Would you run this strategy? 10 year DAX backtest results attached.What do you think? | Traders Hideout


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Would you run this strategy? 10 year DAX backtest results attached.What do you think?

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Trieste Italy
 
 
Posts: 146 since Feb 2018
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Would you run this strategy? 10 year DAX backtest results attached.What do you think?

Hello everyone,

I came here (futures.io) at the begininning of the year and I've found this place as a very valuable source of information and it helped me a lot with the learning process. From late february I started to learn easylanguage and take some confidence with multichart. Now after almost 4/5 months of daily tests and over 20 developed strategies I finally came up with 2 interesting automated strategies and In this post I like to know your opinion on one of my systems.

I'm actually developing all my strategies over the DAX (eurex exchange) future included this one. All I can say about the entry rules is that the system is actually calculating an initial BIAS (bull, neutral, bear) at the beginning of the day (it can change with some rules) and based on that it make some entries using the previous day VALUE AREA levels.
The system works only intraday during the cash session and ONLY ONE STOP LOSS per day is allowed. There's no limits of consequential gains.

Some hystory about the development process:
I started to develope the stystem over a small backtesting period of 1 year just to see if my edge is right or not and to put down the basic code logic of the signal. I first wrote the BIAS definition code and then all the entry and exit cases... I was satisfied because the test from half 2017 to today was very promising so when the first rough version of the system was ready I tested it over the last5 years and I sadly discovered that is was losing and then barely staying alive from 2013 since the end of 2016. Basically I discoved that it was really profitable only in the last 1 year.
We all know that 1 year of good backtest is NOTHING so I went back to the entry logic and spent some hours modifying and testing all the entry rules, checking the entry levels and testing new patterns and FINALLY I came up with a logic that made the system profitable as I hope in the last 5 years.
After that I spent some time with the optimization. Please note that this system doesn't have so many parameters: it has some variables that define a sort of "profit protection" (If I reach X tick of gain then at least I want to earn X/2 ticks so I place there a stop order) and then there's the stop loss. The interesting thing si that I had those 3 different interesting situations with those value of the stop loss (and the profit protection fixed to points):

SL 25 points I had almost the BEST NET profit possible
SL 15 points I had the Best Profit Factor
SL 10 I had the lowest Drawdown

Just curious because I discovered that 90% of the system performance differencies are based over the STOP LOSS value setting.
In all case the profit factor was around 2 or little higher.

10 YEARS BACKTEST :

So in front of those results it was time to test if over the maximum number of years provided by IQFEED ( 10 years) so I tested it since late 2008 to today leaving the SL at 25.

It really was a pleasure to discover that it was working the same (almost) way in the ealy year that it used to do in the last 5 years. The system as you could see below is profitable every year. The most interesting thing is that it is really profitable in the most of the months with only a few negative losing months. It has maximum loss per day equal to 644,5 that is 25 point of dax included slippage 1 tick and commissions.
System has been tested over a regular chart with 5 minute bars. It has a resonable maximum DD and it really doesn't have so many negative days. As my first system I was hoping to have something with a maximum affordable loss risk per day and this is something I can deal with.

This year (still don't know when) I'm planning to go live with 1 or 2 strategies and this will be my first automated system trading experience. So I simply wanto to know what do you think about this system based on those backtesting results? Would you go live with it?
Any advice? I just would like some suggestions from automated trading veterans!

Any comment is appreciated,

Regards,

David

SYSTEM PERFORMANCE

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EQUITY LINES

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TRADE ANALISYS

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ANNUAL ANALISYS

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MONTHLY ANALISYS (since 2015, just to show you how single months are doing)

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MONTECARLO

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