Strategy Selection and Optimization Techniques
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Questions and Answers

Match the terms related to trading strategies with their correct descriptions:

TOOS = Out-of-sample testing DD = Drawdown IS = In-sample SR = Success rate

Match the terms related to workflow processes with their descriptions:

Workflows = Processes for executing multiple strategies Ins = In-sample data storage OOS = Out-of-sample data storage Ranking = Method to evaluate and order strategies

Match the run results with the correct metrics:

Run 1 = 100 passes in OOS Run 2 = 11 passes Trades = 1697 trades used as filter Success Rate = SR=93% when NP >= 0

Match the contributors with their contributions:

<p>ethan83_ = Creating workflows with different TOOS coensio = Providing a base workflow</p> Signup and view all the answers

Match the types of strategies with their characteristics:

<p>Passing strategies = Strategies that meet testing criteria Filtering strategies = Strategies adjusted for drawdown Base workflow = Initial setup for testing strategies Dedicated dates = Specific timeframes for testing</p> Signup and view all the answers

Match the actions taken with their purposes:

<p>Saving data to folders = Organizing ins and OOS data Creating multiple workflows = Addressing bugs Selecting strategies = Optimizing based on success rates Running workflows = Executing trading strategies</p> Signup and view all the answers

Match the metrics with their significance in trading:

<p>Pass rate = Percentage of successful strategies Success rate = Performance measure of selected strategies Drawdown = Maximum loss from a peak Total trades = Number of trades executed in testing</p> Signup and view all the answers

Match the following users with their statements:

<p>coensio = I sleep like a baby. edau87 = I can't imagine the DMs you must get.</p> Signup and view all the answers

Match the following statements with their sentiments:

<p>You should not attach any emotions to this. = Positive sentiment towards personal feelings. It's not my problem. = Indifferent sentiment. Looks like a very small account trader. = Disappointment in a trader. Quickly losing my capacity to pity. = Frustration with others.</p> Signup and view all the answers

Match the concerns raised in the statements:

<p>People have crazy expectations. = Unrealistic expectations. Can't afford to lose money. = Financial insecurity. Just want to 'copy and paste'. = Lack of effort. Blowing me up lol. = Overwhelmed by attention.</p> Signup and view all the answers

Match the following comments with their context:

<p>I told you most of them come here only for 'free' workflows. = Frustration with learners. But yeah people have always crazy expectations. = Addressing unrealistic beliefs. You should not attach any emotions to this. = Advice on emotional detachment. Yes, it makes me feel bad... = Empathy towards others.</p> Signup and view all the answers

Match the following usernames with their respective comments:

<p>humble.trading = <a href="https://www.multicharts.com/features/python/">https://www.multicharts.com/features/python/</a> ethan83_ = totaly redone graphical part and made all mre automated goodday20 = what is your success criteria here btw. edau87 = I agree with this. TNickel's work in the data science channel</p> Signup and view all the answers

Match the following phrases with their meanings:

<p>10x over delivered = Exceeded expectations significantly. Can't afford $297 = Financial constraints. Copy and paste = Lack of originality. New referral 'rozzi rossi' = Introduction of a new contact.</p> Signup and view all the answers

Match the following metrics mentioned with their context:

<p>NP &gt;= 500 = Criteria for success in trading workflows 90+% SR = Success in selection metrics for TOOS SR genetic optimization = Creating 10k different workflows automated workflows = Saving all results to correct folders</p> Signup and view all the answers

Match the users with their feelings about their experiences:

<p>coensio = Feels pride in exceeding delivery. edau87 = Feels frustration with others' demands.</p> Signup and view all the answers

Match the descriptions with the corresponding actions:

<p>Creating folders = Copies Python scripts and sets up multiple computers Checking individual workflows = Selecting best workflows with best results Sleep for a few days = Taking a break after work Making graphical parts = Redoing the graphical interface of a program</p> Signup and view all the answers

Match the following user statements with their implications:

<p>It's not my problem. = Expressing indifference. Many can't afford to lose money. = Expressing concern. I sleep like a baby. = Confidence in personal achievements. Hopes he does the lessons. = Desire for improvement.</p> Signup and view all the answers

Match the statements with their sentiment:

<p>God point thanks, me being too strict again = Acknowledgment of a valid point sleep for a few days now :) = Feeling relaxed totaly redone graphical part = Sense of achievement bit annoying = Frustration with a process</p> Signup and view all the answers

Match the user comments with the specific trading thoughts:

<p>isn't this just saying the # of trades = Questioning a selection metric backtesting with MNQ = Initial experimentation with workflows creating with genetic optimization = Utilizing advanced methods in trading uses scoring to pick best workflows = Evaluating trading strategies methodically</p> Signup and view all the answers

Match the following phrases with their purposes:

<p>Going to the mountains = Seeking mental clarity. Plan for trading = Aiming for better results. Copy and paste = Desire for quick success. Can you tell your typical performance increase w/wo SPO? = Request for performance information.</p> Signup and view all the answers

Match the following sentiments with their related issues:

<p>Frustrated with DMs = Overwhelmed by communication. Can't imagine the DMs... = Awareness of challenges. People talk to me that way. = Feeling underappreciated. Just want to 'copy and paste'. = Desire for easy solutions.</p> Signup and view all the answers

Match the usernames with their corresponding statements:

<p>ethan83_ = I only use it to validate that its not over optimized, so I have a stable zone for indicators. edau87 = Excellent thank you! coensio = You have a new referral: zizzissimo</p> Signup and view all the answers

Match the users with their messages regarding optimization:

<p>ethan83_ = thi by ret/dd edau87 = Has the sequential optimization step improved true OOS at all? coensio = otherwise it is generating to much API data and it hangs.</p> Signup and view all the answers

Match the users with their feelings or situations:

<p>edau87 = Thank you! coensio = two new referrals, the API link is changed.</p> Signup and view all the answers

Match the statements about the trading environment to the users:

<p>coensio = I ended up kicking many people out of the group. edau87 = Has the sequential optimization step improved true OOS at all? ethan83_ = so this all are passing and still quite nice results.</p> Signup and view all the answers

Match the users with their comments about results:

<p>ethan83_ = so this all are passing and still quite nice results. edau87 = Thank you! coensio = otherwise it is generating to much API data and it hangs.</p> Signup and view all the answers

Match the comments about optimizations with the respective users:

<p>ethan83_ = thi by ret/dd edau87 = Remember the overall metrics of an IS test are basically meaningless. coensio = two new referrals, the API link is changed.</p> Signup and view all the answers

Match the compliments or thanks with the users:

<p>edau87 = Thank you! coensio = I will settle this, this week, I'm still pretty sick btw ethan83_ = I only use it to validate that its not over optimized.</p> Signup and view all the answers

Match the usernames with their trading insights:

<p>ethan83_ = I only use it to validate that its not over optimized. edau87 = Has the sequential optimization step improved true OOS at all? coensio = I ended up kicking many people out of the group.</p> Signup and view all the answers

Match the users with their discussion about the API:

<p>coensio = the API link is changed to display referrals by month. edau87 = Thank you! ethan83_ = little special edition im adding the seq optimizatuion.</p> Signup and view all the answers

Match the usernames with their activities:

<p>ethan83_ = exploring atm CL gone through MES and MNQ edau87 = starting to see unacceptable OOS degradation as I get this high. coensio = no idea, this is something new</p> Signup and view all the answers

Match the following usernames with their concerns:

<p>ethan83_ = only issue is my adding 2 optimizations edau87 = unacceptable OOS degradation as I get this high. coensio = no idea, this is something new</p> Signup and view all the answers

Match the usernames with their expressions of sentiment:

<p>coensio = exactly this level of magic! edau87 = 30's is wonderful though. ethan83_ = time to not watch</p> Signup and view all the answers

Match the usernames with their discussions:

<p>ethan83_ = exploring atm CL gone through MES and MNQ coensio = only issue is my adding 2 optimizations edau87 = Funny you say that</p> Signup and view all the answers

Match the reactions with their contexts:

<p>holy smokes + 1550 so far = ethan83_ I do! lol = edau87 what was the story about Icarus again? = coensio exactly I going away from my PC till EOD = coensio</p> Signup and view all the answers

Match the usernames with their expert opinions:

<p>coensio = exactly this level of magic! ethan83_ = 18 + 18 + 2,5 small account edau87 = I'm starting to see unacceptable OOS degradation</p> Signup and view all the answers

Match the usernames with their project remarks:

<p>ethan83_ = now exploring atm CL gone through MES and MNQ edau87 = 29's is wonderful though. coensio = no idea, this is something new</p> Signup and view all the answers

Match the statements with their emotional expressions:

<p>exactly I going away from my PC till EOD = coensio time to not watch = ethan83_ this level of magic! = coensio Funny you say that = edau87</p> Signup and view all the answers

Study Notes

Strategy Selection and Optimization

  • IS Strategies are selected for each run and Time Out of Sample (TOOS)
  • Strategies are evaluated using the number of passes for each TOOS
  • For the first TOOS, strategy 61 was selected and achieved 57 passes with a negative or zero net profit, resulting in a success rate of 93%.
  • 1080 IS strategies were used in one example.

In-Sample (IS) and Out-of-Sample (OOS) Testing

  • 100 strategies passed in OOS testing for run 1, and 89 for run 2.
  • 1697 trades were used as a filter in IS testing.

Drawdown Filtering Impact in IS Testing

  • A drawdown filter was applied in one run, which reduced the number of strategies passing.
  • The success rate wasn't as high as without filtering, but this may be useful in strategies where drawdown is a concern.

Workflow and Result Analysis

  • A workflow is created to run IS and OOS tests.
  • The goal is to select strategies which pass through the Time Out of Sample (TOOS)
  • Results from insample and out-of-sample are saved.

Workflow Bug and Date Specification Issues

  • Multiple workflows used different specific dates to correct potential bugs during OOS testing.

Data Analysis and Optimization Methods

  • Multiple testing workflows were designed for out-of-sample tests with dedicated date ranges.
  • Data is saved to insample and oos folders.
  • Another workflow type selects the top scoring results out of a large set by genetic and other optimized methods.
  • Workflow runs using 10 x 4 workflows ST1 to ST4 for all workflows
  • Saved results are analysed to review best strategies overall.
  • Genetic algorithm (10,000 different workflows with varied parameters) used.
  • Data is saved in folders and duplicated python source code when re-running
  • Running jobs in parallel on multiple computers to improve speed.

Success Criteria

  • Success is defined by a net profit (NP) greater than or equal to zero. (e.g., NP >= 500).
  • Additional performance metrics may be included, but not stated.
  • Success criteria are important for selecting the most optimal strategies.

Optimization Methods and Metrics

  • Sequential Optimization (Seq Opt) used, after simple optimization.
  • Strategies are sorted by average trade value in the tests.
  • The use of seq optimisations potentially improves OOS results, but impacts must be validated.
  • This method helps to validate that the model isn't overfitting to the in-sample data.

Problems

  • Overly complex Machine Learning (ML) models can be ineffective and aren't necessarily better or more useful than basic ones
  • Results for 2 runs stated as not being quite clear.

Other Comments

  • Discussions in the comments focus on issues such as referral programs, account size tradeoffs, OOS degradation, and potentially overoptimistic expectations.
  • Complexity of strategy selection methodology is a discussed topic.

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Description

This quiz covers the methods of selecting and optimizing trading strategies through In-Sample (IS) and Out-of-Sample (OOS) testing. It examines metrics such as passes, success rates, and drawdown filtering effects on strategy performance. Test your understanding of these critical concepts in strategy evaluation!

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