Adaptive MVS

Post anything related to mechanical systems and automated trading here.
Post Reply
Posts: 34
Joined: Wed May 18, 2016 6:51 pm

Adaptive MVS

Post by hjelmstade » Sun Dec 25, 2016 2:28 am

Hi all,

I wanted to share one last thing today in case someone is able to use this as a basis for building a better system. In my post regarding the MVS with Adaptive Batch Exit and Adaptive CTS (viewtopic.php?f=9&t=149), I shared the final version of my ES Daily system.

In my ES Daily system I was originally using an Adaptive MVS but I ended up reverting to a Non-adaptive MVS after the adaptive system was causing issues with the exit system I was trying to implement. If you haven't reviewed the documentation in the post above, it describes all of the sub-systems I added to Earik's MVS so I won't go through describing them again here.

Instead, I want to review the different modes available for the Adaptive MVS which you can find here:

There are 3 modes you can enable for this system.

1. The Non-adaptive MVS. This is what is being used to generate the signal for the final version of my ES Daily system.

2. Adaptive MVS. As there are 9 sub-systems, it creates 512 (2^9) systems that run in parallel and then compete over a look back period. The combination of sub-systems that performs the best is what is selected to give the final signal to the system that then makes trading decisions.

3. A merge of the Non-adaptive and Adaptive MVS's. The system switches between Non-adaptive and Adaptive each time the selected system takes a loss. If it results in a winning trade, it is allowed to continue to generate the signal. In the attached screenshot, you can track when the system was switching between Non-adaptive and Adaptive. The blue signal line indicates that the Non-adaptive system was in charge so all sub-systems votes were being tallied to create the signal. The green signal line indicates the Adaptive system was in charge and only the best performing sub-systems votes over the look back period were being tallied to create the signal.

I was originally using mode 3 for my ES Daily system but as I mentioned above, when I began implementing the batch exit system, it was creating complications and therefore bugs so I decided to scrap it as the adaptive batch exit system and adaptive CTS strategy based on win/loss streaks created a significantly more profitable system overall.

However, I still think there is promise in using an Adaptive MVS or a combination system like in mode 3 so I wanted to share in case anyone else wants to explore.

Let me know if you have any questions or manage to incorporate this into any of your systems.

Again, a big shout out to Earik for letting me share this. Half of the code is his IP and the process for creating an adaptive system is also his creation so thank you Earik!
ES_Daily_Adaptive_MVS_Chart_Example.png (31.85 KiB) Viewed 7194 times

Post Reply

Who is online

Users browsing this forum: No registered users and 1 guest