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Want to create an indicator and have no idea where to start?
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Want to create an indicator and have no idea where to start?

  #71 (permalink)
Urban Samurai
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lolu View Post
When you post the final release, could do two versions; one as an indicator and the other as your strat version.

Lolu

Yep. That's the plan.

Can backtesting only be done via strat?

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  #72 (permalink)
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forrestang View Post
Yep. That's the plan.

Can backtesting only be done via strat?

Any method or setup can be backtested. A strat is a method, usually automated to perform a defined process.

Lolu

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  #73 (permalink)
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forrestang View Post
Yep. That's the plan.

Can backtesting only be done via strat?


I have never found a connection between back testing and actual results.

When you "gitterdun" ... run it in sim for a while see how it does.

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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  #74 (permalink)
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ThatManFromTexas View Post
I have never found a connection between back testing and actual results.

When you "gitterdun" ... run it in sim for a while see how it does.

Oh ya, I know. It's usually not realistic.

I'm looking to more so collect stats than anything though. Just a general idea to test some theories about depth of pb and continuation etc.

This thread is probably weird as it's dis-jointed, and really just a working journal of the creation of this thing, a place to think out loud I suppose. I didn't do a good job explaining what I was looking to capture with this info.

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  #75 (permalink)
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forrestang View Post
Oh ya, I know. It's usually not realistic.

I'm looking to more so collect stats than anything though. Just a general idea to test some theories about depth of pb and continuation etc.

This thread is probably weird as it's dis-jointed, and really just a working journal of the creation of this thing, a place to think out loud I suppose. I didn't do a good job explaining what I was looking to capture with this info.

But if the statistics Back Testing gives you is flawed... what good is it?

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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  #76 (permalink)
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ThatManFromTexas View Post
But if the statistics Back Testing gives you is flawed... what good is it?

Good question. I have some general ideas, based on me trading this way for a while, without the visual aid I've got now. I've got quite a few statistics I've been keeping for a while, but some things I just don't have much data for. So I'm hoping that if the expectancies on back vs. forward testing holds, it could be useful?

With all the stats I have collected via walking forward for a while now, there appears to be a 'general expectancy' associated with certain trade areas. I'm curious to see if the stats I have collected, compare in anyway to the testing I will do. Even if they don't line up, I'd like to see if the proportionality holds.

For example, using arbitrary numbers and pretend trades.......
Say I had two setups, ABC and XYZ. Say my forward testing showed me ABC yielded an expectancy of about $5.00/trade. And then say XYZ showed an expectancy of $25.00/trade.

Then say I wrote a script to backtest these two strats, and say ABC yielded $10.00/trade, which is double the forward testing. And maybe XYZ yielded $50.00/trade. Hypothetical of course.

So the results are completely unrealistic, but if the expectancy holds proportionally...... I wouldn't call the back testing realistic, but it could be useful.

I have some trade areas that I have been forward testing, that just don't perform that well. They ALL appear to be profitable, but some trade areas just seem to blow others away and seem to have a much better expectancy, which if is the case, I can widdle down my trade selection, and just leverage the better RR trades across more than one instrument.

But of course, the trades that are doing the best, i have less of them. So I'm wondering if some trades are just better, or if some trades just seem better because they have traded less, and just haven't tapered off to their normal expectancy yet, in the way the less profitable trades already have since there are more of them.

I could be off on my logic of course.


Last edited by forrestang; June 3rd, 2011 at 04:58 PM.
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  #77 (permalink)
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I watch it in real time the triangle signals move when there is new high, new low, the confirm signal with words arrives much latter waiting for confirmation I guess. You may want to further filter black triangles with my pink/green signal
https://futures.io/ninjatrader/885-corys-volumestopv3-now-v4-worth-look-3.html#post10413

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  #78 (permalink)
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cory View Post
I watch it in real time the triangle signals move when there is new high, new low, the confirm signal with words arrives much latter waiting for confirmation I guess. You may want to further filter black triangles with my pink/green signal
https://futures.io/ninjatrader/885-corys-volumestopv3-now-v4-worth-look-3.html#post10413

For some reason I didn't get an email of this post. Could be just what I need. I will check it out!!

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  #79 (permalink)
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On another note, I got the strat working a while back, it wasn't much to it actually. Everything is still in pieces, but it works.

I've been having it running and walking it forward this week, and it is doing pretty nicely. I like the way the betterRenko bars are spiking my oscillations. When you look at the chart, they are much more spikey, they seem to highlight the oscillations nicer than normal RangeBar charts do. But all that is still up for debate.

This week, while being decent so far, if you look at my chart, the short term strength on the bottom is mostly UP, while my Long term(color bars) have been in conflict. So the trades aren't killer. There is a slightly better expectancy when they match, price usually moves farther/faster.

So far, this week, my win% is hovering right around 40%, which is what I've seen in my manual trading so far. My Average Win/Loss is still holding at about a bit better than 2:1.

After lunch today, here is the chart of the week. I've removed the actual indicator itself that plots the arrows, as the strat and study will plot slightly differently. It's pretty wide.

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// Silliness Below-----------------------------------------------------------------------------------------------------
Just for fun..... was messing around collecting stats on a few different continuous contracts, and came up on a horrible combination. It had a pretty high win% relative to the things I've been doing, but a low expectancy of $9.22/trade. I was just curious and bored, so I made another strat that was the binary inversion of the original strat, so it was told to buy when the original said sell and vice versa.

Here is the original horrible strat and curve:
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Here is the inverted version:
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  #80 (permalink)
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cory View Post
I watch it in real time the triangle signals move when there is new high, new low, the confirm signal with words arrives much latter waiting for confirmation I guess. You may want to further filter black triangles with my pink/green signal
https://futures.io/ninjatrader/885-corys-volumestopv3-now-v4-worth-look-3.html#post10413

Just for reference, those arrows that show up on the original study I posted, they aren't anything to trade off of. They're just like "show-me" dots in that they just plot highs/lows. Then there is additional logic to tell if it's a HH/LL/HL or LH. And it does that by taking the highest, lowest point that occurred when that oscillator changes colors.

Once it has those points, it defines trend via...... L-H-HL-HH means that we are in an uptrend. H-L-LH-LL means we are in downtrend. Breaking a HL or LH transitions to trend change etc...

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