Yeah sure so on USDCAD the relative drawdown is around 9% which I don’t like that much and that was due to the performance of the last 100 trades.
I’m trying to play a numbers game, so if you look at the USDCHF for example, the first 3 trades were losers, whilst on USDCAD the first 3 were winners, so if you imagine that there was some time overlap in some of those trades or you had a way to split your risk in your portfolio between them, then the net relative drawdown in that case in at the end of given time period is zero. for those two; When one pair is not doing well another pair makes up for it and overall both are hopefully profitable.
so even if i took the bad performing period on USDCAD only, with a 9% loss, USDCHF has won 23% in the same time.
The second one comes back to cross-validation, so if I am looking at 7 years data, say:
- 2010, 2011, 2012, 2013, 2014, 2015, 2016
and I want to use 6 years data to test on 1 years new data, then the training set (6 yrs) Normal and the Testing Set Bold, my training and testing sequence might look like this:
- (1) 2010, 2011, 2012, 2013, 2014, 2015, 2016
- (2) 2010, 2011, 2012, 2013, 2014, 2015, 2016
- (3) 2010, 2011, 2012, 2013, 2014, 2015, 2016
- (4) 2010, 2011, 2012, 2013, 2014, 2015, 2016
- (5) 2010, 2011, 2012, 2013, 2014, 2015, 2016
- (6) 2010, 2011, 2012, 2013, 2014, 2015, 2016
- (7) 2010, 2011, 2012, 2013, 2014, 2015, 2016
if USDCAD gives around 200 trades in each test set of one year, now I have 200 x 7 = 1,400 independent test trades for USDCAD across the 7 years. Each one will have a different Win rate and Error, which will give me a set of values for variation in error that can itself be modelled…
That can come in useful for risk management, if I want to monitor Live or in a Forward Test the variation in the predictive performance of my system/model versus what should be normal, either at the granular level on each instrument, or at the macro level an overall portfolio.
In this case I am not going to 7 fold cross validate, just 1 fold. Because it’s not practical;
Each run on an M15 Candle on a single currency pair for 5 years for example, searches 149,665 candles with 200 different possible combinations of the two variables to find edge.
M15 = 149,665 candles, M30 = 74,832 candles, H1 = 37,416 candles, H4 = 9,354 candles
271,250 Candles for M15 - H4, for each of the 5,6,7,8, 9 -14 Bars looked back at = 271,250 x 10 = 2,712,500
2,712,500 x 2 Bars for each pair for Buy and Sell
The training time takes awhile. In this case it makes more sense to me to just spread the risk across 25 - 30 instruments with just 1 5-yr training and 1 year testing on each; with the hope that the multiple instruments balance each other out and have the same effect as cross validating.
Some pairs will lose money.