Customisable Cross Checks

It would be really good if we could customise our cross checks when building or retesting strategies in builder and custom projects in the Cross checks (robustness) tab.



For example I would set my workflow up to do this:
1. Higher backtest precision using 1 min data with filters for 90% of profit, 90% of trades and 110% of Max DD

2. MC Trades manipulation: Randomise trades order EXACT with filter Ret/DD at 95% confidence to be at least 50% of Main Ret/DD

3. MC Trades manipulation: Randomise trades order RESAMPLING with filter Ret/DD at 95% confidence to be at least 25% of Main Ret/DD

4. MC Trades manipulation: Randomly skip trades, with probability 10% with filter Ret/DD at 95% confidence to be at least 50% of Main Ret/DD

5. Backtest on additional markets: Pick the same market with different timeframes and use filter for PF > 1.1 for all markets

6. Backtest on additional markets: Pick a range of different markets e.g. 28 FX markets and use a filter for PF > 1.2 for at least 2 other markets

7. Backtest on additional markets: Pick a range of different markets e.g. 28 FX markets and use a filter for PF > 1.1 for at least 4 other markets

8. Backtest on additional markets: Pick a range of different markets e.g. 28 FX markets and use a filter for PF > 1 for at least 8 other markets

9. MC Retest methods: Randomise Historical Data with Prob 30% and Max Change 10% with filter Ret/DD at 95% confidence to be at least 50% of Main Ret/DD

10. MC Retest methods: Randomise Spread and Slippage (2 tests) with filter Ret/DD at 95% confidence to be at least 50% of Main Ret/DD

11. MC Retest methods: Randomise Strategy Parameters with Prob 20% and Max Change 30% with filter Ret/DD at 95% confidence to be at least 50% of Main Ret/DD and 100% confidence to be at least 25%

12. MC Retest methods: Randomise Strategy Parameters with Prob 20% and Max Change 30% with filter Ret/DD at 95% confidence to be at least 50% of Main Ret/DD and 100% confidence to be at least 25%

13. MC Retest methods: Randomise Strategy Parameters with Prob 20% and Max Change 30% with filter Ret/DD at 95% confidence to be at least 50% of Main Ret/DD and 100% confidence to be at least 25%

14. MC Retest methods: Randomise Strategy Parameters with Prob 20% and Max Change 30% with filter Ret/DD at 95% confidence to be at least 50% of Main Ret/DD and 100% confidence to be at least 25%



I can set this up using custom projects, but it's more tedious doing it this way and it would be really good to be able to set up our cross checks from the get go like this to get the best possible strats without too much manual work.
This way we also don't have to generate a whole lot of strats only to find they keep failing during retests using either the retester or a custom project task.



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  • Votes 0
  • Project StrategyQuant X
  • Type Feature
  • Status Archived
  • Priority Normal
  • Assignee None

History

JK
#1

Insanity82007

02.01.2020 08:54

Task created

MF
#2

Mark Fric

10.03.2021 12:40

Status changed from New to Archived


Votes: 0

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