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Bot Trading - MCL Futures


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Bot Trading - MCL Futures

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  #11 (permalink)
 kevinkdog   is a Vendor
 
 
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syswizard View Post
No optimization done. Testing done on a 600 tick chart.

How many years did you test for? Can you show equity curve?



syswizard View Post
Which strategy?

This equity curve. Is this the strategy we are talking about? What made you look at this and say "this has to be improved?"








syswizard View Post
I am using intraday bars, but I would like to know the reason that it will never work on daily bars. Sheesh, I learn something every day.

For Daily bars, or intraday for the last bar of the day, the "close position" signal gets sent after market is actually closed, thus Exchange rejects it.

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  #12 (permalink)
 syswizard 
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kevinkdog View Post
How many years did you test for? Can you show equity curve?

Just 2022 YTD. Working on the equity curve

kevinkdog View Post
This equity curve. Is this the strategy we are talking about? What made you look at this and say "this has to be improved?"

Well, my experience with fixed profit taking targets is that you leave a lot on the table.
I was just curious as to whether this could be improved upon with a trailing stop.

kevinkdog View Post
For Daily bars, or intraday for the last bar of the day, the "close position" signal gets sent after market is actually closed, thus Exchange rejects it.

Well for intraday bars, this is simple: set the close position order to be 1 minute before the close. The killer is: holiday's....gotta know when the market closes at 1 pm.
What's your fix for this problem ?

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  #13 (permalink)
 kevinkdog   is a Vendor
 
 
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syswizard View Post
Just 2022 YTD. Working on the equity curve

Gotcha. Problem will be you don't have years of tick data to backtest.



syswizard View Post
Well, my experience with fixed profit taking targets is that you leave a lot on the table.
I was just curious as to whether this could be improved upon with a trailing stop.

I see that too, and as long as you did not optimize the settings, you do avoid some of the danger in switching exits. There is risk doing this though.


syswizard View Post
Well for intraday bars, this is simple: set the close position order to be 1 minute before the close. The killer is: holiday's....gotta know when the market closes at 1 pm.
What's your fix for this problem ?

If you are using tick charts, you could run into issues if a bar never closes due to lack of ticks. I assume you are doing a custom session too. For Tradestation, there is a nice holiday function done by Suri Dudella that will help with this.

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  #14 (permalink)
 kevinkdog   is a Vendor
 
 
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I was going to try to an equity curve for you, but I do not have the functions in your trailing stop code:

_szHIHILOLO

_szFormatDate

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  #15 (permalink)
 syswizard 
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Sorry about that Kevin.....see attached.

Note: I found that a retracement of 20% works pretty well.
To do: provide an option to make retracement a function of volatility. Higher volatility = higher percentage.

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  #16 (permalink)
 kevinkdog   is a Vendor
 
 
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syswizard View Post
Sorry about that Kevin.....see attached.

Note: I found that a retracement of 20% works pretty well.
To do: provide an option to make retracement a function of volatility. Higher volatility = higher percentage.

I'm confused, I thought you said you did not optimize anything with your trailing stop, and that your results were "much better." Now it sounds like you tested a few variations, and 20% worked pretty well.

Can you show the results from your original test?

I'd still like to see that a trailing stop beats the simple stop and profit target over the same time period from 2010 to present (edit: although that is not an apples to apples comparison, considering out of sample, etc)

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  #17 (permalink)
 syswizard 
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kevinkdog View Post
Can you show the results from your original test?

too many tests....I've lost the results.
Need to do some disciplined tests here...with just a few variations on parameters.


kevinkdog View Post
I'd still like to see that a trailing stop beats the simple stop and profit target over the same time period from 2010 to present (edit: although that is not an apples to apples comparison, considering out of sample, etc)

This is the absolute test for sure. Should we test on daily crude oil or intraday bars of ES ?

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  #18 (permalink)
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syswizard View Post
too many tests....I've lost the results.
Need to do some disciplined tests here...with just a few variations on parameters.


This is the absolute test for sure. Should we test on daily crude oil or intraday bars of ES ?


Bummer you lost the results, because you seemed pretty upbeat and confident that you did better than what I showed.


Oh well


I would not test it on Daily Crude, because if you do better than what I show, that's just optimizing. I'm sure you could do better, but you'd be comparing my out-of-sample results the past few years to your in-sample results.

You can try it on other markets and bar sizes, maybe it will work, maybe not.

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  #19 (permalink)
 syswizard 
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kevinkdog View Post
because if you do better than what I show, that's just optimizing.

That's not true Kevin, let's just pick a number....say 50%. That's HWB (Half Way Back).
True, I could do some optimizing, but I am not forced to do so.

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  #20 (permalink)
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syswizard View Post
That's not true Kevin, let's just pick a number....say 50%. That's HWB (Half Way Back).
True, I could do some optimizing, but I am not forced to do so.


Here is what I mean:

Version 1: the strategy and results I show

Version 2: the trailing stop strategy you create, whether or not you do any parameter optimizing


If you compare Versions 1 and 2, and pick either one because it looks better (however you define it), you have optimized.

Do you see what I am getting at?

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