(binned per thread starter's request) Data Mining Strategies For

Hi folks,

I thought I would bring this topic to the surface again as it seems to have gone dormant in recent times. We focus on algorithmic trading, specifically mass generation of strategies over historical data and then using a proprietary tool to filter out the losers from the winners in an easy, scalable way. We are talking 100's or 1000's or strategies.

The tool is called Strategy Samurai and it runs in the MT4 platform. You can read more about it at https://www.bluecapitaltrading.com/products/strategy-samurai/ or watch our short introductory video.

https://www.youtube.com/watch?v=1o-bWJY2tfs&feature=emb_title

But rather than just plugging our own software, I want to discuss strategy generation software and workflow processes like those used with programs like StrategyQuant X, EA Studio, FSB Pro etc.

Do you use these programs? If so, how do you manage your portfolio? What have your results been like? What time frames do you trade on?

How many strategies are you currently testing? This is one of my accounts where I am currently testing 300 strategies in a live environment.



As you can see it's a bit of a mess and so it helps to have an excel file where you can view the statistics all in one place. The history of these strategies is around 6 months. Let's look at our current statistics...



As we can see only 1/3rd of our strategies are profitable after 6 months despite passing all of our validation criteria in the strategy generation phase including Monte Carlo testing and Walk Forward Analysis! This is why it is paramount to also test your strategies in the live environment before trading them with real money!

Hi everyone!

We've just released a new version of Strategy Samurai, v1.03. We've made a quick video going over the changes!

https://www.youtube.com/watch?v=64KjOVaHhIU&feature=youtu.be