What’s the right process or best approach to backtestng trade setups and strategies | Traders Hideout


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What’s the right process or best approach to backtestng trade setups and strategies

  #11 (permalink)

Seattle
 
Trading Experience: Beginner
Platform: Ninja Trader
Favorite Futures: CL
 
Posts: 24 since Jun 2018
Thanks: 11 given, 3 received


tpredictor View Post
@kevinhpchan The benefit to speeding up the market replay is that you can see how longer sequences unfold. So you can see how general structure unfolds. There is a benefit. On longer time scales, speeding up time can also make it easier to trade because one is able to "prime" better for the unfolding patterns versus in real-time the sequence may unfold so slowly so as to go unnoticed. The cost is that you lose the ability to experience how that process unfolds in the real-time, the self-doubt, waiting, etc. Also, if your personality is such that you like to place more bets then speeding up time can paradoxically improve performance because you can make more good bets within a certain psychological block of time. Example, if you are trading on a 1 minute chart, over a single trading hour, if for every 1 minute you could take a trade and you only wanted to trade the best 20% of the those 1 minute blocks then you would have 12 potential bars to act on within 1 hour. If you were trading 1 hour charts and you wanted a correspondent number of opportunities at the same selectivity level then you'd need to look at 60 hours of market activity. If the opportunities were evenly spaced, you would need to wait an average of 5 hours between trades versus 5 minutes.

Generally speaking, at this level of detail you are going to have to do your own work to determine what makes sense for your trading. I might add, very likely, the easiest way to outperform 70% of futures traders is simply to reduce your leverage.



Thank you so much. That was very helpful. Can you elaborate more on this statement:

“ the easiest way to outperform 70% of futures traders is simply to reduce your leverage”...


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