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My NT automatic system - what do you mean?
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My NT automatic system - what do you mean?

  #1 (permalink)
Just starting out...
Slovakia
 
Futures Experience: Beginner
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My NT automatic system - what do you mean?

Hello,

what do you mean, can be this system profitable in real?
Min. volume 1000, work from 10 to 18 hours, 1 lot.
Thank you.

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  #3 (permalink)
Administrator: Retired Backtester
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Not bad, but 9 losers in a row, hard when you have this in real.
You should try it with a real data feed and a demo account, for few weeks, and see hos it goes.
You should also add commissions in your backtests.

Success requires no deodorant! (Sun Tzu)

Last edited by sam028; August 17th, 2010 at 06:08 PM. Reason: add comment
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Just starting out...
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sam028 View Post
Not bad, but 9 losers in a row, hard when you have this in real.
You should try it with a real data feed and a demo account, for few weeks, and see hos it goes.
You should also add commissions in your backtests.

Yes, 9 losers in a row is not good. Drawdown is quite high too. But all my optimalizations until now rapidly decrease performance.

I would like to ask - I use minute data, calculation on bar close, I do not use tick events.
This strategy is trend following, position is open for hours during day, volume in this time is high.

Commission are clear. Unknown is slippage. But can slippage in this scenario significantly negative affect performance of strategy?

-----

Another question - It is possible - in terms of probability - that the strategy which is profitable 15 out of 16 months - with unchanged parameters - will be a permanently loss in the months ahead?

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  #5 (permalink)
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BobSk View Post
Another question - It is possible - in terms of probability - that the strategy which is profitable 15 out of 16 months - with unchanged parameters - will be a permanently loss in the months ahead?

Yes, it is possible. Many, many systems backtest wonderfully and then perform poorly in the real world with cash.

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  #6 (permalink)
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gregid's Avatar
 
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Try Monte Carlo

As for your consecutive losers – if you are using NT7 run Monte Carlo simulation to get better picture of your trades.

Here is the link with some guidance:

NinjaTrader Version 7 - Monte Carlo Simulation

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