if you're using market orders then you'd have 12.50 in slippage per side for a total of $25 per RT which is not being acounted for. if you can please enter than amount in your strat properties and report the 1yr performance chart to get a more acurate depiction of what it does
this is fine to do, but the current 1yr performance is saying that the entire unerlying premiss is not robust at all which is why you have nearly a 100% drawdown in the past year without even taking into consideration slippage
what are you doing for money management in general? what risk parameters are defined before you even turn this on?
We have a hard catostrophic stop at a dollar value that we can stomach. Yesterday we stopped out on that value and it was painful, however today appears better.
Please see the purpose of our posting above: We're seeking collaboration to improve our strategies. If you have any suggestions; please post them here and perhaps we can make these better.
Regarding MM: I've personally tried many stopping strategies: hard stops; dynamic stops; bar count stops; you name it. Stops just seem to degrade the performance as do profit targets .... if you see the charts sometimes TRIX has a drawdown of 6 or 7 points (entered to soon), but price typically travels backup above its position for a profit or it gets out. Slow trending conditions can kill the model, if it's on the wrong side of the trade - no idea why or how to prevent it, yet.
It appears that maximizing our entry position and minimizing our loss is the best treatment. We're evaluating this now.
We selected Chaos Hunter because we can work with the formulas from within Easy Langauge and Ninja Trader. It has its limitations but Tech Svs is good; the price of the product is fair; and it generates formulas what we can use in conjunction with trading strategies.
if that gets hit every day for the week how much $$ do you lose?
understoodd whats why im reccomending you incluse the full cost of the xaction (comission and slippage) so that you are able to build a strategy around more realistic conditions.
as far as money management, i can say from doing this on the inst side, money management IS the game regardless if youre using a NN strat, defined rules etc. the system doesnt matter if the money management is ineffective. I would also add that stops or targets degrading performace is another example of the underlying premiss not being robust enough for real use.
something to think about when trying to imporove the performance
if its 5k and 2.5 per week, for the month the amount you're willing to lose regardless if you turn the system off or not is $20,000 and $10,000 per month. initial margin on a mini is what 5600? This in turn means you are willing to take a 357% and 178% loss on margin per month per contract. Definitely something i would NOT run with my money... nor would i take that risk playing poker
if i were a client and you were running money for me, i would NOT want turning the system on off mid month to be at your descression. that should be pre defined within system rules to eliminate human error.
if you are using markets orders, you have ZERO way of forecasting how many times they will get filled at the last price vs above or below for short or long. NONE. If you use lmt orders you can then get away from including slippage. Its also not a $25 penalty per trade, its 12.50 per trade and 25 per round turn. And it does NOT penalize the performance. it make the performance more realistic and conservative. you STILL have the possibity of having more or less slippage even when you include it in your testing. What if you get stopped out during an FOMC statement? You think there will not be any slippage in there?
as far as compiling the code, i cant: line 136: _HWT = (HaarWT(jtHMA(Close,3),4,2,FALSE)/10); jtHMA isnt defined anywhere as far as i can tell
Here is the jtHMA I have for MultiCharts. Name: jtJMA, Function:
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The following 2 users say Thank You to Big Mike for this post:
//////Thanks for your valuable input Tortexal - everything that you said has merit.
//////Pertaining to your calculation of loss: we will never see the losses outlined by you because we follow our strategies performance. Can we recommend some statistical methods to keep you from falling into the dip you noted on the 1 year chart. I guess that if you were trading the first part of the curve you would have been quite happy; and the last part of the curve on the (1) year chart. Can you think of any statistical methods that might keep you from entering the extended drawdown phase? How about an EMA of the equity curve +/- x std; How about evaluating the statistical basis(as designed) vs actual performance.
////If I were a client; I'd expect someone to turn the model off as soon as it proved that it was failing. The only way to do that is by following its performance statistics. When we used Tradecision; we used model performance within our strategies. When the model started running rough, it was disallowed to trade. We'll likely work-up some metrics going forward and include them as conditions in the strategy.
/////I did say trade whereas I meant $25/RT. Feel free to change your code to limit orders.
@BM - thanks friend for posting the code for jtHMA.