Strategy Quant Lab FX Robustness

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This is based of the Strategy Lab Course. This is a continuation of FX Settings which was used to create the strategies.

We will take what we made above and retest those strategies for robustness. Let us set up the retester and I will supply you with each config template.

1st – Move all your strategies to the Retester – the config will be pre-set to what was used to create them but you can make sure by going to Ranking and clicking apply strategy config.

The First Test – OOS (out of sample)

– Click Off Higher Back Test Precision

– Change Data Start Date: July 1st 2019 – Present

– Test perameters to 1 min data, spread 2.5, slippage 0

– Ranking: Turn Off Average Trades Per Month and Ret/DD Ratio, change profit factor to 1.1

– Delete failed strategies clicked on.

Here is the config template for this 1st OOS test.

The Second Test – Back Test on additional markets and slippage

– Ranking – turn off profit factor – no filters

– Test perameters – turn 1min to selected timeframe

– Cross check – turn on backtest on additional markets, click middle panel to add markets.

Additional Backtest 1 – EURUSD UTC +2 All data H1

Additional Backtest 2 – USDCHF UTC +2 All data H1

Additional Backtest 3 – GBPUSD UTC +2 All data M30

Additional Backtest 4 – GBPUSD UTC +2 All data H4

Additional Backtest 5 – GBPUSD UTC +2 All data H1 Slippage 5

Set 1 min precision for all tests.

Next Set up Filtering – For each market 1 to 5 set up a profit factor, full data, EURUSD PF – 1.2 USDCHF PF – 1 GBPUSD M30 PF – 1.1 GBPUSD H4 PF – 1.3 GBPUSD Slippage – 1.2

Here is the template for the Retester with the above.

I started with 1000 strategies, after the first OOS I was down to 250, and after this backtest on additional markets and slippage I had 10 and it took 2 minutes.

The Third Test – Monte Carlo Trade Manipulations

Data – Full Data, turn on 1 min. precision, turn off backtest on additional markets.

Turn on Monte Carlo Trade Manipulations.

Click on randomly skip trades only with 200 simulations.

Delete two filtering conditions and Add Ret/DD Ratio on Right and Add Left side too. Change the right side setting to Monte Carlo Trades Manipulation confidence level 95% greater or equal to the Left Side applied percentage ratio of 50%.

From this test I started with 10 and finished with 10.

Here is the config for this template.

The Fourth Test – Monte Carlo Retest Methods

Turn off Monte Carlo Trade Manipulations and Turn on Monte Carlo Retest Methods.

Click on middle panel and only select Randomize strategy parameters, with probability 10% and max change 20%. / Change default settings to both 20% with 200 simulations. Click on backtest precision and enable 1 min data tick, click using full sample.

Filters – same values as previous test.

Here is the config for the above.

I started with 10 strategies and it took 3 mintues. I was left with 8 strategies.

By Dave

I'm Dave. I help inspire traders to become professional and trade for a living.