Strategy Ranking evolution
Author: abegy
Creation Date: 9/23/2011 8:36 AM
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abegy

#1
I would like to create by strategies a list of symbol which generate the best result. To do this, I need to spend my time to select one by one symbols, run the strategy ranking tool, copy the result to excel and create at the end my list of symbol by strategies.

The other way is to run strategy by strategy for each dataset and copy to excel the sheet "By Symbol" form the global backtest of the dataset.

It would be great if you can create an evolution in the strategy ranking to facilitate this.
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Eugene

#2
What evolution means in this context?
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abegy

#3
What I would like to have is another view in the strategy ranking tool to see the following type of result
- Strategy 1: (Global result according to scorecard selected)
* BNP (result for the symbol according to scorecard selected)
* ALU
* AF
- Strategy 2 :
* UFF
* FTE
* BNP
- Strategy 3 :
* ...

Strategies and symbols must be displayed with the possibility to sort by colomns like today.

Thanks to this evolution, It will be easly to create a dataset by strategy with only best symbol
Is it more clear ?
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Eugene

#4
In other words, a By Symbol view-like detalization for each strategy inside Strategy Ranking?
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abegy

#5
Yes exactly !
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Eugene

#6
I think that with the current, standard ListView control as the driving force behind Strategy Ranking, what you're proposing is hardly possible. Strategies being collapsible symbol groups would require a new TreeListView-like control.

And what will it give when you can simply double click on a strategy and view the By Symbol tab? Unless the results are somehow aggregated, what's the point of seeing e.g. 10 BNP, 10 ALU, 8 UFF etc. at the top of the list?
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abegy

#7
Just before to reply to your remarks, I would like to reexplain my need to a better understanding.

At this time, I have datasets by exchange that I trade :
- Euronext France Exchange
- BNP
- ALU
- AF
- Euronext Belgium Exchange
- AGS
- NEU
- EXM
- London Stock Exchange
- ACR
- ALD
- CFR

I would like to create watchlists by trading strategies with only the best performer symbols like that :
- Scalper QQQ & Stocks
- BNP
- AF
- ALD
- Bollinger Band Width strategy
- BNP
- ALD
- QQQQ Wednesday Reversal
- ALU
- NEU

To do this with current features of WLD, I need to run one by one trading strategy on a global watchlist to select only best performer symbols.

It’s that why it would be great if the strategy ranking tool can have a specific view to offer this type of possibility in one time.
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Cone

#8
You can use the Aronow WatchList Provider Extension to create a global DataSet from all your DataSets by exchange. Then you can run the Strategy on the global DataSet.
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abegy

#9
My problem is that I need to run 150 times (if I took only pre build public strategy) one by one strategies to have the result "By Symbol". It would be better to automate it with the strategy ranking tool.
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Cone

#10
Two options

1. Enable the By Symbol Visualizer, and run a Raw Profit backtest on the global DataSet. Copy the By Symbol results to a spreadsheet 150 times.

2. Add all your Strategies to the Rankings, and one-by-one run Rankings on each symbol. Sort, and make a note of the best performing strategy for each symbol.

I really can't see the design of Rankings changing for the specific purpose of optimizing strategies on an specific instrument.
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abegy

#11
It could be interesting to have a "batch" tool to automate this (maybe something like AutoRunWL http://wl4.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?page=WLD3.htm if I have understood correctly what was this tool because I don't have it).
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Eugene

#12
Probably an AutoIT script could help.
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