Strategy creating 95%-100% winning trades - NinjaTrader | futures io social day trading
futures io futures trading


Strategy creating 95%-100% winning trades
Updated: Views / Replies:61,587 / 85
Created: by shodson Attachments:7

Welcome to futures io.

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

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

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

Reply
 7  
 
Thread Tools Search this Thread
 

Strategy creating 95%-100% winning trades

  #31 (permalink)
Just starting out...
Ottawa, Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB
Favorite Futures: ES
 
Posts: 22 since Nov 2009
Thanks: 4 given, 12 received


sefstrat View Post
Just to show you its possible..

This strategy is somewhat naive in that it could be making a lot more profit with a lower win%. It is only taking scalp orders with relatively tight MM, if I enabled the swing orders the win% would go down but profit factor and overall profitability would go way up. (disregard the fact the orders are labeled swing on the chart, its a bug..) I posted details about my MM system on another thread yesterday if you are interested..

Note that I do not trade this exact strategy live but I do trade others very similar to it and the results are valid, its not a ninja backtesting bug =)

(in real trading my win% is low 90s, but win% is irrelevant really.. only profitability and stability matter (stability means low, consistent drawdown, no outliers))

Edit: added another image of the chart from this backtest.. you can see that it is able to isolate tops (and bottoms) very nicely

Your backtest/optimization was for about 2 weeks of data...what is the outcome using a more realistic time period, e.g. at least 12 months?

Reply With Quote
 
  #32 (permalink)
Elite Member
Austin, TX
 
Futures Experience: Advanced
Platform: NT/Matlab
Broker/Data: Interactive Brokers
Favorite Futures: FX majors
 
sefstrat's Avatar
 
Posts: 285 since Jun 2009
Thanks: 20 given, 749 received


Autobot View Post
Your backtest/optimization was for about 2 weeks of data...what is the outcome using a more realistic time period, e.g. at least 12 months?

I've been trading similar strategies with real money for ~8 months, the results are comparable.

Note though that this backtest only used scalping orders, the real strategy has runners which generate much more profit but bring the win% down some as they have looser stop criteria. I would not trade the strategy as pictured IRL.

Long term backtesting is pretty pointless BTW for a scalping type strategy where the primary factors that matter cannot be backtested (ie, timing factors). If doing longer term trades it is somewhat useful as long as you don't fall into the optimization overfitting trap..

Reply With Quote
 
  #33 (permalink)
Elite Member
New York
 
Futures Experience: Advanced
Platform: NT
 
gabga100's Avatar
 
Posts: 147 since Nov 2009
Thanks: 44 given, 69 received


I can pull strategies that over 350 trades are 98 % profitable ...

And the when I test them live they fail ...


Watch out there is alwasy a big gap between the 2 worlds ....


Let me know if you need any screenshots to prove it ....

Reply With Quote
 
  #34 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,354 given, 83,237 received


gabga100 View Post
I can pull strategies that over 350 trades are 98 % profitable ...

And the when I test them live they fail ...


Watch out there is alwasy a big gap between the 2 worlds ....


Let me know if you need any screenshots to prove it ....

First guess would be you are using minute charts, and if you examine the Trades tab on the backtester it will show bars in trade to be 1. So since backtester doesn't know the order of OHLC, the win % is off the charts, while in real time it's terrible.

If this isn't the case I'd be curious for more details if for no other reason than to educate more people about problems like this.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #35 (permalink)
Elite Member
New York
 
Futures Experience: Advanced
Platform: NT
 
gabga100's Avatar
 
Posts: 147 since Nov 2009
Thanks: 44 given, 69 received

Hey that is probbaly a reason , even if I never had a chance to investigate it further ...


Let me double check .... will try to post some screens later

Reply With Quote
 
  #36 (permalink)
Elite Member
New York
 
Futures Experience: Advanced
Platform: NT
 
gabga100's Avatar
 
Posts: 147 since Nov 2009
Thanks: 44 given, 69 received

By the way the best way to avoid data fitting is running a walk forward optimization .....

If it gives good results then usually the strategy is profitable .....

Reply With Quote
 
  #37 (permalink)
Just starting out...
Ottawa, Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: IB
Favorite Futures: ES
 
Posts: 22 since Nov 2009
Thanks: 4 given, 12 received


sefstrat View Post
I've been trading similar strategies with real money for ~8 months, the results are comparable.

So why haven't you retired to Barbados with a pile of cash already?? With 80% winners (lower than your ~90%), you only need the profit factor (average win/average loss) to be >0.25 (in other words you ave loss can be 4x than your ave win) to have a positive ROI (albeit with a low expectation of ~0.01)...With 80% wins and a profit factor of just 1 (i.e. ave win = ave loss), the expectation is ~0.6!

It would be intersting to know what your %win and profit factor is...and of course the best way to silence any doubters is to post the equity curve from your 8 months of trading with real money Can't wait to see it

Reply With Quote
 
  #38 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,354 given, 83,237 received


gabga100 View Post
By the way the best way to avoid data fitting is running a walk forward optimization .....

If it gives good results then usually the strategy is profitable .....

I agree, but it has the same limitations if using minute data and can still be completely inaccurate. It's best to code strategies to use tick data or to write strategies so they cannot take profits until after the first bar, or to just dump the trades tab into csv and turn every winner on bar1 into a loser, and see if it's still profitable.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #39 (permalink)
Elite Member
New York
 
Futures Experience: Advanced
Platform: NT
 
gabga100's Avatar
 
Posts: 147 since Nov 2009
Thanks: 44 given, 69 received


Big Mike View Post
I agree, but it has the same limitations if using minute data and can still be completely inaccurate. It's best to code strategies to use tick data or to write strategies so they cannot take profits until after the first bar, or to just dump the trades tab into csv and turn every winner on bar1 into a loser, and see if it's still profitable.

Mike


Perfectly agree with that ....... I will try .... I can PM you the strategy so we can take a look together .... I am working on completely different strategies anyway.....

I beleive that one big problem affecting it is also curve-fitting .....


Now related to tick strategies , I agree itis much more accurate ..... but I have never been able to test on tick data ....each time it returned 0 $ ( with both IB and TD) when I tried... any advice ?

Reply With Quote
 
  #40 (permalink)
Trade with the flow
Paris, France
 
Futures Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
 
cunparis's Avatar
 
Posts: 2,563 since Jun 2009
Thanks: 1,157 given, 2,032 received



gabga100 View Post
If it gives good results then usually the strategy is profitable .....

I disagree. I've written lots of strategies, ran probably 6-8 with real money, probably 4 for several months or more. They ALL fell apart. The market is constantly changing and it's not easy for a strategy to hold up. I have only one that has held up and it uses daily data. I don't trade it cause it has large drawdowns.

Mike - From what I understand Ninja cannot reliably backtest when one enters & exits on the same bar. You can enter or you can exit but not both on the same bar. I believe this limitation is for all bar types including tick. When you backtest a tick chart it doesn't go tick by tick, it uses the OHLC of the tick bar. Please correct me if I'm wrong.

Any more I have given up on automated strategies. Even to test an idea. Now I just write a little indicator that will mark the entry bar with a dot and I draw a line for the target & stop (if it's fixed). Then I eyeball it to see if it will work. The dot can help me trade it real time. I write out the MFE & MAE for each trade in excel and then I compute the average and refine my target & stop. I've had far more success with this method than with automation. Staying out of chop and news is not easy to do in automation. Also I use the daily range to anticipate for the day.

It's just too complex for me to program it and i'm a professional software developer by profession. My current project is rewriting from scratch the system that analyzes tv audience (like the Nielson ratings). It's really complex but in my opinion not as complex as an automated strategy!

Reply With Quote
The following 2 users say Thank You to cunparis for this post:

Reply



futures io > > > > Strategy creating 95%-100% winning trades

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Creating a successful automated trading strategy Big Mike Elite Automated Trading 69 December 27th, 2016 06:32 PM
Going Beyond Psychology to make Winning Trades and Nice Profits Shivaya Psychology and Money Management 125 April 6th, 2015 02:05 AM
Your winning strategy Big Mike Psychology and Money Management 13 December 12th, 2010 06:40 PM
When a winning strategy stops working shodson Elite Automated Trading 2 November 17th, 2010 04:58 PM
Same Strategy, Same Market, Same Time = Different trades! MXASJ NinjaTrader Programming 22 January 29th, 2010 05:25 AM


All times are GMT -4. The time now is 10:19 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, 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
Page generated 2017-12-16 in 0.14 seconds with 20 queries on phoenix via your IP 54.227.51.103