Workflow Server

I suggest to implement a workflow server.

A central database with good workflows will be fine. All users can send his workflows to the database and 

users can take good workflow out of it.
I think this will a good extension for Strategyquant ultimate.
Possible with a monthly fee for the server which store all workflows?

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  • Votes +2
  • Project StrategyQuant X
  • Type Feature
  • Status Refused
  • Priority Normal

History

t
#1

tnickel

07.12.2020 13:19

Task created

h
#2

hankeys

07.12.2020 14:05
and how do you define a "good workflow"?


i read very carefully all topics in SQ forum and all bugs here and there and testing the users strategies and mostly found out, that they dont even know what they are doing


they even dont know the basic - that they must prepare the data

t
#3

tnickel

07.12.2020 20:56
A workflow is good if he fullfill the following rules.

X1) A workflow generate 5000 strategies for period A1and the portfolio test for unseen data produces profitfaktor P1 >1.1

X2) A workflow generate 5000 strategies for period A2 (period shifted by z days in the past) and the portfolio test for unseen data produces profitfakator P2  >1.1

..

Xn) A workflow generate 5000 strategies for period An (period shifted by z days in the past) and the portfolio test for unseen data produces profitfaktor Pn>1.1


averageProfitfaktorOfAll=(P1+P2+... Pn)/n


A good workflow have a good averageProfitfkator for example.

This is my test for good portfolios. It is very difficult to find workflows which are good for all time periods. But some workflows are better than other.

I can find portfolios with averageProfitfkatorOfAll=1.15 for example. This is not so much. But If you see the results for every periods of unseen data, there are market phases where the portfolios are good.


You can find with this mechanism very fast bad workflows.


You can compare this mechnism with a walk forward analysis. Every period of unseen data should be good.

If we collect the good workflows we will get a big pool of knowledge.




t
#4

tnickel

07.12.2020 20:56
Voted for this task.
MF
#5

Mark Fric

15.12.2020 13:53

Status changed from New to Refused

we already have Share section on our website where you can share the workflows, as well as on the forum.




Votes: +2

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