Micro Strategies

[Luigi]

The builder created a pretty good strategy for ES 5 min by using data for the last 3 years. I tried to adapt the strategy for the micro contract MES it still performed ok but not so great. I then ran Builder on the same 3 years directly with MES data and it could not find one good strategy at all. How is it possible? Am I doing something wrong?

[MikeBryant]

There's no reason it shouldn't also work on the MES, but you may need to change your settings to match the market. I wrote an article on the MES, http://www.adaptrade.com/Newsletter/NL-MicroEmini.htm, where I used price data from the ES with settings to match the MES. Perhaps that will give you some idea where your settings need changing.

[Luigi]

There are some issues and questions. I hope you can help

1) Once a system has been developed for example on ES how can it be adapted to the micro contract at the CFD? What are the parameters to change?
I tried to adapt the strategy found by the builder on ES to the MES but it doesn't seem to work. Instead, by directly inserting the MES data it doesn't seem to be able to find any good strategy.

2) Why sometimes the strategies that seem good in the builder's table, once inserted in MC don't give the same results and even seem to lose money? In any case the trades don't match even though I used the timeframe suggested by the builder.

3) Is there a way to make an initial selection of the strategies from the table by inserting the best ones in some specific folder and then review them in more detail and make a further selection?

4) Why don't the data in the strategy table match the data in the corresponding performance report in the window on the right?

5) Why often after the creation of the hundredth generation the builder stops without indicating that it has finished the search (as shown in the attached images)?

[MikeBryant]

1. On Symbol Properties, I would check the point value, session time, and trading costs. On the Build menu, I would pay particular attention to the Parameter Ranges. In general, before running any build, you should visit all the settings windows on the Build, Evaluation, and Position Sizing menus and make sure all the settings are correct. For example, in your case, do you have any metric settings that use dollar amounts? If so, do they make sense for the different contract?

2. The issue of discrepancies between the results in Builder and those in the trading platform is addressed in the user's guide (Common Questions) and on the website in a FAQ item. Please refer to that for details. Please pay particular attention to the issue of "look-inside back-bar testing" and ask yourself if it applies to your strategy. Oftentimes, traders don't believe it's relevant when it's the main cause of the mismatch they're seeing.

3. That's the purpose of the Top Strategies population of Build Results and the corresponding Top Strategies metrics on the Metrics window.

4. The results in the Performance Results window match the results for the "Combined" selection of Build Results.

5. The build stops based on your settings on GP Settings under Build Termination Options, which includes the max generation settings as well as the build termination rules. Otherwise, it's possible for the build process to fail for reasons addressed in the user's guide, in which case you should see a message to that effect in the Messages window.

Mike Bryant

Adaptrade Software