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?

  #36 (permalink)

Trieste Italy
 
 
Posts: 146 since Feb 2018
Thanks: 128 given, 18 received


jmont1 View Post
@Dvdkite, I'm not able to get a good auto system so I am impressed by your information.

Thank you. But as you know I still have to see if it's a valid system in real trading before so I can be totally satisfied.


jmont1 View Post
Seems a shame to go for such a long time missing out on profits if your system actually works. Perhaps you could determine an acceptable loss ratio of your account size and just run for a day at a time with a max daily and overall loss amount including a max drawdown. So if you do run well at first and run into a poor period you do not give it all back.

Professional members here will surely think this a foolish idea but I was never considered the brightest bulb in the set.

Yes this is something I thought too. But this will be my first strategy to go live (as I'm new in this word of automated system, but I'm not new in the world of programming/coding) so I think I could do something in the middle like test the strategy in simulated trading for at least 1/2 month just to check if entries are made at the same way as they were made in the backtest.. and then thing about put real money on it.



jmont1 View Post
As for the information above, I would just comment that your losses have 50% more bars than your wins. Perhaps you can implement a maximum amount of loss within X bars or you close out early. I.E... after 9 bars Profit is > - $150 or you close the trade. Or instead of bar count you use clock time and a minimum value. Ninjatrader code:

if ((BarsSinceEntryExecution() >= MaxOutBars)
&& (Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency) <= MinBarsProfit))
{
ExitLong(Convert.ToInt32(Position.Quantity), @"MaxBarsL1", @"Long1");


I also recall that in NT7 backtesting there was an anomalie that if the trade opened and closed in the same bar it should be suspect because there was no way to tell the real procession of the bars and a win might actually hove been a loss. My guess is you do not have that issue but felt it might be worth looking into.

Thanks for the code... but I'm using Multichart :-D
Anyway the system already have a similar kind of protection. If the price goes over 12/15 points of gain then it fire a stop order with entriprice + 1 points (just to pay commissions)...
And also the maximum allowed stop loss per day is already 1 so it can lose at maximum 644/day.

Regarding to the losing Bar this is the first thing that I've realized in my backtest, but In my sumilation I saw that the only parameter that was changing the game is the STOP LOSS. As you can read in the first post where I described the system, it works good even with stop loss of 10 and 15 points... but with 25 it earns more ad it does a lot more operations and it is stopped out less times...
So it turned out that to accept 25 points is better than to use a smaller amount and that's the main reason for that number of negative bars... but it gets compensated by the high win level of 75%...



jmont1 View Post
As for trying to start with the MDAX before trusting it with the FDAX, I would hesitate there. I have limited experience with either contract but have seen enough to know that the very shallow volume of the MDAX leads to spreads that would not be seen on the FDAX. Spreads are "Bad" for day traders in MHO. So take a little time to watch the two DOMs and see what I mean.

You're right about the volume. Based on my experience looking at the dom of the MDAX compared to the DAX they're very very close and hopefully that really small spread different that occur so rarely in a 5 minutes bar charts won't make a difference (hopefully again eh eh ). Anyway it would be a little bit complicated to use the Big DAX even for the higher margin that it require.. something like 15K. so if you add 4,3 k of maximum DD you have to charge the account at least with 20k and that's something I'm not sure to do as first attemp to autotrade eh eh. 10k would be better if possible... that it would be even less with the minidax... and with minidax I could always increase position during the time if the system keep earning.



jmont1 View Post

Hope you are successful and possibly willing to share some insight with the rest of us struggling wannbe's.

Thanks and I really hope too. I'll post here for sure any updates.

Btw: One important thing is to backtest this system also on other instruments so I would be really curious to test it over the ES as soon as I find some good 5 minutes data. I'm actually already paying IQFEED a lot for eurex and it's not the time to buy new CME data subscriptions for me now...

I'll probably test it over the euro BUNDS (it is in the EUREX exchange) next days... but I have to modify some parts in the strategy positions and rules beacuse it is actually only fitting the DAX settings ...

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