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please comment on my trading system
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please comment on my trading system

  #11 (permalink)
Trading for Fun
portland, OR
 
Futures Experience: Advanced
Platform: NinjaTrader, TradeStation
Broker/Data: Optimus/Rithmic
Favorite Futures: CL
 
Posts: 50 since Nov 2009
Thanks: 5 given, 18 received

Oil patterns


Big Mike View Post
Can be easy to prove. Test against QM or USO. If results are outside in multiple metrics, it's likely over fit.

Personally, I would test this against dozens of symbols and analyze the results. I also prefer to trade from a portfolio level instead of single instrument.

Watch the webinars in archives. Tons of info on this.

Sent from my LG Optimus G Pro

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 10:56 PM.
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  #12 (permalink)
Trading for Fun
portland, OR
 
Futures Experience: Advanced
Platform: NinjaTrader, TradeStation
Broker/Data: Optimus/Rithmic
Favorite Futures: CL
 
Posts: 50 since Nov 2009
Thanks: 5 given, 18 received

QM again

Here is QM again, with profit and stop targets cut in half and no other changes :

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  #13 (permalink)
Trading for Fun
portland, OR
 
Futures Experience: Advanced
Platform: NinjaTrader, TradeStation
Broker/Data: Optimus/Rithmic
Favorite Futures: CL
 
Posts: 50 since Nov 2009
Thanks: 5 given, 18 received



Big Mike View Post
Also slightly vary timeframe. Change from 1000 tick chart to 1100 for example, assuming tick data. If results are wildly different, than likely curve fit.

Sent from my LG Optimus G Pro

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)

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  #14 (permalink)
Trading for Fun
portland, OR
 
Futures Experience: Advanced
Platform: NinjaTrader, TradeStation
Broker/Data: Optimus/Rithmic
Favorite Futures: CL
 
Posts: 50 since Nov 2009
Thanks: 5 given, 18 received

I had gotten so sucked into CL that I had forgotten to test out all the other energy futures !
Thanks for the reminder, mike !

I have a lot of work ahead of me ...


Here is NG, again, with no change except the profit/loss targets relative to tick value :

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  #15 (permalink)
Elite Member
Texas, USA
 
Futures Experience: Intermediate
Platform: X_TRADER Pro, Custom
Broker/Data: NxCore
Favorite Futures: Futures, Spreads
 
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Suggestion

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.

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  #16 (permalink)
Trading for Fun
portland, OR
 
Futures Experience: Advanced
Platform: NinjaTrader, TradeStation
Broker/Data: Optimus/Rithmic
Favorite Futures: CL
 
Posts: 50 since Nov 2009
Thanks: 5 given, 18 received


Hulk View Post
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 !

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  #17 (permalink)
 Vendor: highfrequencyfootprint.com 
Minneapolis Minnesota
 
Futures Experience: Advanced
Platform: NinjaTrader,Sierra Chart
Broker/Data: IQFeed
Favorite Futures: CL
 
Posts: 13 since Apr 2014
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pepelucho View Post
I had gotten so sucked into CL that I had forgotten to test out all the other energy futures !
Thanks for the reminder, mike !

I have a lot of work ahead of me ...


Here is NG, again, with no change except the profit/loss targets relative to tick value :

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Hi there,

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 08:59 AM.
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  #18 (permalink)
Trading Apprentice
Falls Church, VA
 
Futures Experience: Advanced
Platform: Private
Broker/Data: Private
Favorite Futures: Multi-instrument trader
 
Posts: 25 since Oct 2013
Thanks: 6 given, 21 received

(Sorry if I missed a post earlier regarding this question) ...

Would you please share the basic rule parameters of your system?

For instance:
- 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

Thanks,
Jim

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  #19 (permalink)
Trading for Fun
portland, OR
 
Futures Experience: Advanced
Platform: NinjaTrader, TradeStation
Broker/Data: Optimus/Rithmic
Favorite Futures: CL
 
Posts: 50 since Nov 2009
Thanks: 5 given, 18 received


TraderJim618 View Post
(Sorry if I missed a post earlier regarding this question) ...

Would you please share the basic rule parameters of your system?

Jim

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.

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  #20 (permalink)
Membership Temporarily Revoked
Calgary Alberta/Canada
 
Futures Experience: Advanced
Platform: TDWaterhouse
Favorite Futures: stocks (long term)
 
Posts: 934 since Feb 2014
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pepelucho View Post
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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