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please comment on my trading system
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Created: by pepelucho Attachments:7

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please comment on my trading system

  #21 (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


Underexposed View Post
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.

I've also posted all the statistics generated by the Tradestation report. There's a lot of information there. What other information do you feel is necessary for intelligent comment ?

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  #22 (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

Thanks for more clarity. I understand your reluctance to give away the fundamentals of your system.

A friend of mine, Joe Rios, founder of Rios Quantitative, developed an automated trading robot he named Einstein. It's quite effective when utilized optimally. Einstein is activated by the trader making a discretionary decision, and it's premise is based on bull and bear trading zones. Once activated, it takes it from there in determining the entry and exit based on your pre-set parameters (time frame to engage a trade/profit objective/stop/quantity). One version (presently for Trade Station only) even allows a trailing stop capability.

Some general things Joe found in his development of Einstein:
1) Successful equity curves varied for different instruments depending on the time frames traded for each specific instrument (i.e. Generally you would not to trade Crude or Nat Gas during the Tokyo session, after 2:30 PM EST)
2) The best profit target odds put the profit target objective at $190-$200/contract, with a $300-$400 stop depending on the instrument traded.
3) A risk-on environment strongly favored an instrument like Crude long entries since it is a risk commodity, and conversely with a risk-off environment (BTW, NG is what I consider an independent commodity, so it is not influenced by risk on/risk-off scenarios).

Anyway good luck.
Jim

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  #23 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
sam028's Avatar
 
Posts: 3,366 since Jun 2009
Thanks: 3,573 given, 3,982 received


For all over-fitting questions, I'll recommend this excellent paper: Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance.
A must read for all automated traders.

Success requires no deodorant! (Sun Tzu)
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  #24 (permalink)
Trading Apprentice
seattle washington usa
 
Futures Experience: Advanced
Platform: tos
Favorite Futures: spx
 
Posts: 13 since Apr 2014
Thanks: 7 given, 1 received

Nice curve, what size bars is it built on?

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  #25 (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


sam028 View Post
For all over-fitting questions, I'll recommend this excellent paper: Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance.
A must read for all automated traders.

Unfortunately this paper pretty much concludes there's no way to come up with a programmatic trading system, at least not using any historical data. And using future data is impossible. So lets all just give up ?

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  #26 (permalink)
Trading Apprentice
Singapore
 
Futures Experience: Advanced
Platform: TradeStation, CQG IC
Favorite Futures: Futures
 
Posts: 2 since Jun 2014
Thanks: 0 given, 0 received

Why don't you test your system start from 2007 instead 2009? If you can get a similar performance, you may have something reliable.

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  #27 (permalink)
Trading Apprentice
Singapore
 
Futures Experience: Advanced
Platform: TradeStation, CQG IC
Favorite Futures: Futures
 
Posts: 2 since Jun 2014
Thanks: 0 given, 0 received

Also, I notice the time between profit peak is 279 days, something not tally?

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  #28 (permalink)
Elite Member
Colorado
 
Futures Experience: Advanced
Platform: MultiCharts
Broker/Data: IB & Iqfeed
Favorite Futures: ES , CL
 
sptrader's Avatar
 
Posts: 533 since Apr 2010
Thanks: 1,080 given, 668 received

When I think that I've found the automated "Holy Grail" , I simply run it real-time, on my simulated IB account for a few months..(using IQfeed for data), That will show very quickly, if it really works or not...

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  #29 (permalink)
Trading Apprentice
singapore
 
Futures Experience: None
Platform: multicharts
Favorite Futures: nq
 
Posts: 1 since Jul 2014
Thanks: 0 given, 0 received

How's the system doing

I think its been several weeks since OPs posted that delicious equity curve.

Was wondering how have the system fared since then ?

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