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Bot Trading - MCL Futures


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Bot Trading - MCL Futures

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  #51 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,465 since Jul 2012
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syswizard View Post
Whenever I create a parameter, I am always thinking:
Should this parameter VARY based on volatility or some other factor/measure ?
In other words make the parameter dynamic instead of fixed.

BTW: that 65 parameter....why not 60, why not 70 ?

Nothing wrong with dynamic values. Sometimes better, sometimes not, but worth testing. Normally, I do walkforward testing, so the parameters can become dynamic from that process.

For the 65 choice: I was thinking 3 months momentum, to identify bigger trends.

21 trading days per month x 3 = 63 which I rounded to 65.

Once I test with my out of sample / walkforward approach, I never go back and try other values (that usually leads to curvefitting and overoptimization). I'm sure there are better combinations of all parameters out there that would create a better in-sample backtest, but that is not the point of backtesting.




Earlier you posted "65 day lookback ? wow."

I'm curious, why "wow?"

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  #52 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
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Posts: 149 since Oct 2017
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kevinkdog View Post

Hope you can join me and everyone else in Cleveland for the next event!


Please and thank you! I will be there!

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  #53 (permalink)
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
 
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Posts: 344 since Jan 2019
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kevinkdog View Post
Earlier you posted "65 day lookback ? wow."
I'm curious, why "wow?"

To me that was a long way back. But then again, it probably is appropriate for a longer term trading system.
It probably correlates to the ATIT (Average Time In Trade).

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  #54 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
FastNCurious's Avatar
 
Posts: 149 since Oct 2017
Thanks: 95 given, 177 received


syswizard View Post
Whenever I create a parameter, I am always thinking:
Should this parameter VARY based on volatility or some other factor/measure ?
In other words make the parameter dynamic instead of fixed.

BTW: that 65 parameter....why not 60, why not 70 ?

IMO the less optimization the better because you have less chance of overfitting the data. However I could see that intraday systems might require a bit more optimizations than a longer term holding strategy like the one @kevinkdog gave away here. But in regards to kevins system a 60 or 70 value most likely wont significantly change the results. But since you hade the idea maybe you should test it and optimize to your hearts delight.


Here is another system worth checking out:

about as stupid simple as it gets and extremely profitable as you can see but not without large drawdowns.



 
Code
//apply to 369 min bars of @CL
//Walkforward from 1-1-2004 to 8-6-2022
// in period 756
// out period 252

Inputs:
    Len(100);         //optimize from 20-200x20               
 
    
//SIMPLE MOMENTUM   
    if close>close[Len] then buy next bar at market; 
    if close<close[Len] then sellshort next bar at market;

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  #55 (permalink)
 blackgrey45 
Marco Island, FL
 
Experience: Beginner
Platform: Transact
Broker: Infinity
Trading: ES
 
Posts: 230 since Jul 2022
Thanks: 217 given, 109 received

What does optimization mean?

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  #56 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,465 since Jul 2012
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blackgrey45 View Post
What does optimization mean?

Let's say you are looking at a breakout system, buying when X day high is hit, selling short when X day low is hit.

X is a variable length you choose, and you look at a 5 day, 10 day, 15 day, etc. length. One will produce the best result for Net Profit. That is optimizing.

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  #57 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,465 since Jul 2012
Thanks: 1,827 given, 6,985 received


syswizard View Post
To me that was a long way back. But then again, it probably is appropriate for a longer term trading system.
It probably correlates to the ATIT (Average Time In Trade).

Average time in trade in 8 days. 12 days for winners, 5 days for losers.

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  #58 (permalink)
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
 
syswizard's Avatar
 
Posts: 344 since Jan 2019
Thanks: 20 given, 138 received


FastNCurious View Post
Here is another system worth checking out:
about as stupid simple as it gets and extremely profitable as you can see but not without large drawdowns.


 
Code
//apply to 369 min bars of @CL
//Walkforward from 1-1-2004 to 8-6-2022
// in period 756
// out period 252

Inputs:
    Len(100);         //optimize from 20-200x20               
 
    
//SIMPLE MOMENTUM   
    if close>close[Len] then buy next bar at market; 
    if close<close[Len] then sellshort next bar at market;

Very impressive....but still:
trades #210 to #400 resulted in flat performance....no profits.
However, no big losses either.

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  #59 (permalink)
 FastNCurious 
saint louis MO
 
Experience: Intermediate
Platform: TradeStation
Trading: NQ, ES, YM, CL, GC
 
FastNCurious's Avatar
 
Posts: 149 since Oct 2017
Thanks: 95 given, 177 received

Some systems go dormant for long periods just treading water but they burst upward when favorable conditions arise.

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  #60 (permalink)
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
 
syswizard's Avatar
 
Posts: 344 since Jan 2019
Thanks: 20 given, 138 received


Anyone keeping track of monthly trading volumes for the E-Minis ?
I know the CME puts something together, but their format is not the best.

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