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14 Years surviving strategies collection
http://www.dukascopy.com/swiss/english/forex/jforex/forum/viewtopic.php?f=65&t=56640		 Page 2 of 2
Author:  JP7 [ Wed 05 Jun, 2019, 01:50 ]
Post subject:  Re: 14 Years surviving strategies collection - Rainbow_of_10_SMA strategy report for EUR/USD
Rainbow_of_10_SMA strategy report for EUR/USD instrument(s) from 2003-07-07 00:00:00 to 2019-07-13 23:59:00
Account Currency USD
Initial deposit 50000
Finish deposit 83319.34
Turnover 93787377
Comission 1705.46
Parameters

selectedPeriod Daily
instrument EUR/USD
slippage 1.0
amount 0.1
takeProfitPips 1000
stopLossPips 20

Instrument EUR/USD

First tick time 2003-07-07 00:00:00
First tick bid value 1.14663
First tick ask value 1.14673
Last tick time 2019-07-12 19:00:00
Last tick bid value 1.12717
Last tick ask value 1.1272
Positions total 366
Closed positions 365
Orders total 366
Bought 36.50
Sold 36.60
Turnover 93787377
Comission 1705.46

Opened orders:

Label Amount Direction Open price Profit/Loss at the end Profit/Loss at the end in pips Open date Comment
EURUSD513 0.100 SELL 1.23165 10445 1044.5 2018-05-04 00:00:00

Closed orders:

Label Amount Direction Open price Close price Profit/Loss Profit/Loss in pips Open date Close date Comment
EURUSD0 0.100 SELL 1.093182 1.09474 -155.80 -15.6 2003-08-22 00:00:00 2003-08-29 12:42:40

Attachments:
Rainbow_of_10_SMA.txt [617.83 KiB]
Downloaded 212 times
Author:  NightOwl [ Sat 15 Jun, 2019, 17:40 ]
Post subject:  Re: 14 Years surviving strategies collection
Hello!

Very nice thread! Here is a little story.
Some time ago my JForex strategy was not possible to backtest on the JForex platform, now it is possible, but backtesting 10years takes 30 days on my Windows SAerver 2019 with 2.5Ghz Xeon and 15Gb RAM.
backtesting 1 year takes 9h and sometimes there is no backtesting report from dukascopy, it is frustrating.

Do you have any protips for me how to get my backtesting supercharged? My strategy checks every tick so I guess it is computationally very heavy.
I would be interested to backtest 5years.
Author:  JP7 [ Sun 16 Jun, 2019, 05:16 ]
Post subject:  Re: 14 Years surviving strategies collection
It is clear to me now that the speed is not given by a high end computer but by the speed feed form dealer servers.

https://www.dukascopy.com/swiss/english/forex/jforex/forum/viewtopic.php?f=65&t=57144
Author:  NightOwl [ Sun 16 Jun, 2019, 14:47 ]
Post subject:  Re: 14 Years surviving strategies collection
Hello,

Nice to hear that, this forum is very helpful! I do not need to send it to you, it is just so computationally heavy, it checks every tick.
Just finished backtesting 1 year, it took 20hr, but I got no report so it was very frustrating. I am sending email over this issue.


Best of luck,
Nightowl
Author:  mtnfx [ Sun 16 Jun, 2019, 16:07 ]
Post subject:  Re: 14 Years surviving strategies collection
Unfortunately, "performance of back testing" and "reporting" are not of high-priority for Dukas's developers, for years :( ... I'm pretty much sure this highly wanted feature by many users, but instead effort is spent onto adding new fancy (not sure about useful) things ... and I also pretty much sure back-testing may run at least 10 times quicker if Jforex developers would address that thing appropriately.

Ok, back to question (actually - it is better to move onto other thread for this):

1. Xeon CPUs are better used in highly-threaded applications. JForex runs user strategy in the single thread - so ... you'll get better performance with CPU having more "Instructions Per Second" what nowadays same as "having higher clock rate - Ghz". If you would want to solve that issue from hardware perspective - refer to this link (sorted down by SuperPI 32M, which is a "simple single thread test")

(... next things depend on how much you are away from programming ... )

2. I recommend running empty strategy on 1 year interval (1 month / 1 week) - this will give you baseline and let you known how much time on top of JForex is added by you strategy. Then - you may enabled/disable some lines in you strategy to understand what is consuming most of the time.

3. I'm pretty much sure processing all the ticks is not really needed. I would recommend in your strategy skipping ticks coming more frequently than "once per N seconds" and having no significant price change - i think this may speed up testing by 2-3-5 times. Note: at some hot periods tick-rate may rich N*10/sec.

4. Reporting ... the one provided by JForex is !@$!@@#. I would recommend listening to notification messages provided by JForex and writing results to a CSV files - this way you'll be able to open that file in Excel while strategy is still in progress and build graphs, data filtering or whatever else you may need.
Author:  JP7 [ Sun 16 Jun, 2019, 22:59 ]
Post subject:  Re: 14 Years surviving strategies collection
Temporary solution for strategy testing taking so long:

BE PATIENT

Use a computer just for this purpose with minimal software installation

Set up the computer to never sleep - HDD and processor

Continuous uninterrupted fast internet connection _ LAN in better

Test on Demo accounts - looks faster - and no worries

Start the test and forget it, go on with your daily live and check once in while if finished or crushed

Reduce continuous tick feed if not necessary from Processing All Ticks to lower options


After platform crushing or freezing restart the computer and delete tempo files

Restart testing - Good Luck !

P.S. From my point of view I think the strategies are crushing when they are restarting the servers at rollover time each day and on Fridays at close and Sundays on open.

When you notice that the strategy barely moves, and it used to work faster before, that means the server is overloaded and there is no point to continue in this conditions. Stop and Restart.

Run strategy when Europe People are sleeping start past midnight and when you walk up in the morning look for results!

Good Luck again !
Author:  Speedy349 [ Thu 20 Jun, 2019, 07:18 ]
Post subject:  Re: 14 Years surviving strategies collection
JP7 wrote:
Temporary solution for strategy testing taking so long:

BE PATIENT

Use a computer just for this purpose with minimal software installation

Set up the computer to never sleep - HDD and processor

Continuous uninterrupted fast internet connection _ LAN in better

Test on Demo accounts - looks faster - and no worries

Start the test and forget it, go on with your daily live and check once in while if finished or crushed

Reduce continuous tick feed if not necessary from Processing All Ticks to lower options

After platform crushing or freezing restart the computer and delete tempo files

Restart testing - Good Luck !



Hello JP 7 say a question have in the community your Thread contribution interressed read, good work in the backtest have tried by times,
have you ever tried candle body in (50) pips strategy with trailing candle close =50 and next candle open, open Position and Pending
Your programs are very small I like this approach very well.
In your rizhedge you have used all currency, how does this work in my strategies but always stay in jforex it gets too big for every couple.
I'm looking forward to an answer
have a nice day
Author:  JP7 [ Mon 24 Jun, 2019, 19:24 ]
Post subject:  Global_Basic strategy report
Global_Basic strategy report for EUR/USD instrument(s) from 2003-07-08 00:00:00 to 2019-07-14 23:59:00

Account Currency USD
Initial deposit 50000
Finish deposit 89031.31
Turnover 87204395
Comission 1569.69
Parameters

instrument EUR/USD
buy true
sell true
slippage 2.0
amount 0.1
tpProfit 1000.0
ngProfit 0.0
takeProfitPips 20
stopLossPips 0
printmessages false

Instrument EUR/USD

First tick time 2003-07-08 00:00:00
First tick bid value 1.13213
First tick ask value 1.13223
Last tick time 2019-07-12 19:00:00
Last tick bid value 1.12717
Last tick ask value 1.1272
Positions total 346
Closed positions 345
Orders total 346
Bought 34.60
Sold 34.50
Turnover 87204395
Comission 1569.69

Opened orders:

Label Amount Direction Open price Profit/Loss at the end Profit/Loss at the end in pips Open date Comment
EURUSD3441563068330115 0.100 BUY 1.489611 -36244.1 -3624.4 2014-08-13 12:39:21

Closed orders:

Label Amount Direction Open price Close price Profit/Loss Profit/Loss in pips Open date Close date Comment
EURUSD11563066615130 0.100 SELL 1.13219 1.12945 274.00 27.4 2003-07-08 00:00:05 2003-07-08 09:14:10
EURUSD01563066615130 0.100 BUY 1.13235 1.1349 255.00 25.5 2003-07-08 00:00:05 2003-07-08 15:38:12
EURUSD31563066615356 0.100 SELL 1.13379 1.13174 205.00 20.5 2003-07-08 15:38:39 2003-07-08 15:44:47
EURUSD21563066615356 0.100 BUY 1.134023 1.13637 234.70 23.5 2003-07-08 15:38:39 2003-07-09 12:38:58

Attachments:
Global_Basic.java [6.94 KiB]
Downloaded 184 times
Global_Basic strategy report.txt [916.72 KiB]
Downloaded 206 times
RangeBar.java [9.75 KiB]
Downloaded 243 times
Author:  JP7 [ Wed 24 Jul, 2019, 05:32 ]
Post subject:  Re: 14 Years surviving strategies collection
Grids_ifSNBN_Buy_ifBNSN_Sell strategy report for EUR/USD instrument(s) from 2003-07-17 00:00:00 to 2019-07-23 23:59:00
Account Currency USD
Initial deposit 50000
Finish deposit 121366.39
Turnover 85102382
Comission 1531.81
Parameters

step 20.0
instrument EUR/USD
slippage 2.0
amount 0.1
slSELLS 0
slBUYS 0
tpProfit 0.0
print false

Instrument EUR/USD

First tick time 2003-07-17 00:00:00
First tick bid value 1.12269
First tick ask value 1.12279
Last tick time 2011-12-30 21:59:58
Last tick bid value 1.2957
Last tick ask value 1.29626
Positions total 316
Closed positions 315
Orders total 316
Bought 31.50
Sold 31.60
Turnover 85102382
Comission 1531.81

Opened orders:

Label Amount Direction Open price Profit/Loss at the end Profit/Loss at the end in pips Open date Comment
EURUSD55 0.100 SELL 1.309684 1342.4 134.2 2003-09-03 00:21:18

Attachments:
Grids_ifSNBN_Buy_ifBNSN_Sell.java [7.29 KiB]
Downloaded 203 times
Grids_ifSNBN_Buy_ifBNSN_Sell.txt [663.79 KiB]
Downloaded 186 times
Author:  JP7 [ Wed 24 Jul, 2019, 14:43 ]
Post subject:  Re: 14 Years surviving strategies collection
Grids_ifSNBN_Buy_ifBNSN_Sell strategy report for AUD/CAD instrument(s) from 2006-07-17 00:00:00 to 2019-07-23 23:59:00
Account Currency USD
Initial deposit 50000
Finish deposit 60896.99
Turnover 31689460.64
Comission 573.56
Parameters

step 20.0
instrument AUD/CAD
slippage 2.0
amount 0.1
slSELLS 0
slBUYS 0
tpProfit 0.0
print false

Instrument AUD/CAD

First tick time 2006-07-17 00:00:00
First tick bid value 0.8489
First tick ask value 0.84936
Last tick time 2019-07-23 23:00:00
Last tick bid value 0.9196
Last tick ask value 0.91982
Positions total 180
Closed positions 178
Orders total 180
Bought 17.90
Sold 17.90
Turnover 31689460.64
Comission 573.56
Author:  NightOwl [ Wed 31 Jul, 2019, 18:11 ]
Post subject:  Re: 14 Years surviving strategies collection
Hello!


Yeah the speed is dependant on the networks speed to the servers. There are for example some VPS that have 1ms latency to dukascopy server, but this does not mean that the data will spaw between the servers at that speed as the protocols and scripts that orchestrate the whole datafeed transfer affects the speed that data can be downloaded.

Nice thread!
This is cool concept, when you have enough of these with 10 year proofs, you can start e hedge fund where you allocate money on these different strategies. WOW! It is like not only investing in one strategy but, we say 30, and if one 5 fails, the others are safe. This is really nice idea man, lol.

EDIT: depentant on other factors also.

EDIT2: I would point out that dukascopy demo has some odd anomalities, sometimes the price jumps really really odd to your take profit, like dirty odd. I have seen it twice.
Author:  NightOwl [ Mon 19 Aug, 2019, 19:01 ]
Post subject:  Re: 14 Years surviving strategies collection
hey man!

ok you have an email that I can send my code for testing 10 years? I would not like you to share it here but you can keep it for free.

many thanks,

nightowl
Author:  JP7 [ Thu 29 Aug, 2019, 19:33 ]
Post subject:  Re: 14 Years surviving strategies collection
my email is [email protected]

StochHedging strategy report for EUR/USD instrument(s) from 2003-08-23 00:00:00 to 2019-08-29 23:59:00
Account Currency USD
Initial deposit 50000
Finish deposit 59895.84
Turnover 1981399.42
Commission 35.51
Parameters

overbought 80.0
oversold 20.0
maxLongCount 2
maxShortCount 2
instrument EUR/USD
selectedPeriod Daily
offerSide Bid
slippage 0.0
amount 0.001
fastKPeriod 5
slowKPeriod 3
slowKMaType SMA
slowDPeriod 3
slowDMaType SMA

Instrument EUR/USD

First tick time 2003-08-23 00:00:00
First tick bid value 1.08731
First tick ask value 1.08761
Last tick time 2019-08-29 03:59:59
Last tick bid value 1.10842
Last tick ask value 1.10845
Positions total 783
Closed positions 1268
Orders total 783
Bought 5.12
Sold 5.11
Turnover 1981399.42
Commission 35.51

Opened orders:

Label Amount Direction Open price Profit/Loss at the end Profit/Loss at the end in pips Open date Comment
EURUSD1474 0.013 BUY 1.1467484 -498.27 -383.3 2019-08-21 00:00:00
EURUSD1475 0.001 SELL 1.110485 2.04 20.4 2019-08-27 00:00:00
EURUSD1476 0.001 SELL 1.110485 2.04 20.4 2019-08-27 00:00:00

Closed orders:

Label Amount Direction Open price Close price Profit/Loss Profit/Loss in pips Open date Close date Comment
EURUSD1 0.001 SELL 1.081001 MERGED 0.00 0.0 2003-09-03 00:00:00 MERGED
EURUSD3 0.001 SELL 1.11831 MERGED 0.00 0.0 2003-09-12 00:00:00 MERGED
EURUSD2 0.001 SELL 1.081001 MERGED 0.00 0.0 2003-09-03 00:00:00 MERGED
EURUSD5 0.001 SELL 1.11831 MERGED 0.00 0.0 2003-09-12 00:00:00 MERGED
EURUSD0 0.001 BUY 1.0891892 1.11831 29.12 291.2 2003-08-27 00:00:00 2003-09-12 00:00:00

Attachments:
StochHedging.java [13.64 KiB]
Downloaded 208 times
Author:  JP7 [ Mon 30 Sep, 2019, 06:28 ]
Post subject:  Re: 14 Years surviving strategies collection
Steps_Hedge strategy report for EUR/USD instrument(s) from 2003-09-23 00:00:00 to 2019-09-29 23:59:00
Account Currency USD
Initial deposit 50000
Finish deposit 86436.84
Turnover 113211613.77
Commission 2037.59
Parameters

instrument EUR/USD
step 20.0
takeProfitPips 20
stopLossPips 0
slippage 2.0
amount 0.001

Instrument EUR/USD

First tick time 2003-09-23 00:00:00
First tick bid value 1.14694
First tick ask value 1.14704
Last tick time 2019-09-27 20:59:56
Last tick bid value 1.09367
Last tick ask value 1.09439
Positions total 44289
Closed positions 44092
Orders total 44982
Bought 44.23
Sold 44.15
Turnover 113211613.77
Commission 2037.59
Author:  JP7 [ Fri 11 Oct, 2019, 03:24 ]
Post subject:  Re: 14 Years surviving strategies collection
// the signals are in reverse
// modified strategy source of Dukascopy from the JStore
// made by JP7 @ Dukascopy Support Board Automated Trading Knowledge Base
// [email protected]


MACD_with_closure_atSignals_SL_TP strategy report for EUR/USD instrument(s) from 2003-10-05 00:00:00 to 2019-10-11 23:59:00
Account Currency USD
Initial deposit 50000
Finish deposit 99300.01
Turnover 1356181559
Commission 24663.26
Parameters

instrument EUR/USD
selectedPeriod Hourly
offerSide Bid
slippage 1.0
amount 0.1
takeProfitPips 0
stopLossPips 200
positive true
negative false

Instrument EUR/USD

First tick time 2003-10-05 00:00:00
First tick bid value 1.1578
First tick ask value 1.1581
Last tick time 2019-10-10 23:59:59
Last tick bid value 1.10106
Last tick ask value 1.1011
Positions total 5356
Closed positions 5348
Orders total 5356
Bought 535.40
Sold 535.00
Turnover 1356181559
Commission 24663.26

Attachments:
MACD_with_closure_atSignals_SL_TP.java [9.13 KiB]
Downloaded 167 times
Author:  JP7 [ Sat 12 Oct, 2019, 03:17 ]
Post subject:  Re: 14 Years surviving strategies collection
STEPS_Merge_Double_Negatives strategy report for EUR/USD instrument(s) from 2003-10-06 00:00:00 to 2019-10-12 23:59:00
Account Currency USD
Initial deposit 50000
Finish deposit 72919.7
Turnover 13923997.25
Commission 250.05
Parameters

instrument EUR/USD
step 66.0
stopLossPips 0
slippage 1.0
amount 0.001

Instrument EUR/USD

First tick time 2003-10-06 00:00:00
First tick bid value 1.15893
First tick ask value 1.15903
Last tick time 2019-10-11 19:59:59
Last tick bid value 1.10404
Last tick ask value 1.10407
Positions total 5369
Closed positions 7577
Orders total 5369
Bought 69.78
Sold 69.73
Turnover 13923997.25
Commission 250.05

Opened orders:

Label Amount Direction Open price Profit/Loss at the end Profit/Loss at the end in pips Open date Comment
MergeEURUSD75747575 0.048 BUY 1.1844976 -3861.96 -804.6 2019-09-16 13:17:52
EURUSD7577 0.001 SELL 1.0894408 -14.63 -146.3 2019-09-30 12:14:13 7578
EURUSD7579 0.001 BUY 1.1021098 1.93 19.3 2019-10-10 07:43:51 7580

Attachments:
STEPS_Merge_Double_Negatives.java [8.73 KiB]
Downloaded 164 times
Author:  JP7 [ Sun 13 Oct, 2019, 10:02 ]
Post subject:  Re: 14 Years surviving strategies collection
TakeTotalProfit_Entry_and_Reversal strategy report for EUR/USD instrument(s) from 2003-10-07 00:00:00 to 2019-10-13 23:59:00
Account Currency USD
Initial deposit 50000
Finish deposit 79646.79
Turnover 159769012
Commission 2958.48
Parameters

buy true
sell false
amount 0.1
tpPercent 1.0
slPct 10.0

Instrument EUR/USD

First tick time 2003-10-07 00:00:00
First tick bid value 1.17121
First tick ask value 1.17131
Last tick time 2019-10-11 20:59:13
Last tick bid value 1.10329
Last tick ask value 1.104
Positions total 607
Closed positions 606
Orders total 607
Bought 60.70
Sold 60.60
Turnover 159769012
Commission 2958.48

Opened orders:

Attachments:
TakeTotalProfit_Entry_and_Reversal.java [3.8 KiB]
Downloaded 187 times
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