Results of Backtesting>> Profitable system!! What other tests should I perform? - Currency Futures | futures.io
futures.io futures trading


Results of Backtesting>> Profitable system!! What other tests should I perform?
Started: by AshleyQueenTrader Views / Replies:855 / 15
Last Reply: Attachments:0

Welcome to futures.io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Reply
 
Thread Tools Search this Thread
 

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

  #1 (permalink)
Membership Temporarily Revoked
New Jersey
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: ES,CL,
 
Posts: 36 since Jan 2016
Thanks: 10 given, 0 received

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

I recently completed a manual backtest 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


Last edited by AshleyQueenTrader; July 12th, 2016 at 04:26 PM.
Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,212 since Jul 2012
Thanks: 1,010 given, 4,017 received



AshleyQueenTrader View Post
I recently completed a manual backtest 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.?

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
 
  #4 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,212 since Jul 2012
Thanks: 1,010 given, 4,017 received

Also

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...

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #5 (permalink)
Membership Temporarily Revoked
New Jersey
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: ES,CL,
 
Posts: 36 since Jan 2016
Thanks: 10 given, 0 received

Futures Edge on FIO

Which products do you trade?

 

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

Reply With Quote
 
  #6 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,212 since Jul 2012
Thanks: 1,010 given, 4,017 received


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!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
 
  #7 (permalink)
Membership Temporarily Revoked
New Jersey
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: ES,CL,
 
Posts: 36 since Jan 2016
Thanks: 10 given, 0 received


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

Reply With Quote
 
  #8 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,212 since Jul 2012
Thanks: 1,010 given, 4,017 received


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.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
 
  #9 (permalink)
Membership Temporarily Revoked
New Jersey
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: ES,CL,
 
Posts: 36 since Jan 2016
Thanks: 10 given, 0 received


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

Reply With Quote
 
  #10 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,212 since Jul 2012
Thanks: 1,010 given, 4,017 received



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.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote

Reply



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

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Anthony Drager: Pulling the trigger with confidence

Elite only
 

Leo Murphy: The Art and Science of Technical Analysis

Elite only
 

FuturesTrader71: Ask Me Anything

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Every single business process in a trading firm/business>>> budfox The Elite Circle 6 July 11th, 2015 09:23 PM
CLICK HERE if you are landlord>>> Creditor trying to garnish my precious rent budfox Off-Topic 16 May 12th, 2014 12:25 PM
ACD System>>>A & C Values for the ES budfox Index Futures Trading 3 October 28th, 2013 05:20 PM
Difference in simulator trading the ES and live trading with a small account>>> budfox Traders Hideout 8 July 6th, 2013 11:59 PM
Testing the BackTesting >> SIM Trader.Jon NinjaTrader Programming 5 March 25th, 2011 11:38 AM


All times are GMT -4. The time now is 04:52 AM.

no new posts
Page generated 2017-01-23 in 0.28 seconds with 20 queries on phoenix via your IP 54.147.241.171