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Strategy Performance


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Strategy Performance

  #1 (permalink)
Dallas, TX
 
Experience: Beginner
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Posts: 6 since Sep 2013
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Strategy Performance

I am not sure if this is where this should go, but here goes. I am working on a strategy using a hybrid renko bar. Right now, I back tested the strategy and it traded a 43.5% gain trading 2 EURUSD and GBPUSD. I am a college student so I am trading with very small amounts of money. This is more of a project to learn so I can trade like the big boys later on. Im not allowed to post a screen shot so I will paste the table here.


Performance All Trades Long Trades Short Trades
Total Net Profit $87.00 $50.80 $36.20
Gross Profit $109.60 $69.40 $40.20
Gross Loss $-22.60 $-18.60 $-4.00
Commission $0.00 $0.00 $0.00
Profit Factor
Cumulative Profit $87.00 $50.80 $36.20
Max. Drawdown $-10.80 $-10.20 $-3.40
Sharpe Ratio 1.00 1.00 1.00

Start Date 10/14/2013
End Date 10/18/2013

Total # of Trades 42 30 12
Percent Profitable 57.14% 53.33% 66.67%
# of Winning Trades 24 16 8
# of Losing Trades 18 14 4

Average Trade $2.07 $1.69 $3.02
Average Winning Trade $4.57 $4.34 $5.03
Average Losing Trade $-1.26 $-1.33 $-1.00
Ratio avg. Win / avg. Loss 3.64 3.27 5.03

Max. conseq. Winners 10 6 4
Max. conseq. Losers 10 8 2
Largest Winning Trade $20.19 $19.99 $20.19
Largest Losing Trade $-6.60 $-6.60 $-3.40

# of Trades per Day 10.50 7.50 4.00
Avg. Time in Market 276.4 min 279.1 min 269.6 min
Avg. Bars in Trade 6.6 5.8 8.5
Profit per Month $663.41 $387.37 $368.05
Max. Time to Recover 1.37 days 2.16 days 1.09 days

Average MAE $1.23 $1.23 $1.22
Average MFE $4.49 $3.51 $8.20
Average ETD $2.42 $1.81 $5.18



Does anyone have any tips on how I could improve these statistics?

Average MAE
This statistic returns a value representing the average maximum run-down your strategy experiences. This information helps you gauge how poorly your strategy’s entry conditions predict upcoming price movement directions. A low percentage here is desirable since it would imply that the price movement after you enter a position follows the direction of your intended trade.

Currency
SUM(MAE * quantity * point value) of all trades / # of trades
Percent
SUM(MAE * quantity / entry price) of all trades / # of traded lots
Points
SUM(MAE * quantity) of all trades / # of trades
where MAE (max. adverse excursion) is defined as |worst price trade reached – entry price|, quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

Average MFE
This statistic returns a value representing the average maximum run-up your strategy experiences. This information helps you gauge how well your strategy’s entry conditions predict upcoming price movements. A high percentage here is desirable since it would imply high profitability opportunities.

Currency
SUM(MFE * quantity * point value) of all trades / # of trades
Percent
SUM(MFE * quantity / entry price) of all trades / # of traded lots
Points
SUM(MFE * quantity) of all trades / # of trades
where MFE (max. favorable excursion) is defined as (best price trade reached – entry price), quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

Average ETD
This statistic returns a value that is useful in giving you a measure of how effective your exit conditions capture the price movements after your strategy enters a position. It shows you how much you give back from the best price reached before you exit the trade. A small number here is generally desirable since it would imply highly optimized exit conditions that capture most of the price movement you were after.

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  #2 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
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JamesCBO View Post

Does anyone have any tips on how I could improve these statistics?

My advice won;t necessarily make your results better in the "profit" sense, but they will be be better in the "a realistic backtest that may possibly hold up in the future" sense:

1. Don't use Renko bars for backtest. Search futures.io (formerly BMT) for reasons why.

2. Test for much longer than 1 week.

3. Include commission and slippage costs.

4. Don't rely on optimized backtests. If you optimize, look at only out of sample results, or better yet, walkforward results.

5. Make sure you have many, many trades per trading rule. 50-100 trades per rule is a decent start.


Good Luck! You are on the right path. Most people would be afraid to post their results, but that is a great way to learn.

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  #3 (permalink)
Dallas, TX
 
Experience: Beginner
Platform: NinjaTrader
Trading: Forex
 
Posts: 6 since Sep 2013
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Yeah I noticed that the backtesting with the strategy analyzer gave completely wrong results. I backtested with the posted results by replaying market data. I use FXCM, by replaying market data, is that giving a good representation of how the strategy will run in live? I know they dont charge commission, they just make money by the spread.

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  #4 (permalink)
Legendary Market Wizard
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JamesCBO View Post
Yeah I noticed that the backtesting with the strategy analyzer gave completely wrong results. I backtested with the posted results by replaying market data. I use FXCM, by replaying market data, is that giving a good representation of how the strategy will run in live? I know they dont charge commission, they just make money by the spread.

What kind of orders are you using for entry and exit? If market or stop, make sure you include some spread costs in your calcs. You are paying it, somehow, someway. If limit orders, make sure your fill price really occurred. For example, if you wanted to buy at 1.3500, make sure the ASK price went as low as 1.3499, or you may not get a fill. Don;t rely on just the BID data to see if you got filled.

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  #5 (permalink)
Dallas, TX
 
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Im using market orders. If the spread is say 2.4 on the EURUSD, should I put in 2.4 as the slippage?

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  #6 (permalink)
Legendary Market Wizard
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JamesCBO View Post
Im using market orders. If the spread is say 2.4 on the EURUSD, should I put in 2.4 as the slippage?


I assume the 2.4 is pips.

If you are using market orders for entry and exit, I'd use 1.5 times the spread for a round trip trade. So, 3.6 pips per round trip trade. That may be a bit conservative.


Someone may ask "why/how do I pay the spread?" Just imagine you enter and immediately exit a market. If you buy, you'll buy the ASK, then quickly sell at the BID, meaning that trade just cost you the spread.

You'll have to convert the spread in pips to dollars, based on the lot size you are trading. For a normal size $100K forex lot, the 3.6 pips in spread costs per trade would equal $36.

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  #7 (permalink)
Dallas, TX
 
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Okay so the slippage needs to be entered as the 2.4 pipsx1.5 converted to $. Thats what youre saying?

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  #8 (permalink)
Legendary Market Wizard
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JamesCBO View Post
Okay so the slippage needs to be entered as the 2.4 pipsx1.5 converted to $. Thats what youre saying?

Yes

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  #9 (permalink)
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I am trading lots of 2k. Each pip costs $.20. Doing 1.5*2.4=3.6 3.6*.20=0.72

Can I just put it in slippage as .72 or is there a certain format that needs to be used?

Thanks!

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  #10 (permalink)
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JamesCBO View Post
I am trading lots of 2k. Each pip costs $.20. Doing 1.5*2.4=3.6 3.6*.20=0.72

Can I just put it in slippage as .72 or is there a certain format that needs to be used?

Thanks!

Try it, and then look at the individual trades, and see if it accounted for it right. You might enter half (per side), or the whole amount. I don't know about Ninja, but in Tradestation there is a switch that determines if the amount you enter is per side or per round trip trade.

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