Strategies moved to TS are not remotely close.

[D G]

I'm pretty experienced with the Tradestation platform and have sufficient easylanguage skill.

I'm running various models in Adaptrade. In general I model 8 years of 5 minute MES.D data over equal-thirds training, test, validation periods. A validation period is therefore 2 years. The test data ends Jan 1 2024.

I look for trade significants, corr coefficient primarily to be passing in the three periods. The "validation" segment of the equity curve looks basically like the training and testing periods.

However.... 
When I take the easylanguage code into tradestation and try the data on 1 year of unseen data (Jan 2024 - Jan 2025), most of these models are failing spectacularly. I don't mean equity curve that break down a bit, I mean 45-degree straight-down equity curve that don't look ANYTHING like the  passing models in Adaptrade.

So what am I missing in translation here? Something isn't right. I'm pretty familiar with how to configure strategies in tradestation and I'm not missing anything obviousl that I can think of.

How can a most models that pass quality robustness tests (not just a good validation equity curve) really look absolutely NOTHING like the source model in AB?

Thanks for suggestions.

[MikeBryant]

It sounds like you're talking about two different things: (1) the back-test in TradeStation matching the results in Builder, and (2) the results holding up out-of-sample. As far as the back-test in TS matching the results in Builder, this has been addressed many time before on this group, as well in the user's guide and in the online FAQ (which is also in the user's guide). Please see the following FAQ item, and please do a search on this forum for this issue for additional information:

http://www.adaptrade.com/Builder/Builderfaq.htm#Q4

As for the results holding up out-of-sample, this has been discussed many time as well on this forum, and I've discussed it in a variety of newsletter articles over the years. For my most recent discussion, please see my latest newsletter article: http://www.adaptrade.com/Newsletter/NL-RobustOpt.htm.

Mike Bryant

Adaptrade Software