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Strategy creating 95%-100% winning trades
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Strategy creating 95%-100% winning trades

 
Market Wizard
OC, California, USA
 
Trading Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,925 since Jun 2009
Thanks: 508 given, 3,548 received

Strategy creating 95%-100% winning trades

I finally have a strategy that backtests very nicely. Ironically, over the last month or so I have programmed many strategies that I thought would work well, which kept failing miserably. I’ve spent many hours and late nights hacking away in NinjaTrader over the last few weeks coding different strategies to no avail. So yesterday, just out of desperate frustration I pulled a “George Costanza”

YouTube - The Opposite George

So when my algorithm says to buy, I make it sell instead of buy, and when it’s in the conditions I thought would be good to sell, I buy. And wouldn't you know it I started seeing profits. I added a few tweaks and played with different settings and now I have these results below.

This is on the ES Sept contract, Jun1 to now

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I don't like losing that much money on just one trade, but the retracements can take a while and they need room to wiggle to achieve high success ratios.

This is on the June ES contract, Mar 1 – Jun 1

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Works well on forex contracts too, here’s 10 contracts on the Sept 6E

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That’s 87 winning trades and only 1 losing trade! I actually had it making more money in some cases, but at the cost of a lower winning percentage ratio (85-88%). I'd rather have a higher probability of success than more money with higher account volatility.

I’m looking for huge moves in price and, instead of chasing it like I normally would, quickly go in the opposite direction if the move is statistically irrational . It all lines up nicely with some of the things I picked up recently in “Fooled by Randomness”.

I’m going to keep backtesting farther back in time and with other instruments. If that goes well then later this month I’m going to start forward testing this and, if the testing goes well, plan to go live with this on small positions in August in full auto-trade mode (I don't even know how to do that in NT yet)

Sorry for not giving more details, you don't have to believe me if you think I'm full of it, making it up, or just trying to create hype so I can promote something (which I'm not), I just had to share my excitement with someone. I'll post updates as I proceed.

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The following 6 users say Thank You to shodson for this post:
 
 
Chicago
 
 
Posts: 60 since Jun 2009
Thanks: 0 given, 17 received

try it out in market replay and then post results...

similar?

 
 
Market Wizard
OC, California, USA
 
Trading Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,925 since Jun 2009
Thanks: 508 given, 3,548 received


Got to figure out how to use market replay, will check it out. I've just used strategy analyzer so far.

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Site Administrator
Manta, Ecuador
 
Trading Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 47,709 since Jun 2009
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BigDog View Post
try it out in market replay and then post results...

similar?

Exactly. Because experience tells me you've simply run into an NT order bug with the backtester and in reality your strategy is a bomb. Sorry to be the bearer of bad news. Hopefully I am wrong, but pretty sure I'm not.

I am taking a guess you are using limit orders and are either getting filed on the same bar, so the OHLC order is unknown, or it could be the SetProfitTarget bug, or any number of other bugs.

Use market replay and let us know. Be sure to test multiple days.

Mike

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Calgary Canada
 
Trading Experience: Intermediate
Platform: Ninja
Broker/Data: IB/Kinetic
Favorite Futures: 6E, CL
 
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Big Mike View Post
or it could be the SetProfitTarget bug, or any number of other bugs.

Hey Mike, is it that the SetProfitTarget is generally unreliable with the strategy analyzer, or is there an actual bug?

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Site Administrator
Manta, Ecuador
 
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jackyd View Post
Hey Mike, is it that the SetProfitTarget is generally unreliable with the strategy analyzer, or is there an actual bug?

If you set it based on CalculationMode.Ticks and the names of the entries are not unique then you can run into problems. Either name each entry with a unique name (like "long " + CurrentBar) or use CalculationMode.Price.

The more dangerous "issue" (not a bug, but a design limitation) is the entries and exits on the same bar, NT doesn't know the OHLC order and it doesn't assume the worst.

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 (see why)

Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal
 
 
Calgary Canada
 
Trading Experience: Intermediate
Platform: Ninja
Broker/Data: IB/Kinetic
Favorite Futures: 6E, CL
 
jackyd's Avatar
 
Posts: 47 since Jun 2009
Thanks: 44 given, 20 received

good, I've run into both of those issues and the entry/signal names can really mess you up if you don't get it right.

 
 
Bloomfield Hills, MI
 
Trading Experience: Master
Platform: NinjaTrader / Neoticker
Favorite Futures: ES
 
Velocity's Avatar
 
Posts: 16 since Jun 2009
Thanks: 0 given, 7 received

This is dangerous!! Trading on something and not knowing why it works on the reverse. Good Luck!!

 
 
Michigan
 
Trading Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Vision & Stage5/Vision
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Posts: 40 since Jul 2009
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I have also found that using "Strategy Analyzer" for back testing and optimizer produces results that do not bear out in live or replay. I basically use back testing and optimizer to hone in on a strategy and then use replay to actually get the correct results. One other "KEY" is the data feed. As an example, I was running a strategy I am working on, on two PCs concurrently live today. Same strategy, on both. One was getting the feed from IB and the second from Zen-Fire. The IB feed triggered an ill timed trade and ended the day with a loss. Before starting, I even made sure that the IB pc was synced to atomic clock and the T&S sales were within a second of the Zen-Fire feed. (I guess IB sends out the tick data without a time stamp so the PC clock is used, and Zen-Fire includes the time stamp). Anyway, running the same strategy on two different feeds ended up with a huge difference in results. For back-testing purposes (replay), I think it is critical to have time-stamped data so realistic results can be found.

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Chicago
 
 
Posts: 60 since Jun 2009
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not only that, but the replay will give you different results than running it in live sim...


 



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