Being overly specific in your search

StrataSearch will find what you tell it to, but what should that be? Will the same criteria work across different Sectors? Different time periods? Here we discuss the ins and outs of OneClick Searches.

Being overly specific in your search

Postby Overload » Wed Feb 22, 2006 4:39 pm

When I first began using the OneClick search, I had a tendency to be extremely specific in my search. Show me only systems with holding periods between 5 and 10 days. Percent profitable at least 75%. Monte Carlo returns within 10% of the portfolio returns. Etc. What I ran into was that my OneClick searches were so specific that I was generating an acceptable strategy only once every couple of days.

I think there’s a general tendency to be too specific in what we’re looking to find. While we might ultimately find what we’re looking for that way, we’re also overlooking many other possibilities that might have been acceptable if we’d only opened the doors.

Thus, my recommendation is to remain a little loose in your acceptance filters for your OneClick search. While you might need to filter out a few more unacceptable systems after the fact, you might also find some acceptable systems that you wouldn’t have otherwise considered.

Pete
Overload
 
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Re: Being overly specific in your search

Postby andyb1979 » Fri Nov 27, 2009 8:08 pm

Hi there,

I think this is what Im experiencing now. I started a oneclick search "Minimal Drawdown" on three ETFs, QQQQ, DIA and SPY. I'm looking to trade the indices via futures or options on ETFs.

For me a system that provides a small drawdown is great as it means the leverage of futures/options won't wipe you out. However Im finding after a day or so of processing (500k strategies searched) there are zero results.

Average Annual Return is set to "Reject outside 10%" and this has caused all the rejections. Ok so QQQQ and SPY don't move that much but is it really that hard to find a strategy able to return 10% on an index ETF in a year? Or perhaps I've done something wrong in setting up the search?

Alternatively, yes it will take ages, be patient!

Any advice for a newcomer to stratasearch?

CHeers :mrgreen:
andyb1979
 
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Re: Being overly specific in your search

Postby Overload » Sat Nov 28, 2009 10:04 am

This is all just part of the learning curve. And the learning curve can be significant when revising the search criteria, as this is both the most complicated and the most important area.

Every search is different, and that's why there is no "one size fits all" search. You're using a few symbols in your search, so you'll need to keep an eye on the "Number of Trades" setting. The rejection cutoff for Number of Trades should be radically different if you're evaluating 3 versus 2000 stocks. But how large is your evaluation period, and when is it? Do you have a large spread or slippage setting? Are you requiring a high Annual Return? All of these have an impact on how your search criteria works as a whole, and it does take time to wrap your arms around it.

There's definitely a tendency to put "ideal qualities" into the OneClick Setups, only to find that such a high-quality system doesn't exist. That happens to me all the time. But you then have to step back and loosen your criteria to find something more reasonable. There's always different things that can be tested.

My cutoff, in general, is 24 hours. In other words, if I don't see at least one result from my OneClick Search in a 24 hour period, then I believe my filters are too tight and I loosen them. This is personal preference, but it allows me to make my filters as tight as possible, while still producing results. It all depends what you want. But as you're going through the learning curve, one option is to make your filters more loose, and then rely on the scoring to select the best. Then, instead of seeing nothing in the beginning, you'll be coming from the other direction and seeing lots in the beginning. You can then tighten your filters once you have an idea what's available.

Pete
Overload
 
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Joined: Wed Nov 30, 2005 12:14 pm


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