StrategyQuant crash...
 

[Sticky] StrategyQuant crash course 2019  

  RSS

coensio
(@coensio)
Member Admin
Joined: 5 months ago
Posts: 109
25/01/2019 9:04 am  

### StrategyQuant crash course 2019 ###

A short introduction to algo-trading.

 

This 48h crash course is designed with only one goal in mind: to show you how to generate trading strategies using StrategyQuant platform. Everything here will be presented in a step-by-step manner. Most of you will probably not understand every single step described below, however maybe this short demonstration will inspire you to learn more and you will stay with us for longer than 48h 😉 There is no membership fee, almost everything is free here, (Note: StrategyQuant demo works for 14 days, read more here), all you need to do is to learn and to contribute by generating, testing and sharing strategies.

In this example we will concentrate on EURUSD symbol and H1 TimeFrame and we will target a 'standard broker' with UTC+2 (Day Time Savings and no weekend data). If you will follow all steps below, you should be able to see your first strategies in the next few hours. Let's start!

 

TABLE OF CONTENTS

STEP 1: SQ installation

STEP 2: SQ configuration

STEP 3: Tick data download and configuration

STEP 4: Workflow configuration

STEP 5: Strategy generation and filtering

 

Note: Follow the actions indicated by yellow boxes and arrows.

 

STEP 1: StrategyQuant installation.

1A: Go to StrategyQuant website and download a demo version of StrategyQuant click HERE.

1B: Enter your name and a valid email address.
1C: Go to you inbox and click on 'confirm the subscription'. (Check your spam folder)
1D: Download the latest version of StrategyQuant to your PC.
1E: Install StrategyQuant software on your PC. It can take a while...
1F: Go to you inbox and click write down a License Code you have received. (Check your spam folder)
 
See STEP 2 below...
This topic was modified 4 months ago 28 times by coensio

Quote
coensio
(@coensio)
Member Admin
Joined: 5 months ago
Posts: 109
25/01/2019 10:06 am  

STEP 2: StrategyQuant configuration.

2A: Start the StrategyQuant program and enter your demo License Code (see step 1F).

2B: If you get a Windows firewall warning then select "Allow access"
2C: Start your PC speed benchmark, after benchmark has finished hit on "close".
See STEP 3 below...
This post was modified 4 months ago 7 times by coensio

ReplyQuote
coensio
(@coensio)
Member Admin
Joined: 5 months ago
Posts: 109
25/01/2019 10:31 am  

STEP 3: StrategyQuant tick data configuration.

 

3A: Go to "Data manager", and click on "Dukascopy Data->Add new Ducaskopy data symbol".

3B: Select EURUSD and add a postfix named "_TICK_DUKA", hit save.

3C: Select EURUSD_TICK_DUKA and click on "Dukascopy Data->Download data for existing symbol".

 
3D: Select time range "2003.5.5 to 2019.1.25". Select Data Type: "Tick data", and hit "Start download". (This step can take few hours until tick data download has been completed!)
3E: Now select this symbol and click on "Clone to timezone", set cloned data symbol name to "EURUSD_TICK_DUKA_P2DSTNW". Choose UTC+02 shift and enable "Remove weekends" option. (This is for all brokers with time shift of GMT+2h ='P2', with day time saving ='DST' and no tick data on weekends ='NW')
3F: Now repeat steps 3A to 3E including "Clone to timezone", for GBPUSD symbol, and set cloned data symbol name to "GBPUSD_TICK_DUKA_P2DSTNW". Choose UTC+02 time shift and enable "Remove weekends" option.
See STEP 4 below...
This post was modified 4 months ago 21 times by coensio

ReplyQuote
coensio
(@coensio)
Member Admin
Joined: 5 months ago
Posts: 109
25/01/2019 6:43 pm  

STEP 4: Custom project / work flow configuration

 

4A: At first close the StrategyQuant program.

4B: Click on the link below and save this file on your PC.

CoensioWorkFlow EURUSD H1 V1S.zip (50 strategies for slow PC's)

CoensioWorkFlow EURUSD H1 V1.zip (1000 strategies for fast PC's)

 

WARNING: If you have a slow computer/laptop, please use V01S (small) version of this package, containing only 50 strategies. It will save you hours of time, since some of tests in the workflow take >1min/strategy of computing time!

 

4C: Open your projects directory, for example in my case it is: "C:\StrategyQuantX\user\projects\", and unzip the CoensioWorkFlow EURUSD H1 V1.zip file in here. Check the directory structure and check if this directory contains 'databanks' and 'project.cfx' items.

4D: Now start your StrategyQuant and you should see [Task(13)] near CoensioWorkFlow EURUSD H1 V1.

4E: You can click on [Task(13)]  to see the internal workflow. As you can see there are already 900 strategies in it (I already generated those for you). See the databank in the lower part of the screen.
 
4F: In this workflow you need to have at least 1000 strategies in the databank in order to go to the next test (1 OSS1 test). Note that in this example you need to generate 100 additional strategies (since 900+100=1000). After the 1000 is reached the workflow will automatically proceed with the next step '1 OSS1 test' in the flow (no manual intervention needed). To increase your chances, and depending on your computer speed, you can increase the total number of strategies in 'Settings->Ranking' option window.
Note: strategy generation is time consuming, on my 8 core, I7 3,2GHz machine it takes several hours to generate 1000 strategies. Keep this in mind, I usually wait few days until I have at least 2500 strategies in my databank before going to the next step in the workflow.
 
 
You are ready to go! See STEP 5 below...
This post was modified 4 months ago 44 times by coensio

ReplyQuote
coensio
(@coensio)
Member Admin
Joined: 5 months ago
Posts: 109
26/01/2019 10:50 am  

STEP 5: Strategy generation and filtering

 

In this step will will run our complete workflow. Note that strategy generation (first work flow block) and all validation tests (thereafter) are very time consuming. A good practice is to close all other applications on your PC and let it run until the workflow is finished. Note that the workflow is configured to remove all strategies that do not pass specified PASS filters/conditions at each workflow step. After strategy generation you will have >1000 strategies in the databank. This number will decrease systematically after each new workflow validation step.

WARNING: If you have a slow computer/laptop, please use V01S (small) version of this package from step 4B above, containing only 50 strategies. It will save you hours of time, since some of tests in the workflow take >1min/strategy of computing time! Resulting in many computation hours, depending on your computer speed.

 

The workflow consists of the following steps:

 

0 Strategy generation step: in this step strategies are generated. At least 1000 needed to proceed to the next step.
1 OOS1: This test will run all strategies on an Out-Of-Sample period (5 years of data 2005 to 2010)
2 Slippage at 3: Test at higher slippage of 3pips.
3 GBPUSD market: Test on a different market.
4a TF_M30: Test on a lower TimeFrame.
4b TF_H4: Test on a higher TimeFrame.
5 MC random trades: Monte-Carlo randomized trades test.
6 MC skipping trades: Monte-Carlo random skipping of trades test.
7 MC random parameters: Monte-Carlo randomized strategy parameters test.
8 MC random volatility ATR: Monte-Carlo randomized market volatility test.
9 MC random slippage:  Monte-Carlo randomized slippage test.
10 MC random spread:  Monte-Carlo randomized spread test.
11 Last OOS2 test
: Final test using 1 year 'unseen' market data.  This test simulates forward-test results.
12 Strategy Selection 
13 Portfolio correlation test {out of the scope, only for advanced users}
14 WFM optimization {out of the scope, only for advanced users}
15 Forward trading {out of the scope, only for advanced users}

 

5A: Hit Start button and wait,wait,wait and wait....and finally we will process all required steps.

5B: Now we can analyze each of the resulting strategies, the goal here is to find strategies with highest Return to DrawDown ratio (Ret/DD) and a nice profit stability in both IS (in sample) and OOS (out of sample) periods. Note that not all strategies will look nice..that's the reality. In the end only few from many thousands strategies will be ready for live trading.

5C: The other interesting statistics can be found on 'Trade analysis' tab. Ideally we are looking for strategies that are profitable in most of the previous years.

This post was modified 4 months ago 17 times by coensio

ReplyQuote
coensio
(@coensio)
Member Admin
Joined: 5 months ago
Posts: 109
26/01/2019 10:50 am  

Conclusion: In this short demonstration you have seen how trading strategies can be generated and validated for stability. Now you should have an idea how the algo-trading process looks like. However this short demo does not cover all remaining points like: further filtering and testing using Walk-Forward optimization method or portfolio building and real account testing. If you join our team on this forum and start generating your own strategies, I know for sure you will gradually learn all required skills. If you want to do practice, you can go back to step 4F, change the amount of strategies you want to generate and run the whole workflow again. In the end we believe, that with some determination and tools like StrategyQuant everybody can learn how to generate stable strategies. Note that this forum is still a very 'fresh' project, we will improve our workflows, share more strategies and we will present more live-trading results in the coming weeks.

 

If you have any questions just reply to this post, we will do our best to answer you as soon as possible.

 

Greets

Chris

This post was modified 4 months ago 3 times by coensio

ReplyQuote
coensio
(@coensio)
Member Admin
Joined: 5 months ago
Posts: 109
26/01/2019 10:50 am  

Reserved by Coensio.


ReplyQuote
coensio
(@coensio)
Member Admin
Joined: 5 months ago
Posts: 109
26/01/2019 10:50 am  

Reserved by Coensio.


ReplyQuote
coensio
(@coensio)
Member Admin
Joined: 5 months ago
Posts: 109
26/01/2019 6:33 pm  

Reserved by Coensio.


ReplyQuote
Share:
  
Working

Please Login or Register