I'm aware of the rationale that a good trading system should work across a variety of symbols. I actually started off my system trading ER / TF. Thing is, the system has evolved to take advantage of some peculiarities of the oil market, that is, it doesn't assume it's a random walk and takes advantage of some price action patterns that happen specifically in the oil market. Of course the downside of this is that those patterns are not guaranteed to be around forever, but they have been there for the last 5 years. So what I'm saying is this can only work for oil the way it stands. But just for kicks, I did switch the system to QM just to see what it would do, without adjusting profit/stop targets which should be done since QM has less tick value than CL. Bellow is the chart for QM during the same time period.
I think it's not bad considering that nothing was modified with the QM chart, all I did was switch the chart from CL to QM.
I'm going to play around a little with the profit/loss targets to see what happens.
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Last edited by pepelucho; June 13th, 2014 at 09:56 PM.
yea, I've fiddled with the time frame to no end. It works across all time frames that I've thrown at it, the one I use is just the one that ends up working best. Usually changing the time frame ends up with an identically parallel equity curve chart but with less profit. But you can literally overlay one chart over the other, that's how similar different time frames end up being (except for the different profits, of course)
Here's a suggestion. Actually, this is what I would do if I were you. Finalize all inputs and trade what the strategy produces exactly, manually in a Topstep Trader combine. There are several things in favor for running the strategy in a TST combine. Your average time in trade is about 25 minutes so it can definitely be traded manually. Average winner is 34 ticks, average loser about half which is great. Your strategy spends more time in winning trades vs losing trades (I am assuming you ran this on time based bars) which is also favorable. You could get yourself a funded account if all goes well. You can do all sorts of automation after that if manual mode is inefficient or not scalable.
Actually I've been trading CL in a funded account for years now, and I have this strategy automated on ninjatrader which is way easier than manually trading it. Not sure what a TST combine is, maybe that's something that will require manual trading ? I don't know, but I'll look into it, thanks for the advice and comments !
running your test unchanged on QM and getting the same results (similar) is not statistically significant as that's just a mini version of CL (arbitraguers will take care of QM being 'the same' as CL). However, it's very encouraging that your tests show a similar result for NG, which, although still energy sector, is a different market.
Last edited by HFF Trader; June 18th, 2014 at 07:59 AM.
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(Sorry if I missed a post earlier regarding this question) ...
Would you please share the basic rule parameters of your system?
- Automated robotic trading, or discretionary entry with alpha signal
- Alpha signal for a long or short entry
- Exit rule:
1) Do you use Profit objective amount (i.e. $200-$300/contract) or target?
2) Stop Loss rule (fixed amount, or conditional on other factors such as S & R)
- Do you utilize a trail?
- Time rules (examples):
1) Taking All alpha signals between 7AM - 2:30 PM, or...
2) Trading multiple sessions (i.e. London & US sessions)
3) Time in trade rules
4) Re-entry rule: waiting a period of time after being stopped out before re-entering
- Profit Rules:
1) Stop trading once a daily profit objective is achieved
2) Stop trading after a daily/weekly loss amount is hit
I don't want to share too much about the system since it has taken me a long time to get to where it is. This is what I can reveal :
It's 100% automated without any subjective input in my part.
There's an entry signal based on an algorithm and once an entry is filled there's an OCO bracket set up for the exits - one profit and one loss target.
There are time rules as far as when to trade but that's all I can say. No multiple sessions, no time in trade rule, no re-entry rule (a trade either wins or loses and never again re-entered on the same signal).
No profit rules about stopping trading after a profit target is hit.
Just an observation as a person who does not do this type of trading.
Your title asks for comment on your trading system and you produce a chart that obviously shows a positive result. However, you state nothing about your system that is really worthy of intelligent comment.
How are you going to benefit from knowledgeable criticism when you give few details to evaluate??? Makes no sense to me.
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