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coensio
(@coensio)
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Joined: 10 months ago
Posts: 175
07/08/2019 7:52 am  

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coensio
(@coensio)
Member Admin
Joined: 10 months ago
Posts: 175
07/08/2019 7:53 am  
Posted by: @gianfranco

after generating strategies with about 6/7 years of eurusd 30min data I did the various tests oos,slippage ,montecarlo,other market other time frames.. then I wanted to do more in-depth tests without going to uncomfortable analysis of particular data of pure statistics... then I did Monte Carlo resapling with 80% confidence and 60% main data
after or 100% filtered > 1RET/dd... after I took the chart eur usd atr (9) W1
I chose 3 periods ... 1with strong atr up 1 with strong atr down 1 with atr flat and' I filtered everything with PF>1.1 and RT/DD>1
the surviving strategies I filtered them with last OOS from 01012019 with RT>1
atr period of choice 3 OOS from 2003 to today.... I repeat I have chosen extreme periods... for the worst-case scenario….

little small example of a portfolio m30 5 strategies derived from the first 16
correlation <0.5

 


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coensio
(@coensio)
Member Admin
Joined: 10 months ago
Posts: 175
07/08/2019 7:53 am  
Posted by: @gianfranco

is an little example…. of  portfolio….only 1 symbol 1 time frame…..I tried to simulate other portfolio with h1 and gbpusd... looks interesting

 


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coensio
(@coensio)
Member Admin
Joined: 10 months ago
Posts: 175
07/08/2019 7:54 am  
Posted by: @gianfranco

this is only m30 5 strategies….

Posted by: @gianfranco

fast example portfolio 2 simbols  (eur/usd,gbp/usd) 2 time frame    correlation<0.37

Posted by: @gianfranco

overview...

 


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coensio
(@coensio)
Member Admin
Joined: 10 months ago
Posts: 175
07/08/2019 7:54 am  

Nice results...there are plenty of interesting strategies in our packages..but I think the goal is to diversify over multiple symbols...that's why we need people to wake up and start generating strategies...as you see post filtering/selection and portfolio building is a 'walk in a park' if you have good strategies you can choose from 😉


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