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?

  #33 (permalink)

Arnhem, The Netherlands
 
Trading Experience: Intermediate
Platform: NinjaTrader, Zorro
Broker/Data: RCG/Continuum, IB, Oanda
Favorite Futures: Futures: FDAX, GC, ES, CL also: FX, CFD, ETF
 
rlstreet's Avatar
 
Posts: 26 since Aug 2012
Thanks: 28 given, 22 received


Dvdkite View Post
Hello rlstreet,

what you are said make sense and I perfectly understant what do you mean. BUT this strategy is designed with pure price action around 3 level of price ( VAH , VAL and POC ..all from the previous day and calculated in the cash session). It just analize what the prices are doing around those levels and react accordingly to my rules. The systems doesn't care what is happening in the world. All that matters are those 3 levels and what prices are doing near them and what patterns the X previous candles are designing.

After all you post this morning I double checked if entries are correctly made at the level (price) that I want and I printed for debug all levels and entry/exit prices and they are matching perfectly.

So for sure I'll add this Systems live on MC with the datafeed to see how entries are performed in the upcoming months and let's see if they're going to match the backtest.
In the meantime I'll try to convert this strategy for the MINIDAX and it is not so fast because , due to the difference of volume mainly, I cannot simply apply it to the minidax chart but I have to rewrite the strategy using minidax as DATA1 and DAX al DATA2 and then only refer to the minidax for the buys and sells.


Anyway none of you has commented the fact that the system has been tested over untouched data from 2008 to 2013. I know that usually out of the sample data are the last year or six months till today .. but even if those data are in the past they were still untouched and the system perfermed as it should also in those years. Don't you think this is a plus value? Or at least those 5 years have the same values of a more recent year of out of sample datas?

Regards,

David

Let me give an example of a hypothetical mini theory: my system is exploiting the morning in flow of relative dumb money, which has the tendency to create more momentum than during later on day.

Ok it is a theory, so need to research: 1 is there more momentum in the morning than during the rest of the session, are there special times,days, how to measure momentum 2 dumb money what is it, can I find more info on the topic morning opening.

In this way you create a clear picture of your problem space,odds, so after this work you can find rules, levels, to exploit this inefficiency. And maybe most important you create a deeper understanding of the markets.

At this moment you have a set of rules and no idea what you are exploiting. And you mined the rules so it gave the idea you have caught a pattern that could persist in the future.

Don't get me wrong, maybe you on to something, i don't know. Luckely there are many ways to find out before allocating real money to it: simulation, robustness tests.


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