I hope your backtesting is accurate. EVERY time I got results that blew my mind I found a mistake. Just a note that has nothing to do with your questions...i use backtesting to validate my rules, to make sure I'm not overlooking something. I don't expect results until I forward test and the forward testing results match the backtesting results. Believe it or not, the 2 can be really really close. Not exact but really close.
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Don't listen to the pessimistic naysayers of this thread . They are just like ... wayyy tooo hung up on facts.
If you have a system that is guaranteed to make $1 per contract per year after slippage and fees, Trade it... just crank up the number of contracts to like 200,000 to begin with and then ratchet it up as you build up your account. The Sky is the limit!
Yea, and I bet you tell children there is no Santa Clause/Kris Kringle (whatever), either...
@MetalTrade.. as much as I hate to admit it... I agree with you wholeheartedly...
Disclaimer: This post does not represent the view point the owners, managers, or moderators of this web site and is not intended as a slam against any moderator, board member, any banned former members whose name we dare not say, any other living person, any recently living person or any person or persons whose status we are not sure of. This post is meant purely for entertainment and should not be confused with a real thought.
I'm just a simple man trading a simple plan.
My daddy always said, "Every day above ground is a good day!"
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HHmmm .. not enough information for me ... this is what I am trying to decide on: is it goodenuf?
the strategy is coded LONG ONLY, parameters unchanged after 2.25.2010. Including test period in early 2010 the net profit (gains - loss) is 53364 US on $EURUSD with 8667 trades (2889 entries with 2 PTs and 1 runner that also has a profit target) on euro10000 minilots ... on this backtesting commision = $6760 and slippage == ???? [how do you calculate that?] drawdown max = $183 as per NT
Sharpe 2.45 ProfitFactor 2.52 Ratio W:L 1.00 72% winners and $6.16/trade average
No losing weeks in 2011 .. only 1 losing week in 2010 (again, in backtesting using replay data from NT servers)
The SHORT strategy is actually a bit better for 2010 but I am not posting that at the moment to keep it simple. That strategy is basically same structure but differing parameters and different time span for initial testing. Backtesting was on replay data from the NT servers, and the screen shots are from Dukascopy on todays trades
Right screen is SIMtrade on Dukascopy and the left screen is the backtesting on that data ... obviously I have a coding problem ... entry is above the close of the trigger bar which is normally (almost 100% of the time) a bearish bar!
Thanks for the feedback. I want to be sure I understand what you mean.
So, to help me out, specifically: I should retest & re-optimize with other bar types to see if the trade entry is handled differently on SIM? IF to retest, I use a MTF strategy, and the other time frames are 4 range and 3 BetterRenko ... leave them alone or change them to range or seconds as well ... I note you didnt mention tick bars ??!!
I had done some of the original backtesting on range bars and then applied the same parameters to the BetterRenko which gave better results. I have also seen the famous 'stairstep' phantom range bars in NT (when there is no actual trades at those values): very annoying to indicators.
mmm ... I was thinking that the EnterLong() I have in the code might be lacking in that it looks like I am getting a market fill and I should use something like EnterLongLimit() to set the specific price (ie close of the trigger bar or better) for entry BUT in backtesting it (EnterLong() ) always takes the open value of the next bar. I did run across your comments in this thread (which I will be aware of as I rework the code!): https://futures.io/ninjatrader-programming/4768-tip-backtesting-renko-charts.html
Last edited by Trader.Jon; February 8th, 2011 at 09:29 PM.
Well I see that this thread initiated some discussion, but unfortunately not the kind that I intended.
You don't know the point of this thread and what I mean with my remark "blow your mind".
I don't want to brag about some strategy that I wrote. The strategy results that I intended to show are from inaccurate backtesting and I know that, but it is not important for the point I was trying to make.
They are inaccurate because they were done on FOREX without considering the spread. Again I know that and again it should not matter for my point.
Please don't try to teach me about backtesting, forward testing and live trading with real account. Believe me I know the differences.
I encourage real mind storming and I would be grateful to anyone who can teach me something new on trading.
In 1.5 years on this and 3 years in other forums no one did it yet, but I'm optimistic.
All my trading philosophy I made myself.
Well if no one wants to answer my question then you can continue babbling I'm done.
p.s. The real discution should have started after I make my point.
Hello, sorry we didn't supply you with the answers you were looking for.
At least half of what I know about trading comes from Bigmike. If you know more than what's to be found on bigmike, well kudos to you.
Oh it's forex ? You forgot 1 thing : the stop hunting all those forex brokers do. I traded forex. I always had a really nasty feeling they hunted my stops. Not kidding you. I moved to futures and I don't have this feeling anymore ?
Wrong or right it is better to say something than nothing, I think you should consider everybody's point of view and reply with yours. With regards to some remarks this forum is multiethnical and with more or less touchy people, sometimes it is difficult to understand the meaning behind words. I am not a moderator but I was interested, as anobody who posted in your thread, therefore I would like you explain your points and open issues.