This research thread takes us into the world of Data Mining and explores an approach that seeks to compile a portfolio of divergent strategies that are robust in terms of their ability to navigate a broad range of market conditions and have a track record that demonstrates a small edge.
The intent of this process is to put together a powerful risk-weighted portfolio of non-correlated strategies that will ride the storms of uncertainty without significantly eating into the capital base but are positioned to reap powerful returns when market conditions become extreme.
This thread is a sister thread to the thread titled 'Diversified Trend Trading Approach' and complements the portfolio principles described in that thread whilst applying them to a fully systematic method of application and uses data mining methods as a basis to ensure that the market data speaks for itself and that the propensity for curve fit results or subjective design considerations from human biases are kept to a bare minimum.
This thread is furthermore a research project and proof of concept. It is a living research project that I will be testing over approximately 2 years of live walk forward conditions.
Standard thread rules apply. I assume that participants are out of their nappies, have parked their egos in another thread, are grateful to the host of the thread who is freely sharing research and sharing ideas, have a sense of humor and are genuinely positive and pleasant contributors.
So looking forward to making a start and giving an outline of the project.
Some Tools for the Project attached.
The current versions are Ver 1.4Attachment 3002773 so please upload if your version number is different.
1. Data Mining Database. It contains sample data just to give you an idea of the overall structure to the dbase and how to use it. Instructions on how to use this will be provided during the course of the thread.
It operates under MS Access 2013. It is freely supplied by me so I will only be making future amendments if they suit my personal purposes. In other words, this is not and never will be made to meet everyone's tastes and is simply used for the purposes of this project. Don't expect fixes or amendments in other words.
The database is used by me to house my research and compile data for further analytical treatment in MS Excel. The assumption is that it may be useful to some of you. Others will have their own solutions. Further MS Excel Models which are used in conjunction with this database to import MT4 and FX Blue data into the dbase and also to analytically crunch and compile treated portfolios will be arriving shortly.
Please note that EA's generated by me will be included in this database. We need to keep very organised and the inclusion of the EA in the database is mandatory as it links to associated portfolios, strategies and models......So if you want to use these EAs yourselves, then you will need a copy of MS Access 2013 or later.
2. Import Spreadsheet for DBase. This tool with sample data provided allows us to quickly capture info from either MT4 strategy tester (for backtest results) or FXBlue for Demo/Live trade results and convert it into a defined format for quick acceptance into the Dbase. Guys I am working with the following date format dd-mmm-yyyy so sorry if that doesn't suit. You will need to amend formulas yourselves in the spreadsheet and dbase if you want to use another format.
3. Portfolio Analytics This is a template version only with some sample data which we will be a major tool used for this exercise and utilises data exported from the Dbase. This spreadsheet template will need to expand as portfolio size escalates and when it gets large it sucks PC resources so I have had to provide a small version to start with as a full blown version is too large to provide as an attachment here. You will therefore need to expand it yourselves as your data mining venture and your DBase grows but I will show you all how to do this as part of this thread.
That's it for the moment guys. These are the 3 predominant tools we work with in our data mining project. Just keep your eye on the version number as there will be updates over time with new stuff.
I will also work with these tools as a fresh start so we can all keep track together.