I had the idea to let the Evolver find a cute system for 15-Min Data.
After Generation 2 I see this:
It is "Strategy 26" which looks more than promising.
With generation 3 the picture changes dramatically:
When I select "Strategy 26" and go "Open in New Strategy Window" I can run a few Backtests with exactly the same settings.
Results are:
The detailed backtest results look unsuspicious. No hint for data errors or similar.
This same effect repeats again and again.
I see similar "fluctuations" with EOD data, probably explainable with NSF positions,
but the effects are much larger with 15-Min data and a bigger number of trades.
What can this be?
Any ideas, hints, suggestions?
After Generation 2 I see this:
It is "Strategy 26" which looks more than promising.
With generation 3 the picture changes dramatically:
When I select "Strategy 26" and go "Open in New Strategy Window" I can run a few Backtests with exactly the same settings.
Results are:
The detailed backtest results look unsuspicious. No hint for data errors or similar.
This same effect repeats again and again.
I see similar "fluctuations" with EOD data, probably explainable with NSF positions,
but the effects are much larger with 15-Min data and a bigger number of trades.
What can this be?
Any ideas, hints, suggestions?
Rename
I'd run the data through the Data Manager cleaning tool and look for anomalous spikes.
It detected a few (< 700) spikes which looked quite Ok for this data under closer investigation.
I created a new DataSet with the spiky symbols removed.
Now the Checker says:
And still, there are these inconsistent APR values from run to run for the same strategy.
I created a new DataSet with the spiky symbols removed.
Now the Checker says:
And still, there are these inconsistent APR values from run to run for the same strategy.
I checked with other DataSets and Daily data also.
Conclusion:
Evolver is broken since build 29.
It finds some nice strategies with high target metric values and forgets them in the next generation.
Conclusion:
Evolver is broken since build 29.
It finds some nice strategies with high target metric values and forgets them in the next generation.
The only reason it will drop a strategy is that it doesn’t satisfy your established filter 🤷🏼♂️
QUOTE:
The only reason it will drop a strategy is that it doesn’t satisfy your established filter
There is no active filter!
Then the other possibility is there are too many strategies with the exact same gene code. The evolver will drop some to increase diversity.
As you can see in the very first post, this happen also at the beginning, when there are few generations and many different Genes.
Here is an example using Nasdaq-100 and very small position sizes (to reduce NSF Positions):
Strategy 252 made it to a good rank.
Some generations later:
Strategy 252 has disappeared.
Here is an example using Nasdaq-100 and very small position sizes (to reduce NSF Positions):
Strategy 252 made it to a good rank.
Some generations later:
Strategy 252 has disappeared.
Yes there were too many other strategies with the exact same gene code.
It is hard to see the effect with EOD data and low NSF ratios.
With 15-Min data the effect turns Evolver useless.
What I noticed:
In the very first post, look at Strategy#5: It has a very low NSF ratio.
Still the number of positions changes dramatically between gen 2 and gen 3, 1982 vs. 6738.
I think such a difference is not explained by the NSF ratio...
With 15-Min data the effect turns Evolver useless.
What I noticed:
In the very first post, look at Strategy#5: It has a very low NSF ratio.
Still the number of positions changes dramatically between gen 2 and gen 3, 1982 vs. 6738.
I think such a difference is not explained by the NSF ratio...
Also that strategy had a very high nsf ratio so the next generation’s run was probably not as good so it got dropped.
I think I cought him in the act:
Here Strategy 104 was calculated to have a very high APR, low NSF Ratio and 32k Positions:
When Evolver reevaluated Strategy 104 it changed dramatically:
Please note: The Evolver "sees" only 8800 Positions.
Consequently it disappeared form the list.
But why are the results so different in the first place?
(And if this Strategy is run through a normal backtest the results are much closer to the better ones)
It looks like Evolver "loses" man of the positions when it evaluates a Strategy a second time....
(The same happens to Strategies 46 and 61 for example)
Here Strategy 104 was calculated to have a very high APR, low NSF Ratio and 32k Positions:
When Evolver reevaluated Strategy 104 it changed dramatically:
Please note: The Evolver "sees" only 8800 Positions.
Consequently it disappeared form the list.
But why are the results so different in the first place?
(And if this Strategy is run through a normal backtest the results are much closer to the better ones)
It looks like Evolver "loses" man of the positions when it evaluates a Strategy a second time....
(The same happens to Strategies 46 and 61 for example)
Problem solved!
It was a data problem.
It was a data problem.
Just as I suspected all along!
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