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credibility of the strategy
Started:August 4th, 2012 (05:24 PM) by tomsil88 Views / Replies:451 / 1
Last Reply:August 9th, 2012 (03:00 AM) Attachments:0

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credibility of the strategy

Old August 4th, 2012, 05:24 PM   #1 (permalink)
Trading Apprentice
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: FOrex
Posts: 1 since Aug 2011
Thanks: 0 given, 0 received

credibility of the strategy

I analyse the longer period graphs in NinjaTradera.
I have data downloaded from my broker MBtrading(1 year), Dukascopy (5 years) and data downloaded with the option "download replay data"(1 years)- enabling analyses in "market replay connection".
I have a lot of good systems, however if the system works on the data from mbtrading it doesn't work on data from dukascopy. And even as this works chances that the strategy will give similar results in "market replay connection" they are very small.
People tell me whether you are comparing only results from backtestera from "market replay connection"?
Perhaps you are starting every strategies in an account demo at the broker in which you are interested and do you wait weeks to see results?
How best to check the effectiveness of the strategy?
Please help

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Old August 9th, 2012, 03:00 AM   #2 (permalink)
Trading Apprentice
McMinnville + United States
Futures Experience: Advanced
Platform: IB NT IRT
Favorite Futures: ES
Posts: 4 since Aug 2012
Thanks: 0 given, 4 received

Checking a strategy's effectiveness

How best to check the effectiveness of the strategy?

The best way to test a strategy depends on the strategy, itself. But it will usually involve at least three discrete steps.

For simple strategies, you can program them into NinjaTrader or similar software and backtest them. You can also do this visually by just going back through data, moving forward one bar at a time, and HONESTLY documenting when and how you would have entered trades. After 100+ such trades, you'll have a pretty good sense based on backtesting.

Then do "forward" testing, which simply means trade on paper or in a demo account using live market data. The results may be substantially-different from you backtesting. If not profitable, identify why and what you need to change.

If you consistently show profitability with forward testing, begin trading with very small amounts. Profitability here will be harder than in the forward testing. If still profitable, you then gradually increase the size of your trades depending on your money management philosophy.

It is worth mentioning, at this point, that you money/risk management should be incorporated into your strategy from the beginning.

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