100% winrate trading strategy open sourced?

https://www.tradingview.com/script/XnvfXLPF-NoNonsense-Forex-high-timeframe-trading-absurd-NON-REPAINTING/

by dzej_bi • 7 years ago

8 13 7 years ago

alanfranz• 7 years ago

I'm showing it as an example of OVERFITTING. ... if you change any of the many parameters ... they will turn into disaster

Come on, there's nothing to be seen here. Hyperparameters were handpicked to result in 100% profit on a certain timeframe.

And the title is misleading.

AH2mdte8kPnJS• 7 years ago

TL;DR Title is misleading clickbait but the semi-interesting part is:

Backtesting results [of the backtesting strategy referenced] look absurd: 100% profitable. But if you change any of the many parameters in the Settings popup, they will turn into disaster. It means, the rules of this strategy are very fragile. Don't trade this! Remember about backtesting rule #1: past results do not guarantee success in the future.

matanrubin• 7 years ago

I’ve always wondered about this. Of course back-testing a specific timeframe doesn’t mean anything. But if I backtest a strategy on multiple timeframes in a sliding window fashion and am always profitable - doesn’t that mean anything? Would you still say that past results do not guarantee success in the future?

kitsuac• 7 years ago

Consider if your trading algorithm simply searched the history for that sliding window of data and then presented the following data as it's "prediction" -- it's utterly useless. This is the function of a compressor rather than a predictor.

theincredulousk4• 7 years ago

It still just means you're finding parameters that match some subset of the relationships present in the data as a whole.

All sliding the window does is discover the parameters that work for the whole data set in chunks - it is an artificial distinction. It still regresses to: you've found some number space generated by some function that matches some percentage of the numerical relationships (correlations) present in the data.

It's circular reasoning because during creating the parameters you're testing it on the "future" data. It only "guarantees" success in the "future" because you discarded all the parameters that didn't work in the "future". No different from writing a model that uses the S&P 500 price "parameters" between 250 and 1000 and back-testing it on data from 1950-1996.

The only way to prove your algorithm's robustness is to generate random data and test it on that. Once you've tested against every one of the infinite possible realities of a single time window, then you can rightly assert that past results have guaranteed success in the future. Hint: it's impossible, but the random data testing is actually the correct technique to test algorithms at scale.

Back-testing on historical data is like a footnote compared to the thesis simulation can generate - the only value it contains is correlating relationships between market data and external variables not present in the numbers. Back-testing to tune an algorithm based purely on the numbers in the data is just an exercise in quantified hind-sight bias.

theincredulousk4• 7 years ago

Devising a set of parameters that backtests 100% means nothing - there are an infinite number of parameters and models (or more accurately, algorithms) that can backtest any data set like this 100%.

In that sense, the math and "indicators" are just an obfuscated, custom-fit version of another algorithm that backtests 100% - if price[now] > price[now+1] -> sell else -> buy.

Rather than looking up the prices via array in the data, clearly "cheating", a set of parameters is hunted down that encodes that relationship in a number space. It doesn't mean anything more than the meme: 79 beers - your age + 40 dollars = the year you were born (which backtests perfectly as long as you were born after 1900).

That said, by all means, keep running the algorithm on new data every day and see how long it stays perfect. I'd be interested in the results.

dzej_bi3• 7 years ago

Hmmm, so I took this source code, compiled and it is still 100%.

I mean - the strat was published 8th of November, and you could say it was overfitted. But it continues to run. Since 8th of November it closed only 1 trade, but also $500+ profit. (second is still going, but currently profitable).

jbob2000• 7 years ago

I just did a quick dive into forex trading online to see what it would take to get this setup and... is it just me or are the websites and companies that run in this space the sketchiest things ever? I definitely do not trust any of these sites with the minimum deposits they are asking for.

dzej_bi3• 7 years ago

Just wait until somebody offers you "signals"... hahaha

100% winrate trading strategy open sourced?

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