[SQ4 B5] Strategies with Momentum as a single entry indicator cannot work, Momentum does not show the market direction.

SQ4 creates the wrong opposite rule for the Momentum indicator. It goes long if the Momentum is rising and goes short if the Momentum is falling. Both of this is nonsense as neither a rising nor a falling Momentum does indicate anything about the direction of the market. Momentum, independent from if the market rises or falls, just indicates the strength of a movement, but not it´s direction. Hence Momentum can never be used as a single entry indicator, only as a support for another main indicator that really indicates the direction (like MACD or many others). Yet SQ4 creates strategies with just the Momentum indicator as an entry - all resulting strategies have a completely off / low Symmetry (of course), as Momentum cannot predict the direction. Example of what SQ4 generated for me:


====================================================================
==== Trading Rules
====================================================================
==== Rule: Long entry ====
if (Is Bar Open
   and (No Trade Recently Closed
   and (Momentum(Main chart,57)[1] is rising)))
{
    // Action #1
...........


}



==== Rule: Short entry ====
if (Is Bar Open
   and (No Trade Recently Closed
   and (Momentum(Main chart,57)[1] is falling)))
{
    // Action #1
...........




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  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

?
#1

anonymous

03.09.2017 20:22

Task created

MF
#2

Mark Fric

05.09.2017 07:29

Status changed from New to Refused

I understand the point, but random generation will sometimes generate strategies that make no sense. 


We can add check for that, but we wouldn't be able to check all the possibilities of what can be generated and makes no sense. It should be filtered out during backtesting process, when such strategy doesn't turn to profit.

g
#3

geektrader

06.10.2017 04:07
I think SQ3 never did that. SQ4 should have some logic for what it generates, especially in terms of symmetry. You should use a kind of table with correct opposite rules instead to just insert purely the indicators as they are, because then you can never achieve symmetrical strategies.

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