How many days to back test a 1 minute algorithm? - futures io
futures io



How many days to back test a 1 minute algorithm?


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one Bionan with 13 posts (7 thanks)
    2. looks_two kevinkdog with 4 posts (11 thanks)
    3. looks_3 LastDino with 3 posts (4 thanks)
    4. looks_4 mattz with 2 posts (2 thanks)
      Best Posters
    1. looks_one kevinkdog with 2.8 thanks per post
    2. looks_two bobwest with 2 thanks per post
    3. looks_3 LastDino with 1.3 thanks per post
    4. looks_4 Bionan with 0.5 thanks per post
    1. trending_up 3,476 views
    2. thumb_up 33 thanks given
    3. group 13 followers
    1. forum 31 posts
    2. attach_file 0 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
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.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

How many days to back test a 1 minute algorithm?

(login for full post details)
  #1 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received

For those of you who use a 1 minute ES day trading algorithm for scalping (8 ticks per trade in my case), how many days of data would you use to back test it? For such a short time frame, I'm not sure it is necessary, or even pertinent, to back test beyond a few weeks. Your thoughts?

Started this thread Reply With Quote

Can you help answer these questions
from other members on futures io?
Indicator from a HTF on a LTF chart
NinjaTrader
Power Meter for Ninjatrader (like Jigsaw or similar)
NinjaTrader
EasyLanguage: fetch option price using Stock ticker
EasyLanguage Programming
NT8 connectivity by FXI API to unsupported brokers?
NinjaTrader
1-min Intrabar indicator
MultiCharts
 
Best Threads (Most Thanked)
in the last 7 days on futures io
How much do you know about Bitcoin?
96 thanks
FIO Journal Challenge - April 2021 w/Jigsaw Trading
38 thanks
The Crude Dude Oil Trading System
36 thanks
I finally blew up an account
35 thanks
EdgeProX from Edge Clear
19 thanks
 
(login for full post details)
  #3 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 940 since Jan 2019
Thanks: 2,853 given, 2,801 received


I like minimum 1 year, I've little itch to check larger sample size. Market change their behavior more than we think and its always better to check your strategy no matter the time frame on largest possible data range.

It really shouldn't be that much of trouble to stretch for at least that much.

Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to LastDino for this post:
 
(login for full post details)
  #4 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


LastDino View Post
I like minimum 1 year, I've little itch to check larger sample size. Market change their behavior more than we think and its always better to check your strategy no matter the time frame on largest possible data range.

It really shouldn't be that much of trouble to stretch for at least that much.

Thanks for your reply. I have wondered about about data integrity when using futures that many days ago, especially with 1-minute charts, since trading on the ES gets pretty thin when you go past the last roll over date. I use NinjaTrader, and I have it set to merge back data, but I am not yet confident that it provides accurate data much past the last roll dates for a 1-minute chart.

Plus I am testing a strategy for choppy markets, so market conditions are important. To truly back test this strategy, I need to filter out trend days.

Started this thread Reply With Quote
 
(login for full post details)
  #5 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 940 since Jan 2019
Thanks: 2,853 given, 2,801 received


Bionan View Post
Thanks for your reply. I have wondered about about data integrity when using futures that many days ago, especially with 1-minute charts, since trading on the ES gets pretty thin when you go past the last roll over date. I use NinjaTrader, and I have it set to merge back data, but I am not yet confident that it provides accurate data much past the last roll dates for a 1-minute chart.

Plus I am testing a strategy for choppy markets, so market conditions are important. To truly back test this strategy, I need to filter out trend days.

I don't use Ninja so I can't really comment, but here is little suggestion for future use, it is better to buy past tick data for what you trade or plan to trade so you can do back testing at your end. Lot of people do that, especially if they are coders. Plus, you get advantage of using what you know how to code or are comfortable with.

Generally, there aren't any great issues in terms of data integrity on popular platforms, because there are quite a few professional people doing back tests on very large sets of data on as small as tick level, let alone one minute. So you should be fine. If you still have doubts about integrity, you can adjust for some errors in you final results. I'm sure you wont need it though.

Visit my futures io Trade Journal Reply With Quote
The following user says Thank You to LastDino for this post:
 
(login for full post details)
  #6 (permalink)
 bobb 
Vienna Austria
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Trading: Stocks, Forex
 
bobb's Avatar
 
Posts: 4 since Apr 2012
Thanks: 1 given, 1 received

Try to choose so many days (50 or more) that you have at minimum 100 Trades for analyze.

Reply With Quote
 
(login for full post details)
  #7 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


bobb View Post
Try to choose so many days (50 or more) that you have at minimum 100 Trades for analyze.

Thanks for the input, Bobb. I have read up to 1,000 trades. But since this is a 1-minute intra-day strategy intended for sideways markets, I am thinking that to apply it longer-term in a trending market would under-estimate the effectiveness of the strategy.

Started this thread Reply With Quote
 
(login for full post details)
  #8 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received

Thanks for the replies. Let me give a little more information regarding the background of my question.

This is an auto strategy which would have produced 202 trades in November, and produced $4987.50 in profits on 1 contract with a 1-contract scale in at -16 ticks. The max drawdown was -$1,312.50. December to date is $3850 on 130 trades with a max drawdown of -$1600. To me, these are good results.

But it is a 1-minute 8-tick scalping strategy for sideways markets, so it should be applied to sideways markets. November and December were sufficiently sideways to product these results, but a 6-month backtest only produces $8862.50 with a Max drawdown of $8187.50. Obviously not desirable, but there were many big, trending days during this time period for which the strategy was not designed.

So the premise of my question is this: if I am back testing a strategy which should only be profitable in sideways markets, shouldn't I back test it in sideways markets?

Started this thread Reply With Quote
 
(login for full post details)
  #9 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,003 since Jul 2012
Thanks: 1,598 given, 5,970 received


Bionan View Post
Thanks for the replies. Let me give a little more information regarding the background of my question.

This is an auto strategy which would have produced 202 trades in November, and produced $4987.50 in profits on 1 contract with a 1-contract scale in at -16 ticks. The max drawdown was -$1,312.50. December to date is $3850 on 130 trades with a max drawdown of -$1600. To me, these are good results.

But it is a 1-minute 8-tick scalping strategy for sideways markets, so it should be applied to sideways markets. November and December were sufficiently sideways to product these results, but a 6-month backtest only produces $8862.50 with a Max drawdown of $8187.50. Obviously not desirable, but there were many big, trending days during this time period for which the strategy was not designed.

So the premise of my question is this: if I am back testing a strategy which should only be profitable in sideways markets, shouldn't I back test it in sideways markets?

How does your strategy know WHEN it is a sideways market? Saying you should not run it last Sept and Oct because those months were trending is one thing, but knowing that in real time is another.

If your strategy can't tell when it is sideways, but can only exploit sideways, your 2 month backtest will not really help. It just confirms what you know - in sideways markets, strategy works great.

Hope this makes sense. Just my 1 cent.

Follow me on Twitter Reply With Quote
The following 5 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #10 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart, NinjaTrader
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,492 since Jan 2013
Thanks: 49,136 given, 21,785 received



Bionan View Post
Thanks for the replies. Let me give a little more information regarding the background of my question.

This is an auto strategy which would have produced 202 trades in November, and produced $4987.50 in profits on 1 contract with a 1-contract scale in at -16 ticks. The max drawdown was -$1,312.50. December to date is $3850 on 130 trades with a max drawdown of -$1600. To me, these are good results.

But it is a 1-minute 8-tick scalping strategy for sideways markets, so it should be applied to sideways markets. November and December were sufficiently sideways to product these results, but a 6-month backtest only produces $8862.50 with a Max drawdown of $8187.50. Obviously not desirable, but there were many big, trending days during this time period for which the strategy was not designed.

So the premise of my question is this: if I am back testing a strategy which should only be profitable in sideways markets, shouldn't I back test it in sideways markets?

My only question is simply, can you tell in advance that you are going to have a sideways market? Not looking back in time and saying, "Oh, this was a trending market, I can't use the strategy for that," but looking forward in real time, and say, "Oh, this will be a trending market, I can't use the strategy now."

Or to put it another way, if you decide you will only test in periods when, as you look back at them, you can see that the market wasn't trending, you are seriously curve-fitting your test -- you are selecting the data you will test it for, because you know what the outcome was.

That will make your test essentially not worth anything. And that makes your question kind of irrelevant also, since you're only going to test during times when you know it will do well. Why test at all then?

By the way, I understand the dilemma because I have it too. I know that certain things work well during trends but not during sideways non-trends, and vice versa. There's a sort of Catch-22 there, because you can't use the method that works well in non-trending markets profitably unless you already know they will be non-trending.

But you do need a way to tell the difference, ahead of time, and then you need to incorporate whatever criteria you have developed to answer the question into the test itself, so you can test it realistically under the same type of conditions you will face with it when going live.

I hope this makes sense and is useful to you. Good luck with the strategy and your testing. And be sure you can answer this question.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Visit my futures io Trade Journal Reply With Quote
The following 4 users say Thank You to bobwest for this post:
 
(login for full post details)
  #11 (permalink)
 bobwest 
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart, NinjaTrader
Trading: ES, YM
 
bobwest's Avatar
 
Posts: 6,492 since Jan 2013
Thanks: 49,136 given, 21,785 received


kevinkdog View Post
How does your strategy know WHEN it is a sideways market? Saying you should not run it last Sept and Oct because those months were trending is one thing, but knowing that in real time is another.

If your strategy can't tell when it is sideways, but can only exploit sideways, your 2 month backtest will not really help. It just confirms what you know - in sideways markets, strategy works great.

Hope this makes sense. Just my 1 cent.

Beat me to it, Kevin! I was typing in my long-winded way while you were getting to the point, in a much simpler way too.

But this is the thing that's important.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #12 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,003 since Jul 2012
Thanks: 1,598 given, 5,970 received


bobwest View Post
My only question is simply, can you tell in advance that you are going to have a sideways market? Not looking back in time and saying, "Oh, this was a trending market, I can't use the strategy for that," but looking forward in real time, and say, "Oh, this will be a trending market, I can't use the strategy now."

Or to put it another way, if you decide you will only test in periods when, as you look back at them, you can see that the market wasn't trending, you are seriously curve-fitting your test -- you are selecting the data you will test it for, because you know what the outcome was.

That will make your test essentially not worth anything. And that makes your question kind of irrelevant also, since you're only going to test during times when you know it will do well. Why test at all then?

By the way, I understand the dilemma because I have it too. I know that certain things work well during trends but not during sideways non-trends, and vice versa. There's a sort of Catch-22 there, because you can't use the method that works well in non-trending markets profitably unless you already know they will be non-trending.

But you do need a way to tell the difference, ahead of time, and then you need to incorporate whatever criteria you have developed to answer the question into the test itself, so you can test it realistically under the same type of conditions you will face with it when going live.

I hope this makes sense and is useful to you. Good luck with the strategy and your testing. And be sure you can answer this question.

Bob.


I get the feeling we were both typing the same answer at the same time. Brothers from a different mother..

Follow me on Twitter Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
(login for full post details)
  #13 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


bobwest View Post
My only question is simply, can you tell in advance that you are going to have a sideways market? Not looking back in time and saying, "Oh, this was a trending market, I can't use the strategy for that," but looking forward in real time, and say, "Oh, this will be a trending market, I can't use the strategy now."

Or to put it another way, if you decide you will only test in periods when, as you look back at them, you can see that the market wasn't trending, you are seriously curve-fitting your test -- you are selecting the data you will test it for, because you know what the outcome was.

That will make your test essentially not worth anything. And that makes your question kind of irrelevant also, since you're only going to test during times when you know it will do well. Why test at all then?

By the way, I understand the dilemma because I have it too. I know that certain things work well during trends but not during sideways non-trends, and vice versa. There's a sort of Catch-22 there, because you can't use the method that works well in non-trending markets profitably unless you already know they will be non-trending.

But you do need a way to tell the difference, ahead of time, and then you need to incorporate whatever criteria you have developed to answer the question into the test itself, so you can test it realistically under the same type of conditions you will face with it when going live.

I hope this makes sense and is useful to you. Good luck with the strategy and your testing. And be sure you can answer this question.

Bob.

Yes, Bob, it does, and I have considered that. For two years I have been following a price action trader live in his trading room. There are ways I have learned to differentiate the likelihood of a sideways vs. a trending market. Sideways markets are likely to have overlapping bars, lots of tails, poor follow through, a lack of consecutive trend bars, and often occur when prices oscillate around the twenty-bar moving average. Even more pertinent is when two or more moving averages are close together. Once these conditions occur, the odds of successful breakouts diminish to about 20%. Reversals are 80% more likely, so scaling in once if the trade moves against me increases probability. Twice, maybe, but I am not comfortable allowing any more than that.

The problem is that these conditions are mostly based on price action, so placing them into the strategy for back testing is beyond my ability. Friday, for instance, I knew we we in a sideways market by midday, so I completed the strategy during the day and tested it, with good results.

If the day starts off with consecutive trend bars with minimal overlap, and breakouts are successful with follow through, and the 20-bar EMA provides support (as well as the 20-bar EMA on the 1 - min chart, I would not even attempt to use this strategy until breakouts begin to fail and there is evidence that limit order counter-trend traders are starting to make money.

Therefore, as you say, back testing is problematic because my determining market direction is based on price action with moving average verification. ADX also adds some value. I can't code for price action beyond bars closing above/below their median prices.

I appreciate your insight and welcome your input.

Started this thread Reply With Quote
The following user says Thank You to Bionan for this post:
 
(login for full post details)
  #14 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


kevinkdog View Post
How does your strategy know WHEN it is a sideways market? Saying you should not run it last Sept and Oct because those months were trending is one thing, but knowing that in real time is another.

If your strategy can't tell when it is sideways, but can only exploit sideways, your 2 month backtest will not really help. It just confirms what you know - in sideways markets, strategy works great.

Hope this makes sense. Just my 1 cent.

Thanks for the reply. I answered it above. If you have any suggestions for making the computer recognize price action, let me know. I'm not being facetious. I have struggled this. I'm trying to combine price action with automated trading. I can often recognize market type, but like many, I let emotion cloud the execution. My goal is to let the computer trade the way I would if I could act like a computer.

Started this thread Reply With Quote
 
(login for full post details)
  #15 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,003 since Jul 2012
Thanks: 1,598 given, 5,970 received


Bionan View Post
Thanks for the reply. I answered it above. If you have any suggestions for making the computer recognize price action, let me know. I'm not being facetious. I have struggled this. I'm trying to combine price action with automated trading. I can often recognize market type, but like many, I let emotion cloud the execution. My goal is to let the computer trade the way I would if I could act like a computer.

You mention:
Sideways markets are likely to have overlapping bars,
lots of tails,
poor follow through
lack of consecutive trend bars
prices oscillate around the twenty-bar moving average.
two or more moving averages are close together.

All those things can be defined and coded (although defining "poor follow through" will be tough).

Let's just take one of those:

"lots of tails"

1. Define what exactly is and is not a tail bar

2. Define what "lots" is


Just break all those in pieces, and code each piece.

In my opinion, coding those will not be the hard part. What will be hard is, after you program, you realize that many of those sideways "tells" are not as good as you originally thought... if that is the case, that is a major blow to your strategy.

Sideways action is easy to pinpoint in hindsight, but much tougher to see in real time.

Follow me on Twitter Reply With Quote
The following 3 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #16 (permalink)
 mattz   is a Vendor
 
 
mattz's Avatar
 
Posts: 2,489 since Sep 2010
Thanks: 2,429 given, 3,767 received

Instead of focusing on infrequent trading (larger time frame) and growing the size of contracts if the method works, most want to do the opposite, i.e. choose frequent trades with small profits not aware of all the pitfalls that @kevinkdog and @bobwest mentioned.

Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email support@OptimusFutures.com
Reply With Quote
The following 2 users say Thank You to mattz for this post:
 
(login for full post details)
  #17 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


kevinkdog View Post
You mention:
Sideways markets are likely to have overlapping bars,
lots of tails,
poor follow through
lack of consecutive trend bars
prices oscillate around the twenty-bar moving average.
two or more moving averages are close together.

All those things can be defined and coded (although defining "poor follow through" will be tough).

Let's just take one of those:

"lots of tails"

1. Define what exactly is and is not a tail bar

2. Define what "lots" is


Just break all those in pieces, and code each piece.

In my opinion, coding those will not be the hard part. What will be hard is, after you program, you realize that many of those sideways "tells" are not as good as you originally thought... if that is the case, that is a major blow to your strategy.

Sideways action is easy to pinpoint in hindsight, but much tougher to see in real time.

These are good questions. By "lots of tails", what I mean is that, on time frames smaller than the trading time frame, bars are not breaking out, but are reversing at or just above prior highs/lows. In other words, there are signs that computers are betting on reversals. So there would be lots of doji's, small bodies, hanging men and hammers, engulfing patterns, etc. Also, tall candles closing on their highs and lows tend to be faded rather than following thriugh. And the best indication is that support and resistance levels are holding and reversing.
I suppose the only way I can know for sure that I can rocognize it real time is to paper trade the strategy live.
My intent is to combine this strategy with trend following strategies on the higher time frame (5-minute) on a different account.

Started this thread Reply With Quote
 
(login for full post details)
  #18 (permalink)
AffinityDeal
New York City N.Y. USA
 
 
Posts: 2 since Jul 2015
Thanks: 1 given, 1 received

I save my data to relational database daily and purge data older then six months.

Reply With Quote
The following user says Thank You to AffinityDeal for this post:
 
(login for full post details)
  #19 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


mattz View Post
Instead of focusing on infrequent trading (larger time frame) and growing the size of contracts if the method works, most want to do the opposite, i.e. choose frequent trades with small profits not aware of all the pitfalls that @kevinkdog and @bobwest mentioned.

Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Thanks for the reply. I'm not exactly sure what you are saying. Markets spend more time in trading ranges than trending. On most days there is some point in time where the market is range bound, usually in the middle third of the day. This strategy looks for a trading range to short the top of a prior high and buy near the prior low and scalp for roughly 1 x ATR, with a scale in 2 X ATR beyond the entry. The range needs to remains within 32 ticks of the entry to avoid a stop out. This is a pretty common pattern.

Started this thread Reply With Quote
The following user says Thank You to Bionan for this post:
 
(login for full post details)
  #20 (permalink)
 mattz   is a Vendor
 
 
mattz's Avatar
 
Posts: 2,489 since Sep 2010
Thanks: 2,429 given, 3,767 received


Bionan View Post
Thanks for the reply. I'm not exactly sure what you are saying. Markets spend more time in trading ranges than trending. On most days there is some point in time where the market is range bound, usually in the middle third of the day. This strategy looks for a trading range to short the top of a prior high and buy near the prior low and scalp for roughly 1 x ATR, with a scale in 2 X ATR beyond the entry. The range needs to remains within 32 ticks of the entry to avoid a stop out. This is a pretty common pattern.

Yes, I agree that markets are range-bound, but one-minute signal based systems require hosting, direct API and exchange memberships to lower costs. They rarely work for regular retail.

Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
1 800 771 6748 local 561 367 8686 email support@OptimusFutures.com
Reply With Quote
 
(login for full post details)
  #21 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


mattz View Post
Yes, I agree that markets are range-bound, but one-minute signal based systems require hosting, direct API and exchange memberships to lower costs. They rarely work for regular retail.

Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Thanks. That bears consideration.

Started this thread Reply With Quote
The following user says Thank You to Bionan for this post:
 
(login for full post details)
  #22 (permalink)
 LastDino 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: Crude, NIFTY, BANKNIFTY
 
LastDino's Avatar
 
Posts: 940 since Jan 2019
Thanks: 2,853 given, 2,801 received

Bobwest and Kevindogs advice can be like elixir of life from very experienced traders to us, what kevindog has mentioned about "Curve fitting" was something that took me very very long time to figure out, almost half of my trading life.

Do not ignore them, those are very wise words.

Visit my futures io Trade Journal Reply With Quote
The following 2 users say Thank You to LastDino for this post:
 
(login for full post details)
  #23 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


kevinkdog View Post
You mention:
Sideways markets are likely to have overlapping bars,
lots of tails,
poor follow through
lack of consecutive trend bars
prices oscillate around the twenty-bar moving average.
two or more moving averages are close together.

All those things can be defined and coded (although defining "poor follow through" will be tough).

Let's just take one of those:

"lots of tails"

1. Define what exactly is and is not a tail bar

2. Define what "lots" is


Just break all those in pieces, and code each piece.

In my opinion, coding those will not be the hard part. What will be hard is, after you program, you realize that many of those sideways "tells" are not as good as you originally thought... if that is the case, that is a major blow to your strategy.

Sideways action is easy to pinpoint in hindsight, but much tougher to see in real time.

Good points, and I really do appreciate your taking the time to help me. First, sideways action, as I have used it in this case, maybe too broad a term. I am not talking about trade-able swings in a trading range. I am referring in this case to tight, horizontal trading ranges of 4-8 points with defined support and resistance. To me, those are relatively easy to spot after spending 2 years in Al Brooks' trading room. It's just that I have tried purely price action trading, and while it works great for Al, I have accepted my limitations, and I have discovered I need more clear entry and exit criteria, so I am trying to create code to mimic Al's discretionary rules.

I haven't really tried yet to add conditions to make the strategy viable in all timeframes. I certainly can do this. The strategy was profitable across all tested timeframes, albeit with unacceptable drawdowns. I can add an ADX filter, etc., especially if I can add a 5-minute ADX into the one-minute strategy. I know this can be done with BloodHound, but I don't know if I can do it with NT Strategy Builder.

I am confident that I will be able to get it to work, because the strategy uses a 1-minute chart to mimic the common tactic of placing limit orders to buy below bars and sell above bars on the 5-minute chart in a tight trading range. I have a limit of 1 trade every 4 bars to avoid excessive overhead and overtrading. My target is 8 ticks to cover commissions and slippage, and to allow one scale in to increase probability.

This is a work in progress, so I will continue to refine and test it. If you have any other comments, I wholeheartedly welcome them.
Thanks.

Started this thread Reply With Quote
The following 2 users say Thank You to Bionan for this post:
 
(login for full post details)
  #24 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


kevinkdog View Post
You mention:
Sideways markets are likely to have overlapping bars,
lots of tails,
poor follow through
lack of consecutive trend bars
prices oscillate around the twenty-bar moving average.
two or more moving averages are close together.

All those things can be defined and coded (although defining "poor follow through" will be tough).

Let's just take one of those:

"lots of tails"

1. Define what exactly is and is not a tail bar

2. Define what "lots" is


Just break all those in pieces, and code each piece.

In my opinion, coding those will not be the hard part. What will be hard is, after you program, you realize that many of those sideways "tells" are not as good as you originally thought... if that is the case, that is a major blow to your strategy.

Sideways action is easy to pinpoint in hindsight, but much tougher to see in real time.

Kevin: as of 12:30, today is what I meant by lots of tails. My strategy is a 1-minute strategy, but it's based on the action on the 5-minute chart (I'm essentially trading the 5-minute chart using 1 minute entries). Most of the 5-minute bars have been reversing on the close, and every trend has been reversed. Limit order traders are making money buying below everything, and selling above everything. Price is oscillating around the 20 EMA. Breakouts on every timeframe are being faded. This is a sideways market, and it's pretty easy to identify in real time.

Rick

Started this thread Reply With Quote
The following user says Thank You to Bionan for this post:
 
(login for full post details)
  #25 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,003 since Jul 2012
Thanks: 1,598 given, 5,970 received


Bionan View Post
Kevin: as of 12:30, today is what I meant by lots of tails. My strategy is a 1-minute strategy, but it's based on the action on the 5-minute chart (I'm essentially trading the 5-minute chart using 1 minute entries). Most of the 5-minute bars have been reversing on the close, and every trend has been reversed. Limit order traders are making money buying below everything, and selling above everything. Price is oscillating around the 20 EMA. Breakouts on every timeframe are being faded. This is a sideways market, and it's pretty easy to identify in real time.

Rick

Great! So you just need to code that up, and use that as your criteria for sideways markets. Then, you should be able to test that historically.

Follow me on Twitter Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #26 (permalink)
 Massive l 
Legendary Market Wizard
Portland, OR
 
Experience: None
 
Massive l's Avatar
 
Posts: 2,012 since Mar 2011
Thanks: 1,699 given, 4,194 received

7 months is the most I can use in TOS on 5 min and it works great

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #27 (permalink)
 DoubleUCapital 
Tel-Aviv Israel
 
Experience: Advanced
Platform: NT
Trading: ES
 
Posts: 63 since Dec 2019
Thanks: 46 given, 126 received

At a fund I used to work for we got 5 years data to build an Algo.
Will try to look for the source we got it from if you like me 2.

Reply With Quote
 
(login for full post details)
  #28 (permalink)
 LionTrader3 
Grapevine, Texas
 
Experience: Intermediate
Platform: NinjaTrader
Trading: Emini
 
Posts: 1 since Jun 2018
Thanks: 1 given, 1 received

Back testing is more a function of how many trades you log in your back test than how many days you back test. I would suggest googling margin of error for more information on the topic. Letís say you log 500 trades which would give you a 4% margin of error for your win rate. This means that your win rate could be +-4%. The more trades you do the lower the margin for error will be so a 2,000 trade sample gives you a 2% margin of error.

This is important because if you know your win rate with a given strategy then you can look at your RR to determine if your going to be profitable or not. Hope this helps.

Reply With Quote
The following 2 users say Thank You to LionTrader3 for this post:
 
(login for full post details)
  #29 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


DoubleUCapital View Post
At a fund I used to work for we got 5 years data to build an Algo.
Will try to look for the source we got it from if you like me 2.

Thanks for the reply. Are you speaking about a source for the algorithm? Would it be useful to an individual trader? I'm currently building my own algorithms to have the computer take the trades that I would take as a discretionary trader, but the computer can take them more quickly, more accurately, and without emotion.

I understand that institutions are constantly reevaluating their algorithms and updating them. Has that been your experience as an institutional trader? Or do they usually leave them alone until they stop working?

Thanks for the insight!
Rick

Started this thread Reply With Quote
 
(login for full post details)
  #30 (permalink)
 Bionan 
Palm Harbor, Florida/USA
 
Experience: Intermediate
Platform: NinjaTrader, SharkIndicat
Broker: Interactive Brokers, NinjaTrader Brokerage, TD Ameritrade
Trading: ES
 
Posts: 75 since Dec 2019
Thanks: 78 given, 96 received


LionTrader3 View Post
Back testing is more a function of how many trades you log in your back test than how many days you back test. I would suggest googling margin of error for more information on the topic. Letís say you log 500 trades which would give you a 4% margin of error for your win rate. This means that your win rate could be +-4%. The more trades you do the lower the margin for error will be so a 2,000 trade sample gives you a 2% margin of error.

This is important because if you know your win rate with a given strategy then you can look at your RR to determine if your going to be profitable or not. Hope this helps.

Thanks. I will check that out. I understand what statistical significance is; I just don't know how to find the margin of error for my own trades. That will be useful. Currently my algorithms show win rate of ~> 70%. One is a 1 minute strategy, so I have tested well over 500 trades.

Thanks-
Rick

Started this thread Reply With Quote
The following user says Thank You to Bionan for this post:
 
(login for full post details)
  #31 (permalink)
 DoubleUCapital 
Tel-Aviv Israel
 
Experience: Advanced
Platform: NT
Trading: ES
 
Posts: 63 since Dec 2019
Thanks: 46 given, 126 received


Bionan View Post
Thanks for the reply. Are you speaking about a source for the algorithm? Would it be useful to an individual trader? I'm currently building my own algorithms to have the computer take the trades that I would take as a discretionary trader, but the computer can take them more quickly, more accurately, and without emotion.

I understand that institutions are constantly reevaluating their algorithms and updating them. Has that been your experience as an institutional trader? Or do they usually leave them alone until they stop working?

Thanks for the insight!
Rick

Check it DAILY for performance and required changes if necessary. If you wait to till its not working you lost money.

Reply With Quote
The following user says Thank You to DoubleUCapital for this post:
 
(login for full post details)
  #32 (permalink)
 indiantrader 
Mumbai, India
 
Experience: Intermediate
Platform: MT4, NT7,eSignal
Broker: AMP/CQG
Trading: Index,currencies
 
indiantrader's Avatar
 
Posts: 115 since Jul 2010
Thanks: 324 given, 150 received

At least 1 year data should be there which needs to be divided for backtesting and forward testing. Backtest first on 6 months data and then test that strategy on next 6 months data to see if that strategy actually has same curve and parameters as backtested strategy. If its ES or equity futures, intraday times need to be set during european and US sessions with filers for news and speeches. Last 2 years, on every Trump tweet about trade, the twitter algos fire and move the markets upto 1% at times. So many times the price action has been congested with intermittent Trump tweet spikes. I have used a data mining software like BuildAlpha for finding strategies and it has been lot harder to find profitable strategies on smaller timeframe charts than on EOD charts. Once you are done, pl share your backtest and parameters.

Reply With Quote
The following user says Thank You to indiantrader for this post:


futures io Trading Community Traders Hideout Emini and Emicro Index > How many days to back test a 1 minute algorithm?


Last Updated on December 28, 2019


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing

NEW BlackBird Features + FOREX Support w/Jeremy Tang @ SharkIndicators

Elite only
 

Our 12-year anniversary w/ $$,$$$ prizes (check soon)

June
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada), info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts