 12 days from Jan 2022
Max open margin 624$
Max open risk 3457$
Trade volume 2367045$ (30832134$/year)
Transaction costs -300$ spr, 34.40$ slp, -42.40$ rol, -13.53$ com
Capital required 4303$

Number of trades 1029 (13404/year, 258/week, 53/day)
Percent winning 39.1%
Max win/loss 370$ / -190$
Avg trade profit 0.29$ -25.9p (+1311.0p / -797.9p)
Avg trade slippage 0.0334$ 3.0p (+46.3p / -24.8p)
Avg trade bars 2157 (+3448 / -1329)
Max trade bars 26067 (27 days)
Time in market 7971%
Max open trades 93
Max loss streak 15 (uncorrelated 15)

Annual growth rate 519.78%
Profit factor 1.05 (PRR 0.96)
Sharpe ratio 0.54 (Sortino 0.52)
R2 coefficient 0.000
Ulcer index 100.0%
Scholz tax 79 EUR

Portfolio analysis OptF ProF Win/Loss Wgt%

AUD/CAD avg ---- 0.96 4/7 -1.6
AUD/CHF avg ---- 0.61 10/12 -36.1
AUD/JPY avg ---- 1.51 23/31 69.7
AUD/NZD avg ---- 0.14 3/9 -27.6
AUD/USD avg ---- 3.14 30/38 169.5
CAD/CHF avg ---- 0.47 9/12 -13.4
CAD/JPY avg ---- 0.56 27/40 -53.4
CHF/JPY avg ---- 6.28 7/10 49.9
EUR/AUD avg ---- 0.94 9/13 -3.8
EUR/CAD avg ---- 1.42 12/11 8.4
EUR/CHF avg ---- 1.09 23/38 5.6
EUR/GBP avg ---- 0.67 6/11 -5.3
EUR/JPY avg ---- 1.62 4/9 14.5
EUR/NZD avg ---- 0.54 10/14 -22.6
EUR/USD avg ---- ---- 0/0 0.0
GBP/AUD avg ---- 0.64 15/12 -38.7
GBP/CAD avg ---- 2.22 3/1 2.1
GBP/CHF avg ---- 0.33 2/2 -12.9
GBP/JPY avg ---- 0.75 24/45 -26.2
GBP/NZD avg ---- 0.95 1/3 -1.2
GBP/USD avg ---- 1.68 23/46 34.2
GER30 avg ---- 0.57 12/25 -18.0
NAS100 avg ---- 1.92 22/41 82.7
NZD/CAD avg ---- 2.96 11/9 39.5
NZD/CHF avg ---- 1.59 12/15 19.3
NZD/JPY avg ---- 1.20 23/33 18.7
NZD/USD avg ---- 6.78 8/9 55.1
SPX500 avg ---- ---- 0/0 0.0
US30 avg ---- 0.36 14/36 -211.1
USD/CAD avg ---- 1.40 21/31 22.4
USD/CHF avg ---- 2.09 8/10 7.0
USD/JPY avg ---- 1.07 18/35 2.7
XAU/USD avg ---- 0.63 8/19 -29.5

15 avg ---- 0.93 125/183 -31.1
240 avg ---- 2.63 13/8 260.1
30 avg ---- 0.89 76/95 -42.3
5 avg ---- 0.63 153/302 -214.5
60 avg ---- 1.43 35/39 127.8

AUD/CAD:240 ---- 0.00 0/1 -31.0
AUD/CAD:240:L ---- ---- 0/0 0.0
AUD/CAD:240:S ---- 0.00 0/1 -31.0
AUD/CAD:30 ---- 0.68 3/6 -2.5
AUD/CAD:30:L ---- 0.00 0/4 -6.7
AUD/CAD:30:S ---- 5.75 3/2 4.3
AUD/CAD:60 ---- ++++ 1/0 31.8
AUD/CAD:60:L ---- ---- 0/0 0.0
AUD/CAD:60:S ---- ++++ 1/0 31.8
AUD/CHF:15 ---- 0.60 4/5 -15.3
AUD/CHF:15:L ---- 0.15 1/3 -18.4
AUD/CHF:15:S ---- 1.19 3/2 3.1
AUD/CHF:240 ---- ++++ 1/0 5.2
AUD/CHF:240:L ---- ---- 0/0 0.0
AUD/CHF:240:S ---- ++++ 1/0 5.2
AUD/CHF:30 ---- 1.02 4/5 0.6
AUD/CHF:30:L ---- 0.40 2/2 -9.5
AUD/CHF:30:S ---- 2.06 2/3 10.1
AUD/CHF:60 ---- 0.09 1/2 -26.6
AUD/CHF:60:L ---- 0.00 0/1 -21.6
AUD/CHF:60:S ---- 0.34 1/1 -5.1
AUD/JPY:15 ---- 1.36 8/11 7.1
AUD/JPY:15:L ---- 0.51 3/6 -6.8
AUD/JPY:15:S ---- 3.29 5/5 13.9
AUD/JPY:240 ---- ++++ 1/0 62.3
AUD/JPY:240:L ---- ---- 0/0 0.0
AUD/JPY:240:S ---- ++++ 1/0 62.3
AUD/JPY:30 ---- 0.10 2/7 -60.2
AUD/JPY:30:L ---- 0.00 0/4 -46.3
AUD/JPY:30:S ---- 0.32 2/3 -13.9
AUD/JPY:5 ---- 0.97 11/13 -1.3
AUD/JPY:5:L ---- 0.39 5/7 -18.8
AUD/JPY:5:S ---- 1.93 6/6 17.5
AUD/JPY:60 ---- ++++ 1/0 61.8
AUD/JPY:60:L ---- ---- 0/0 0.0
AUD/JPY:60:S ---- ++++ 1/0 61.8
AUD/NZD:240 ---- 0.00 0/2 -7.1
AUD/NZD:240:L ---- 0.00 0/1 -1.6
AUD/NZD:240:S ---- 0.00 0/1 -5.6
AUD/NZD:30 ---- 0.57 2/3 -2.7
AUD/NZD:30:L ---- 2.83 1/1 2.1
AUD/NZD:30:S ---- 0.06 1/2 -4.8
AUD/NZD:60 ---- 0.06 1/4 -17.7
AUD/NZD:60:L ---- 0.00 0/2 -2.5
AUD/NZD:60:S ---- 0.07 1/2 -15.3
AUD/USD:240 ---- ++++ 1/0 123.2
AUD/USD:240:L ---- ---- 0/0 0.0
AUD/USD:240:S ---- ++++ 1/0 123.2
AUD/USD:30 ---- 4.02 3/2 27.3
AUD/USD:30:L ---- 0.91 1/1 -0.6
AUD/USD:30:S ---- 12.92 2/1 27.9
AUD/USD:5 ---- 1.37 25/34 10.3
AUD/USD:5:L ---- 0.82 14/15 -2.6
AUD/USD:5:S ---- 1.95 11/19 12.9
AUD/USD:60 ---- 1.20 1/2 8.6
AUD/USD:60:L ---- 0.00 0/1 -32.2
AUD/USD:60:S ---- 5.08 1/1 40.8
CAD/CHF:15 ---- 2.12 7/7 5.4
CAD/CHF:15:L ---- 2.72 3/4 4.3
CAD/CHF:15:S ---- 1.47 4/3 1.1
CAD/CHF:240 ---- ++++ 1/0 0.7
CAD/CHF:240:L ---- ---- 0/0 0.0
CAD/CHF:240:S ---- ++++ 1/0 0.7
CAD/CHF:60 ---- 0.05 1/5 -19.5
CAD/CHF:60:L ---- 0.17 1/2 -4.9
CAD/CHF:60:S ---- 0.00 0/3 -14.6
CAD/JPY:15 ---- 0.56 9/10 -18.7
CAD/JPY:15:L ---- 0.37 4/5 -10.2
CAD/JPY:15:S ---- 0.67 5/5 -8.5
CAD/JPY:30 ---- 0.61 5/6 -11.4
CAD/JPY:30:L ---- 0.22 2/3 -5.3
CAD/JPY:30:S ---- 0.73 3/3 -6.0
CAD/JPY:5 ---- 0.54 13/24 -23.3
CAD/JPY:5:L ---- 0.53 4/14 -13.7
CAD/JPY:5:S ---- 0.56 9/10 -9.6
CHF/JPY:240 ---- ++++ 1/0 51.2
CHF/JPY:240:L ---- ---- 0/0 0.0
CHF/JPY:240:S ---- ++++ 1/0 51.2
CHF/JPY:30 ---- 0.61 4/9 -3.1
CHF/JPY:30:L ---- 0.14 1/5 -3.7
CHF/JPY:30:S ---- 1.14 3/4 0.6
CHF/JPY:60 ---- 2.26 2/1 1.8
CHF/JPY:60:L ---- 0.00 0/1 -1.4
CHF/JPY:60:S ---- ++++ 2/0 3.1
EUR/AUD:15 ---- 1.14 7/7 5.8
EUR/AUD:15:L ---- 1.92 4/3 18.3
EUR/AUD:15:S ---- 0.39 3/4 -12.5
EUR/AUD:30 ---- 0.56 2/6 -9.6
EUR/AUD:30:L ---- 2.48 2/2 7.2
EUR/AUD:30:S ---- 0.00 0/4 -16.9
EUR/CAD:15 ---- 1.00 6/9 -0.0
EUR/CAD:15:L ---- 0.50 2/6 -6.2
EUR/CAD:15:S ---- 1.97 4/3 6.2
EUR/CAD:30 ---- 7.50 6/2 8.5
EUR/CAD:30:L ---- 2.61 2/2 2.1
EUR/CAD:30:S ---- ++++ 4/0 6.4
EUR/CHF:15 ---- 1.61 7/10 17.7
EUR/CHF:15:L ---- 1.40 3/6 8.2
EUR/CHF:15:S ---- 2.06 4/4 9.5
EUR/CHF:240 ---- ++++ 1/0 1.5
EUR/CHF:240:L ---- ---- 0/0 0.0
EUR/CHF:240:S ---- ++++ 1/0 1.5
EUR/CHF:30 ---- 0.81 3/1 -0.6
EUR/CHF:30:L ---- ++++ 2/0 0.5
EUR/CHF:30:S ---- 0.65 1/1 -1.0
EUR/CHF:5 ---- 1.09 10/25 0.8
EUR/CHF:5:L ---- 1.13 5/13 0.6
EUR/CHF:5:S ---- 1.05 5/12 0.2
EUR/CHF:60 ---- 0.44 2/2 -13.8
EUR/CHF:60:L ---- 0.33 1/1 -3.9
EUR/CHF:60:S ---- 0.47 1/1 -9.9
EUR/GBP:15 ---- 0.54 5/10 -7.5
EUR/GBP:15:L ---- 0.29 2/5 -7.3
EUR/GBP:15:S ---- 0.96 3/5 -0.3
EUR/GBP:60 ---- 41.97 1/1 2.2
EUR/GBP:60:L ---- 0.00 0/1 -0.1
EUR/GBP:60:S ---- ++++ 1/0 2.3
EUR/JPY:240 ---- ++++ 1/0 19.7
EUR/JPY:240:L ---- ---- 0/0 0.0
EUR/JPY:240:S ---- ++++ 1/0 19.7
EUR/JPY:30 ---- 0.19 2/9 -18.8
EUR/JPY:30:L ---- 0.00 0/5 -13.5
EUR/JPY:30:S ---- 0.46 2/4 -5.4
EUR/JPY:60 ---- ++++ 1/0 13.7
EUR/JPY:60:L ---- ---- 0/0 0.0
EUR/JPY:60:S ---- ++++ 1/0 13.7
EUR/NZD:15 ---- 0.47 4/10 -22.9
EUR/NZD:15:L ---- 1.34 3/4 5.1
EUR/NZD:15:S ---- 0.01 1/6 -28.0
EUR/NZD:30 ---- 1.06 6/4 0.4
EUR/NZD:30:L ---- 9.71 4/1 3.9
EUR/NZD:30:S ---- 0.34 2/3 -3.6
GBP/AUD:15 ---- 3.71 7/3 18.5
GBP/AUD:15:L ---- 15.27 4/1 18.6
GBP/AUD:15:S ---- 0.98 3/2 -0.1
GBP/AUD:240 ---- 0.00 0/1 -28.4
GBP/AUD:240:L ---- ---- 0/0 0.0
GBP/AUD:240:S ---- 0.00 0/1 -28.4
GBP/AUD:30 ---- 2.78 6/2 17.2
GBP/AUD:30:L ---- ++++ 4/0 21.5
GBP/AUD:30:S ---- 0.56 2/2 -4.3
GBP/AUD:60 ---- 0.28 2/6 -46.0
GBP/AUD:60:L ---- 1.02 2/2 0.3
GBP/AUD:60:S ---- 0.00 0/4 -46.3
GBP/CAD:60 ---- 2.22 3/1 2.1
GBP/CAD:60:L ---- 0.72 1/1 -0.5
GBP/CAD:60:S ---- ++++ 2/0 2.6
GBP/CHF:60 ---- 0.33 2/2 -12.9
GBP/CHF:60:L ---- 0.46 1/1 -3.3
GBP/CHF:60:S ---- 0.28 1/1 -9.5
GBP/JPY:15 ---- 0.61 7/16 -18.9
GBP/JPY:15:L ---- 0.50 4/7 -12.6
GBP/JPY:15:S ---- 0.73 3/9 -6.3
GBP/JPY:240 ---- ++++ 1/0 10.2
GBP/JPY:240:L ---- ---- 0/0 0.0
GBP/JPY:240:S ---- ++++ 1/0 10.2
GBP/JPY:30 ---- 1.03 5/5 0.2
GBP/JPY:30:L ---- 0.80 3/2 -0.7
GBP/JPY:30:S ---- 1.18 2/3 0.9
GBP/JPY:5 ---- 0.56 10/21 -16.0
GBP/JPY:5:L ---- 0.49 5/10 -10.2
GBP/JPY:5:S ---- 0.64 5/11 -5.9
GBP/JPY:60 ---- 0.83 1/3 -1.7
GBP/JPY:60:L ---- 0.00 0/2 -5.1
GBP/JPY:60:S ---- 1.68 1/1 3.4
GBP/NZD:60 ---- 0.95 1/3 -1.2
GBP/NZD:60:L ---- 4.57 1/1 17.0
GBP/NZD:60:S ---- 0.00 0/2 -18.2
GBP/USD:15 ---- 1.33 7/9 3.1
GBP/USD:15:L ---- 1.06 4/4 0.4
GBP/USD:15:S ---- 1.71 3/5 2.7
GBP/USD:240 ---- ++++ 1/0 37.3
GBP/USD:240:L ---- ---- 0/0 0.0
GBP/USD:240:S ---- ++++ 1/0 37.3
GBP/USD:5 ---- 0.48 14/35 -12.3
GBP/USD:5:L ---- 0.41 8/16 -7.7
GBP/USD:5:S ---- 0.58 6/19 -4.6
GBP/USD:60 ---- 1.37 1/2 6.2
GBP/USD:60:L ---- 0.00 0/1 -11.1
GBP/USD:60:S ---- 4.02 1/1 17.3
GER30:5 ---- 0.53 9/24 -19.1
GER30:5:L ---- 0.28 3/13 -17.4
GER30:5:S ---- 0.90 6/11 -1.7
GER30:60 ---- 3.63 3/1 1.2
GER30:60:L ---- 0.07 1/1 -0.4
GER30:60:S ---- ++++ 2/0 1.6
NAS100:240 ---- ++++ 1/0 56.8
NAS100:240:L ---- ---- 0/0 0.0
NAS100:240:S ---- ++++ 1/0 56.8
NAS100:5 ---- 0.75 20/41 -22.9
NAS100:5:L ---- 0.25 8/23 -38.4
NAS100:5:S ---- 1.40 12/18 15.6
NAS100:60 ---- ++++ 1/0 48.7
NAS100:60:L ---- ---- 0/0 0.0
NAS100:60:S ---- ++++ 1/0 48.7
NZD/CAD:15 ---- 2.28 6/5 9.4
NZD/CAD:15:L ---- 0.01 1/4 -5.6
NZD/CAD:15:S ---- 10.20 5/1 15.1
NZD/CAD:240 ---- ++++ 1/0 21.2
NZD/CAD:240:L ---- ---- 0/0 0.0
NZD/CAD:240:S ---- ++++ 1/0 21.2
NZD/CAD:30 ---- 1.33 3/4 4.1
NZD/CAD:30:L ---- 0.00 0/3 -11.8
NZD/CAD:30:S ---- 18.32 3/1 16.0
NZD/CAD:60 ---- ++++ 1/0 4.7
NZD/CAD:60:L ---- ---- 0/0 0.0
NZD/CAD:60:S ---- ++++ 1/0 4.7
NZD/CHF:15 ---- 0.63 6/13 -10.3
NZD/CHF:15:L ---- 0.29 2/7 -12.0
NZD/CHF:15:S ---- 1.16 4/6 1.8
NZD/CHF:30 ---- 5.31 5/2 19.9
NZD/CHF:30:L ---- 0.82 1/2 -0.8
NZD/CHF:30:S ---- ++++ 4/0 20.7
NZD/CHF:60 ---- ++++ 1/0 9.7
NZD/CHF:60:L ---- ---- 0/0 0.0
NZD/CHF:60:S ---- ++++ 1/0 9.7
NZD/JPY:15 ---- 0.65 8/11 -13.5
NZD/JPY:15:L ---- 0.23 3/6 -20.5
NZD/JPY:15:S ---- 1.59 5/5 7.0
NZD/JPY:30 ---- 1.07 1/4 1.3
NZD/JPY:30:L ---- 0.00 0/2 -14.0
NZD/JPY:30:S ---- 5.18 1/2 15.3
NZD/JPY:5 ---- 0.80 12/17 -5.3
NZD/JPY:5:L ---- 0.26 4/10 -13.2
NZD/JPY:5:S ---- 1.93 8/7 7.9
NZD/JPY:60 ---- 4.34 2/1 36.2
NZD/JPY:60:L ---- 0.00 0/1 -10.8
NZD/JPY:60:S ---- ++++ 2/0 47.1
NZD/USD:15 ---- 1.70 5/8 2.9
NZD/USD:15:L ---- 0.08 1/5 -2.8
NZD/USD:15:S ---- 6.09 4/3 5.7
NZD/USD:240 ---- ++++ 1/0 29.5
NZD/USD:240:L ---- ---- 0/0 0.0
NZD/USD:240:S ---- ++++ 1/0 29.5
NZD/USD:60 ---- 5.20 2/1 22.7
NZD/USD:60:L ---- 0.00 0/1 -5.4
NZD/USD:60:S ---- ++++ 2/0 28.1
US30:240 ---- 0.00 0/1 -63.2
US30:240:L ---- ---- 0/0 0.0
US30:240:S ---- 0.00 0/1 -63.2
US30:30 ---- 0.77 2/5 -18.6
US30:30:L ---- 0.00 0/3 -39.0
US30:30:S ---- 1.47 2/2 20.4
US30:5 ---- 0.29 12/30 -129.3
US30:5:L ---- 0.20 5/16 -94.7
US30:5:S ---- 0.46 7/14 -34.6
USD/CAD:15 ---- 1.09 4/13 0.7
USD/CAD:15:L ---- 1.10 2/7 0.4
USD/CAD:15:S ---- 1.08 2/6 0.3
USD/CAD:240 ---- 0.09 1/1 -12.2
USD/CAD:240:L ---- ++++ 1/0 1.3
USD/CAD:240:S ---- 0.00 0/1 -13.5
USD/CAD:30 ---- 1.75 5/3 6.9
USD/CAD:30:L ---- 2.42 3/1 4.0
USD/CAD:30:S ---- 1.46 2/2 2.9
USD/CAD:5 ---- 1.28 9/14 7.1
USD/CAD:5:L ---- 1.66 5/7 6.6
USD/CAD:5:S ---- 1.03 4/7 0.5
USD/CAD:60 ---- ++++ 2/0 20.0
USD/CAD:60:L ---- ++++ 1/0 10.8
USD/CAD:60:S ---- ++++ 1/0 9.1
USD/CHF:15 ---- 2.09 8/10 7.0
USD/CHF:15:L ---- 3.32 6/3 5.6
USD/CHF:15:S ---- 1.36 2/7 1.4
USD/JPY:15 ---- 1.08 6/9 1.8
USD/JPY:15:L ---- 1.14 3/4 2.1
USD/JPY:15:S ---- 0.97 3/5 -0.3
USD/JPY:30 ---- 3.72 4/2 4.0
USD/JPY:30:L ---- 2.02 1/2 1.5
USD/JPY:30:S ---- ++++ 3/0 2.5
USD/JPY:5 ---- 0.75 8/24 -3.1
USD/JPY:5:L ---- 0.79 3/13 -1.5
USD/JPY:5:S ---- 0.70 5/11 -1.6
XAU/USD:15 ---- 0.88 4/7 -3.3
XAU/USD:15:L ---- 0.74 2/3 -3.2
XAU/USD:15:S ---- 0.99 2/4 -0.1
XAU/USD:240 ---- 0.00 0/2 -16.8
XAU/USD:240:L ---- 0.00 0/1 -12.6
XAU/USD:240:S ---- 0.00 0/1 -4.1
XAU/USD:30 ---- 0.81 3/8 -5.2
XAU/USD:30:L ---- 0.65 1/4 -4.2
XAU/USD:30:S ---- 0.94 2/4 -1.0
XAU/USD:60 ---- 0.54 1/2 -4.2
XAU/USD:60:L ---- 0.00 0/1 -4.9
XAU/USD:60:S ---- 1.17 1/1 0.7




First impression: stick to 1h and 4h, these timeframes seem profitable (at some assets, not all). And noticed in Train mode that shorter "Duration" optimization might fit better to 1h and 4h, lets say experiment between 30 till 150 maybe ...
I personally will not further investigate EBSW. It might have potencial with further research and development. Experimenting and implementing stops, trails, exit strategies and so on.

So why did i post this? I had read in one of your posts that you purchased or subscribed to Zorro S (I have the free version), so you have a really mighty tool in your hands, that you should use with all its power. Before you sticked to 1 asset with 1 strategy ... waste of time and efforts. @Gann and the other dude (sorry, forget your name smirk ) were also impressed from your approch, posts and efforts (me too). I believe that you will find your way to profitability ... dont give up. Cant await your new posts in your very own thread grin

PS: Not sure if i am allowed to post this here:
I personally follow a Youtube channel which is strongly related to algo trading. He is showing different approaches and he is really explaining everything very well and clear.
can just recomment to watch his videos. they are also not very long and boring, always around 10 minutes short, but have (at least for me) a huge value of knowledge in such a short time.
Darwinex Algo Trade Series
Thanks for your time.

So, be curious, be patient, never give up! Trade safe.

Attached Files
AssetsFix.csv (3 downloads)
Re: Lapsa's very own thread [Re: Lapsa] #487988
12/15/23 12:01
12/15/23 12:01
Joined: Aug 2021
Posts: 237
L
Lapsa Offline OP
Member
Lapsa  Offline OP
Member
L

Joined: Aug 2021
Posts: 237
ebsw works better with .8 to .9 cross

but I wouldn't recommend such usage either way

it's more useful for checking local cycles at a glance - graphically

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