Testing Methods of Ranking Opportunities

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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trackstar
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Testing Methods of Ranking Opportunities

Post by trackstar » Mon Apr 23, 2012 5:55 pm

Over the past few days I have been gathering data on ranking opportunities. So far I would say that I have been unsuccessful in finding a solid method. I present my data to see if anyone has done similar simulations. I ran 7 methods of ranking over 2 different trading systems to see if I could find a difference between winning trades rank and losing trades rank (another potential edge to exploit).

LT = system 1
ST = system 2

One of the methods in the test is pre-built into Blox. I believe its called "Strength". Measuring a % move over a lagged volatility. Anyone interested in discussing?
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Last edited by trackstar on Mon Apr 23, 2012 8:49 pm, edited 2 times in total.

sluggo
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Post by sluggo » Mon Apr 23, 2012 7:07 pm

It seems to me that if careful study and exhaustive experimentation has thoroughly convinced you that no algorithm for ranking opportunities exists, which performs better than assigning rankings by a random number generator, then this is very good news.

It's good news because you can "rank" your opportunities completely at random, pick the "top" N number of them (because you don't have sufficient capital to trade them all simultaneously), and feel good that you won't suffer a performance penalty. What's not to like?

trackstar
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Post by trackstar » Mon Apr 23, 2012 8:36 pm

ha, thanks Sluggo. You were one of the gurus I was hoping would take notice of my thread. I do appreciate your many many methods of turning a half empty glass into a half full one.

Given that I have tested only 7 methods of ranking opportunities I am a far cry away from being convinced there is no other method that may produce better results. I think most of us here are in search of ways to improve and expand on our edges(which is something that being able to high grade a particular opportunity would clearly do). Skipping trades has never been problem for me psychologically for me, since as you correctly identified, I have not been able to prove any trade is better (or worse) than another. If others have done similar experiments and come to different conclusions, it would be interesting to share our experiences.

I am quite sure, specifically, you have done a comprehensive analysis of simulations such as mine. Did you arrive at a similar end?


edit: Also, I just realized I uploaded the wrong pic initially. I forgot to identify which was which system. Although, for the thorough investigator it was probably apparent based on the Avg Result.

AFJ Garner
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Post by AFJ Garner » Tue Apr 24, 2012 4:06 am

trackstar wrote:Skipping trades has never been problem for me psychologically for me, since as you correctly identified, I have not been able to prove any trade is better (or worse) than another.
If you are skipping trades for risk management purposes you need at least to consider some sort of ranking method. Or at least realize by adopting no ranking method you have chosen to take trades in the default order taken from the futuresinfo.txt file.

And (whatever your object is in using ranking) it is certainly not a dumb idea to look at random ranking by way of comparison to your other methods:

Code: Select all

ranking = random (1,randomLimit)

trackstar
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Post by trackstar » Tue Apr 24, 2012 8:33 am

AFJ Garner wrote:
trackstar wrote:Skipping trades has never been problem for me psychologically for me, since as you correctly identified, I have not been able to prove any trade is better (or worse) than another.
If you are skipping trades for risk management purposes you need at least to consider some sort of ranking method. Or at least realize by adopting no ranking method you have chosen to take trades in the default order taken from the futuresinfo.txt file.

And (whatever your object is in using ranking) it is certainly not a dumb idea to look at random ranking by way of comparison to your other methods:

Code: Select all

ranking = random (1,randomLimit)
Totally agree. I do not use Blox for testing but the point is well taken. Hence the reason I started this thread to begin with.

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