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Results of Backtesting>> Profitable system!! What other tests should I perform?


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Results of Backtesting>> Profitable system!! What other tests should I perform?

  #1 (permalink)
 AshleyQueenTrader 
New Jersey
 
Posts: 36 since Jan 2016

I recently completed a manual [AUTOLINK]backtest[/AUTOLINK] of the M6E contract, where N= 145, Win Ratio = 68% , Ending equity balance is $1675.26.

Period tested: Nov 5 2015 - Feb 3 2016 (and plan on extending to the current date)


It does seem too good to be true....are there any tests I could conduct to verify how accurate the metrics are?

I should not have to say this, but, please do not ask me for the Rules of Engagement.

Thank You,

AQT

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  #3 (permalink)
 kevinkdog   is a Vendor
 
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AshleyQueenTrader View Post
I recently completed a manual [AUTOLINK]backtest[/AUTOLINK] of the M6E contract, where N= 145, Win Ratio = 68% , Ending equity balance is $1675.26.

Period tested: Nov 5 2015 - Feb 3 2016 (and plan on extending to the current date)


It does seem too good to be true....are there any tests I could conduct to verify how accurate the metrics are?

I should not have to say this, but, please do not ask me for the Rules of Engagement.

Thank You,

AQT


Did you include slippage and commission?

Can you run a longer backtest, maybe 2-3 years at least, preferably 5-10 years? You might need to test on 6E instead.

How many times, if any, did you run this test with different sets of rules, or modified rules, etc.?

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  #4 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,647 since Jul 2012
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I would also suggest that you find someone you trust to verify your results. Manual backtests are really easy to "cheat" on, even when you do not intend to.

Whenever I used to do it, I used to filter a few key trades here or there ("oh, I would not have taken that trade right before XXX news announcement") or price targets that got within a tick or 2 would count as wins, etc.

Personally, I'd NEVER trust manual backtest results that I obtained from looking at a chart to determine my trades...

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  #5 (permalink)
 AshleyQueenTrader 
New Jersey
 
Posts: 36 since Jan 2016


kevinkdog View Post

Whenever I used to do it, I used to filter a few key trades here or there ("oh, I would not have taken that trade right before XXX news announcement") or price targets that got within a tick or 2 would count as wins, etc.

First I have to thank you for taking the time to reply back to my thread Kevin.


I understand what you mean, but I took every trade without even knowing what the respective news announcement was at the time, and I only considered price hitting its target if price broke the target by one tick..


I personally, do not know anyone who I trust who is competent enough to check it, only randoms off the internet.


@kevinkdog

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  #6 (permalink)
 kevinkdog   is a Vendor
 
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AshleyQueenTrader View Post
First I have to thank you for taking the time to reply back to my thread Kevin.


I understand what you mean, but I took every trade without even knowing what the respective news announcement was at the time, and I only considered price hitting its target if price broke the target by one tick..


I personally, do not know anyone who I trust who is competent enough to check it, only randoms off the internet.


@kevinkdog

In that case, I suggest in a few weeks (after you have forgotten the specific trades) you go back, and run the manual backtest again, without looking at previous results. If they turn out exactly the same, you did well!

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  #7 (permalink)
 AshleyQueenTrader 
New Jersey
 
Posts: 36 since Jan 2016


kevinkdog View Post
In that case, I suggest in a few weeks (after you have forgotten the specific trades) you go back, and run the manual backtest again, without looking at previous results. If they turn out exactly the same, you did well!

I cant forget the trades, I recorded the entry, exit and profit loss for every trade in excel..

@kevinkdog

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  #8 (permalink)
 kevinkdog   is a Vendor
 
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AshleyQueenTrader View Post
I cant forget the trades, I recorded the entry, exit and profit loss for every trade in excel..

@kevinkdog

But will you remember each trade a month from now? If not, you could rerun the manual backtest.

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  #9 (permalink)
 AshleyQueenTrader 
New Jersey
 
Posts: 36 since Jan 2016


kevinkdog View Post
Did you include slippage and commission?

Can you run a longer backtest, maybe 2-3 years at least, preferably 5-10 years? You might need to test on 6E instead.

How many times, if any, did you run this test with different sets of rules, or modified rules, etc.?

I never included slippage, but commissions yes I did....

I performed three, what I call, "retests" which are retesting the entire sample with a different rule (1. target calculation 2. Stop calculation 3. Different stop calculation)

Actually yes I did backtest on the 6E, but I intend to trade it on the m6e, due to it being a lot more affordable..

Thanks!

@kevinkdog

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  #10 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,647 since Jul 2012
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AshleyQueenTrader View Post
I never included slippage, but commissions yes I did....

I performed three, what I call, "retests" which are retesting the entire sample with a different rule (1. target calculation 2. Stop calculation 3. Different stop calculation)

Actually yes I did backtest on the 6E, but I intend to trade it on the m6e, due to it being a lot more affordable..

Thanks!

@kevinkdog

Unless you are using limit orders for entry and exit, you need to include some slippage.

Since you ran multiple tests on the same data, your results are somewhat optimized. So, that means I would not expect future results to be as good.

I recommend a longer backtest, with the final version of your strategy.

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