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Strategy creating 95%-100% winning trades


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Strategy creating 95%-100% winning trades

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  #1 (permalink)
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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



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




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



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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  #2 (permalink)
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try it out in market replay and then post results...

similar?

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  #3 (permalink)
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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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  #4 (permalink)
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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.

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  #5 (permalink)
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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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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.

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  #7 (permalink)
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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.

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  #8 (permalink)
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This is dangerous!! Trading on something and not knowing why it works on the reverse. Good Luck!!

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  #9 (permalink)
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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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  #10 (permalink)
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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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  #11 (permalink)
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I think that has to do with fills. If price does not move past your bid or ask price, it will be somewhat random if you get filled. It seems to me that during replay, NT is too generous on those fills, vs when running live or live sim.

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  #12 (permalink)
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Eastly August update...I still plan to run this in Market Replay, just haven't gotten around to it yet, need to get more familiar with it and download some replay data from the downloads section.

I actually looked at this "accidental discovery" a little more and realized it was doing something much simpler. I have since re-coded it in a more simplified manner (it can be easily coded with the Strategy Wizard) and am getting similar results. I turned it on live with one contract but it would occasionally lose the connection to Zen and the strategy would stop running. So I'm working on moving it off of running on the desktop in my house and over to a server at my co-location site, hopefully reducing disconnection problems. Also, I'll need to separate my auto-trading acct with my discretionary trading acct so I can have 2 instances of NT connected to Zen at the same time so the automated strategy can run on one account without my discretionary trading interrupting it.

Does anybody know how to make your strategies recover from a disconnect? I know NT has something like a OnDisconnect() event you can implement but I'm not sure what to do to re-connect. I'll have to look into NT's forums I guess.

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  #13 (permalink)
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you'll need to work with your provider to allow more than one simultaneous login, dont forget that or it will disconnect a lot probably.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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Well, I finally went live with my first automated strategy today, made 2 winning trades on 6E, +22 ticks each. So far so good! More details are in my journal.

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  #15 (permalink)
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Nice start; keep us posted!

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  #16 (permalink)
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What's new on this?

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I've had it running for 1 month now. It's called BOT1. I log its trades in my trading journal. Success rate in reality is lower, but still profitable overall.

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  #18 (permalink)
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Big Mike View Post
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.

I use market orders on bar close. I recently started backtesting with 2 ticks of slippage in an effort to try to simulate real market scenarios and try to compensate for poor fills.

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  #19 (permalink)
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shodson View Post
I use market orders on bar close. I recently started backtesting with 2 ticks of slippage in an effort to try to simulate real market scenarios and try to compensate for poor fills.

is the market really moving this quickly on you (two ticks each way)? seems like a lot. ninja allows for using the bid and ask in strategies you might try that instead of market.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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It's not so much about market velocity, more about wide spreads, especially with forex futures (6E). I usually get worse market order fills on 6E than I do with more liquid instruments like ES. Spot forex often has even wider spreads, though I wouldn't know for sure. One person I was talking to was used to entering a FX trade 4 pips down (!) At any rate I want to handicap my strategies a bit to prevent too overly-optimistic backtesting results.

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  #21 (permalink)
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Yeah, I got one of those, too. A strategy that during the 09-09 /ES contract produced $15,553 in net profit with only $30 in draw-down and I actually achieved these numbers by optimizing for SQN -- no joke, here... Van Tharpe himself would be applauding -- which makes me wonder if I'm not sitting on a Holy Grail after all. Even throwing away the top 2 or 3 winning trades, the damn thing produces a 200%+ return on the capital tied-up for margin purposes, and that's for 6 months (or so). I'm still goofing with it, but it looks pretty darn promising. It's fully automatic -- no discretionary trades in there at all. It doesn't like to go short much, and it will sometimes let long stretches of time go by without seeing anything it likes at all -- literally, no trades for a period of weeks. I'll try and post a pic of the graph.

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AynRandFan View Post
Yeah, I got one of those, too. A strategy that during the 09-09 /ES contract produced $15,553 in net profit with only $30 in draw-down and I actually achieved these numbers by optimizing for SQN -- no joke, here... Van Tharpe himself would be applauding -- which makes me wonder if I'm not sitting on a Holy Grail after all. Even throwing away the top 2 or 3 winning trades, the damn thing produces a 200%+ return on the capital tied-up for margin purposes, and that's for 6 months (or so). I'm still goofing with it, but it looks pretty darn promising. It's fully automatic -- no discretionary trades in there at all. It doesn't like to go short much, and it will sometimes let long stretches of time go by without seeing anything it likes at all -- literally, no trades for a period of weeks. I'll try and post a pic of the graph.

Seeing your parameters I'm willing to bet it's curve fitted.

Run your optimization on half your data window and then run the optimized values on the 2nd half. If the results are bad then it's curve fitted. Even if the results are not good it doesn't mean it's not curve fitted. Finally walk it forward in real time.

But seeing all your parameters, 99.9% chance that it's curve fitted.

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  #23 (permalink)
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Yeah, back-testing it, the strategy actually is continually profitable with those bizarre parameters, but I have a personal rule about throwing away the single best trade from any back-test as an outlier. The 06-09 /ES contract looked liked the attached image: profitable by $2,100+, but notice that if you remove the single best trade, it's actually in the red. It does back-test well, profitable continuously, but when taking away that single best trade from each back-test, it's flattish in performance. Let's see if I can attach the 06-09 results image:

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  #24 (permalink)
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By the way, I don't have any problem with the concept of using optimized parameters as a rule -- I do happen to think the market is essentially chaotic in the sense that the human mind can not grasp the structures that exist within it -- and that an optimal strategy over time will probably end-up capturing some kind of deep, fluctuating rhythm in a variance across time, i.e., the actual parameters of whatever the optimal strategy actually is will be difficult for us to grasp -- the underlying mechanics of whatever rhythm is in there don't seem to be integratable to the human mind.

in exemplum: Observe that just as random traffic noise does actually have a beat -- an actual rhythm -- it's simply beyond our mind to identify that rhythm. A computer can identify a "rhythm" of 1,247 beats per measure, and 463 measures per bar, when processing an audio clip of random traffic noise -- but again, to the human ear, it's just random noise.

I hate speaking in metaphor, but the market is much the same. Patterns do seem to be there; they're just too deep for us to be able to actually identify them.

Anyhow, my basic point is that weird parameters by themselves don't necessarily force me to abandon a strategy.

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  #25 (permalink)
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AynRandFan View Post
Anyhow, my basic point is that weird parameters by themselves don't necessarily force me to abandon a strategy.

It's not just that you have weird parameters, you have lots of them.

If I can write a simple strategy that uses a moving average crossover having only two parameters, and it will have profitable results, then anything more complicated than that with more than 2 parameters can have profitable results too.

I haven't tried it (I intend to) but I've heard one could optimize a strategy based on temperature and other totally unrelated data and have a profitable strategy.

Like the idea that if league X wins the Super Bowl then the president will be from party Y. Patterns exist, especially during short periods of time, but that doesn't mean they are predictive.

Throwing out the best trade is good but you must know that optimizing will search to rule out all bad trades and include all good ones. It's a compromise between the two. That's all it does. And if all good days happen on a wed and all bad ones on a thursday (during the test period) it'd conclude to trade on wed and not thursday. But that doesn't mean those days have predictive power.

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  #26 (permalink)
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Actually the whole point of chaos theory is that chaotic systems, while they are complex and unpredictable in certain respects, they are also inherently deterministic and thus understandable and predictable in the large sense. What that means is that while you cannot predict the exact trajectory a chaotic system will take, if you understand its dynamics you can predict where it is headed on a larger scale and places it might stop along the way (think Gann techniques, Murrey Math lines).

Chaotic systems are also controllable in many cases. 20 years ago engineers though chaos was something to be avoided, too complex and unpredictable. But recent breakthroughs since the late 90's have led to new insights and understanding of chaotic behavior, we are now finding that chaos is natural and desirable in many cases. For example if you understand the chaotic dynamics of a mechanical system you can exert a very small perturbation to create a huge change in the system, whereas an equal change using standard techniques would have required much more energy exertion. Consider how a relatively weak earthquake in the ocean depths can create standing waves which join together with other waves to eventually create a monster tidal wave.

The reason I bolded inherently in the first paragraph is to emphasize the fact that the reason markets are chaotic is because their dynamics are inhereted from the people acting in them. People are inherently prone to chaotic behavior, after all chaos is the natural state of things in this universe. The fact that we attempt to impose order on everything is one of the great paradoxes of human existence IMO and a very interesting question from the standpoint of spirituality.

But back to trading, consider the example of how a small perturbation can create a larger change in a system. This is exactly how the 'stop hunt' technique the operators use works. Because people tend to think alike (and because they tend to use the same simple, linear systems) they tend to cluster orders at certain places in the limit order book. Ie they have the thought process, 'I think a reversal is impending but I want to sell if it breaks above the previous high', or there will be others who think 'If there is a breakout of this high I want to go long and ride this powerful trend' so many orders will be clustered in these areas.

Along comes an operator who understands this and has enough money to perturb the system by placing orders above the ask/below the bid (they grease the wheels with self-induced slippage). All they have to do is quickly move the price a little bit to set off a chain reaction of fear among the noise traders which causes some to close their positions further moving the price until it hits the large cluster of orders, which depending on the size of that cluster may set off another chain reaction, etc.. All the while the operators who originally took a loss in order to perturb the system are the ones on the other end of these transactions gobbling up short orders at a higher price or buy orders at a lower price, trapping the uninformed traders into bad positions.

That is just one example but pretty much all phenomena that occur in markets can be understood to some degree through the lens of chaos theory. Understanding chaos is extremely valuable because it allows you to know what kinds of market dynamics are likely to be predictable and what kinds are unlikely to be predictable. While it is helpful to understand the mathematics of chaos, there is much greater benefit in just understanding the general tendencies of chaotic systems.


AynRandFan View Post
By the way, I don't have any problem with the concept of using optimized parameters as a rule -- I do happen to think the market is essentially chaotic in the sense that the human mind can not grasp the structures that exist within it -- and that an optimal strategy over time will probably end-up capturing some kind of deep, fluctuating rhythm in a variance across time, i.e., the actual parameters of whatever the optimal strategy actually is will be difficult for us to grasp -- the underlying mechanics of whatever rhythm is in there don't seem to be integratable to the human mind.

in exemplum: Observe that just as random traffic noise does actually have a beat -- an actual rhythm -- it's simply beyond our mind to identify that rhythm. A computer can identify a "rhythm" of 1,247 beats per measure, and 463 measures per bar, when processing an audio clip of random traffic noise -- but again, to the human ear, it's just random noise.

I hate speaking in metaphor, but the market is much the same. Patterns do seem to be there; they're just too deep for us to be able to actually identify them.

Anyhow, my basic point is that weird parameters by themselves don't necessarily force me to abandon a strategy.


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  #27 (permalink)
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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

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  #28 (permalink)
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sefstrat View Post
Just to show you its possible..

Thanks Sefstrat

The results of your strategy are impressive - and for me it was final motivation to dive into wave(lets). And while it will take me "a while" to digest all the new information (books) I have few questions for you.

On your most recent charts you use morphological wavelets - is this what you use in the strategy you trade or do you base your strategy on some other signals.

Can you recommend any read on morphological wavelets and any other topic you recommend? I have already found some of your recommendations in other threads but well... never enough knowledge.

Also do you use multiple confirmation from various indicators or are you confident starting trade with just one of your indicators.

Which application of wavelets do you think is the most powerful for algorithmic trading: denoising, cycle extraction, extrapolation, change detection, pattern detection or other?

Thanks for your time

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  #29 (permalink)
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sefstrat View Post
I posted details about my MM system on another thread yesterday if you are interested..

Where's that post?

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  #30 (permalink)
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Morphological wavelets are a nonlinear variation on the standard Haar transform. In the strategy pictured the indicators you see are the only ones being used (actually the one in the middle is just a different representation of what is in the top pane, ie it is the wavelet detail coefficients related to the wavelet approximation or scaling coefficients which are plotted in the top pane)

In my real strategy I use an ensemble technique which is a neural network that takes many different signals based on different strategies I have developed and combines them to make a decision. Ie it takes the signals from this strategy and compares it with signals generated by other strategies based on a different indicator (most of which are based on wavelets). Each strategy gets a vote on what to do at this time (nothing, buy, sell, exit) and its vote is weighted based on how accurate its previous votes were.

All of that is quite complex and largely unnecessary at this point, I find that it only improves performance about 10-12% over using the most powerful individual sub-strategies alone. The performance gain used to be quite a bit higher (25-30%) before I started using wavelets, as you can see from the results above wavelets can isolate important features in the signal and allow you to easily filter them out so you really don't need anything else.

Feature extraction/pattern detection is definitely the most powerful aspect of wavelets for this application, in the past I would have added denoising to the list but the more I work with the nonlinear stuff I am finding that there is value in the noise =)

The morphological transform I am using is very similar to one called 'max lift' which is used in image processing for edge detection, I would advise against messing with the nonlinear stuff though until you understand the standard Haar transform. Haar transform is the only one which can easily be applied in real time so I wouldn't worry about the other basis functions like Daubechies, least asymmetric, etc..


gregid View Post
On your most recent charts you use morphological wavelets - is this what you use in the strategy you trade or do you base your strategy on some other signals.

Can you recommend any read on morphological wavelets and any other topic you recommend? I have already found some of your recommendations in other threads but well... never enough knowledge.

Also do you use multiple confirmation from various indicators or are you confident starting trade with just one of your indicators.

Which application of wavelets do you think is the most powerful for algorithmic trading: denoising, cycle extraction, extrapolation, change detection, pattern detection or other?

Thanks for your time


I think the post was titled 'more contracts == less risk'


shodson View Post
Where's that post?


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  #31 (permalink)
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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?

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  #32 (permalink)
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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..

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  #33 (permalink)
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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 ....

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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

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  #35 (permalink)
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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

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  #36 (permalink)
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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 .....

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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

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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.

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  #39 (permalink)
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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 ?

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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!

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cunparis View Post
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.

I code a second PeriodType of Range 1, and do all order management on that BarsArray, regardless of the size of the signal bar/period.

So it is tick-by-tick for my purpose, my own stuff doesn't use anything that would require being updated if price doesn't actually move a tick. And it's much more efficient to use Range 1 than Tick 1.

Mike

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  #42 (permalink)
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This is what I was talking about .....

And I can make the same for 400 trades...unfortunately too often back testing does not really help ....

What I do is to use a market replay of the exactly same day ( say the 18 th november) over and over and over

and each time I build a new strategy I test it on real historical time data to see what is good/improvable ...one can notice many many things .....and using the same day makes things easier ... but guys.... to many electronic player out there , and they can buy and sell in 800 micro seconds ( which I am sure it is faster than you)

That is why trend following becomes harder and harder ( at least on a small time frame) .....

I am sure everybody who trades noticed these V-shapes over and over .....

Attached Thumbnails
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gabga100 View Post
This is what I was talking about .....

...

What I do is to use a market replay of the exactly same day ( say the 18 th november) over and over and over

I'm not sure what you're trying to say here. I mean I got the part about testing with market replay. But your strategy has so many parameters that finding a combination to give great performance would not be difficult.

How does this walk forward? How does it work in real time trading?

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Big Mike View Post
I code a second PeriodType of Range 1, and do all order management on that BarsArray, regardless of the size of the signal bar/period.

So it is tick-by-tick for my purpose, my own stuff doesn't use anything that would require being updated if price doesn't actually move a tick. And it's much more efficient to use Range 1 than Tick 1.

Mike

Hey Mike I just wanted to say your idea is brilliant. A friend asked me to code up a simple strategy to test out an idea and so I used your idea. Previously I'd enter with stops but with ninja you can't bracket so that meant trading only one side. With your approach I don't use stops, I just enter at market when my price is hit. This way I can bracket, reverse, do whatever I want.

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Big Mike View Post
I code a second PeriodType of Range 1, and do all order management on that BarsArray, regardless of the size of the signal bar/period.

So it is tick-by-tick for my purpose, my own stuff doesn't use anything that would require being updated if price doesn't actually move a tick. And it's much more efficient to use Range 1 than Tick 1.

Mike

Mike, will you give some example code on this? I attempted to follow the example code on the NT forum but I could not get it to work correctly.

Thanks!

GT

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GreenTrade View Post
Mike, will you give some example code on this? I attempted to follow the example code on the NT forum but I could not get it to work correctly.

Thanks!

GT


I would be really interested in an example too .... not really fully getting it ...

Thank You

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  #47 (permalink)
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cunparis View Post
I'm not sure what you're trying to say here. I mean I got the part about testing with market replay. But your strategy has so many parameters that finding a combination to give great performance would not be difficult.

How does this walk forward? How does it work in real time trading?


Hey this strategy , is probably not good, I was simply illustrating that because of NT and backtesting flaws , 98 % of trades profitable in back test is quite feasible....

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  #48 (permalink)
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GreenTrade View Post
Mike, will you give some example code on this? I attempted to follow the example code on the NT forum but I could not get it to work correctly.

Thanks!

GT


gabga100 View Post
I would be really interested in an example too .... not really fully getting it ...

Thank You

Briefly, from memory (am on laptop, no ninja here):

 
Code
                            
#init
Add(PeriodType.Range1); // bars array 1

#onbarupdate

if (BarsInProgress == 0)
{
// do your stuff

// go long
EnterLong(1DefaultQuantity"long " CurrentBar);

}

if (
BarsInProgress == 1)
{
// put order management here

Basically two things here --- the EnterLong statement is forcing the order to be placed on BarsArray 1, which is 1 tick of movement (Range 1).

Second, put your order management code (ie: trailing stop, whatever) inside the BarsInProgress == 1 section so it is called every 1 tick of movement as well.

Anything more complex than that, I am sorry to say I cannot show you code right now.

Mike

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  #49 (permalink)
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Hi Shodson

Would you mind sharing your chart and indicator set up

Thanking you
Sharmas

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gabga100 View Post
Hey this strategy , is probably not good, I was simply illustrating that because of NT and backtesting flaws , 98 % of trades profitable in back test is quite feasible....

This is VERY old news.

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  #51 (permalink)
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sharmas View Post
Hi Shodson

Would you mind sharing your chart and indicator set up

Thanking you
Sharmas

I started this thread so long ago i can't even remember what the strategy did. I must have thrown it out because it was curve fitted or something. Sorry. Maybe this thread should be closed.

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  #52 (permalink)
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Hi:

I'm quite new with Ninja and few days ago was excited with my "MakeMeMillions" strategy. backtested was 99% profitable (I was going to make 3.000 USD with 1 ES contract in 1 year ;-)), so I start looking for coding flawns, etc until I discovered the OHLC problem in backtesting.

So... I can't rely on the parameters or anything calculated by the backtest / optimization in Ninja, as you can't trust the results.

BUT: In Ninja 7.0 twhen you open a strategy inside a chart, there's a parameter called "Calculate on bar close". If set to false is supposed to calculate in every tick.

I set it up to false but could see no difference whatsoever, the results are exactly the same (on bar close vs incoming tick). Is this parameter only used for real data ticks, or also used backwards?

Is there any way to overcome this problem?

I'm even thinking to change the platform (Sierra or any other doing reliable intra-bar backtest / optimization)...

THANKS!
PakRicard

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  #53 (permalink)
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pakricard View Post
Hi:
BUT: In Ninja 7.0 twhen you open a strategy inside a chart, there's a parameter called "Calculate on bar close". If set to false is supposed to calculate in every tick.

I set it up to false but could see no difference whatsoever, the results are exactly the same (on bar close vs incoming tick). Is this parameter only used for real data ticks, or also used backwards?
THANKS!
PakRicard

COBC=false in backtesting has no effect on outcome because it is defaulted to use COBC=true, regardless on your settings.

Sorry!
Jon

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pakricard View Post
Hi:

I'm quite new with Ninja and few days ago was excited with my "MakeMeMillions" strategy. backtested was 99% profitable (I was going to make 3.000 USD with 1 ES contract in 1 year ;-)), so I start looking for coding flawns, etc until I discovered the OHLC problem in backtesting.

So... I can't rely on the parameters or anything calculated by the backtest / optimization in Ninja, as you can't trust the results.

BUT: In Ninja 7.0 twhen you open a strategy inside a chart, there's a parameter called "Calculate on bar close". If set to false is supposed to calculate in every tick.

I set it up to false but could see no difference whatsoever, the results are exactly the same (on bar close vs incoming tick). Is this parameter only used for real data ticks, or also used backwards?

Is there any way to overcome this problem?

I'm even thinking to change the platform (Sierra or any other doing reliable intra-bar backtest / optimization)...

THANKS!
PakRicard


Also, about changing platform you can view the Big Mike's video about Multicharts vs Ninjatrader on backtesting (IMO, MC is much more functional than NT) Big Mike's Trading Blog: MultiCharts vs. NinjaTrader backtesting and optimizing strategy

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  #55 (permalink)
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pakricard View Post
Hi:

I'm quite new with Ninja and few days ago was excited with my "MakeMeMillions" strategy. backtested was 99% profitable (I was going to make 3.000 USD with 1 ES contract in 1 year ;-)), so I start looking for coding flawns, etc until I discovered the OHLC problem in backtesting.

So... I can't rely on the parameters or anything calculated by the backtest / optimization in Ninja, as you can't trust the results.

BUT: In Ninja 7.0 twhen you open a strategy inside a chart, there's a parameter called "Calculate on bar close". If set to false is supposed to calculate in every tick.

I set it up to false but could see no difference whatsoever, the results are exactly the same (on bar close vs incoming tick). Is this parameter only used for real data ticks, or also used backwards?

Is there any way to overcome this problem?

I'm even thinking to change the platform (Sierra or any other doing reliable intra-bar backtest / optimization)...

THANKS!
PakRicard


Ninjatrader is never going to give you backtesting results you can trust. Multicharts may be somewhat better, but I've come to the conclusion that the only way for me to get really reliable backesting is to write my own backtester (or pay a programmer to write it) to work directly with the data, which doesn't depend on the data-handling capabilities of any retail platform.

But since you've already got the strategy coded in ninja, you could try running it in replay mode, which should be much closer to reality than ninja's backtesting.

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GoldStandard View Post
Ninjatrader is never going to give you backtesting results you can trust. Multicharts may be somewhat better, but I've come to the conclusion that the only way for me to get really reliable backesting is to write my own backtester (or pay a programmer to write it) to work directly with the data, which doesn't depend on the data-handling capabilities of any retail platform. .

Best to test with historical tick data at the Bid and Ask level if you're using Limit orders in your strategy. For time based bars, it aamy not be important fo that level of granularity.

I'm surprised there aren't vendors who have collected Bid/Ask level tick data sell it.

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  #57 (permalink)
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redratsal View Post
Also, about changing platform you can view the Big Mike's video about Multicharts vs Ninjatrader on backtesting (IMO, MC is much more functional than NT) Big Mike's Trading Blog: MultiCharts vs. NinjaTrader backtesting and optimizing strategy

I'll take a look at Multicharts. Is Sierra performimg OK on backtesting? My strategy is scalping 2 ticks, so most probably it opens and closes the position at the same bar. Besides this issue NT was great, but now NT is worth zero to me...


I'm not lazy learning another language or rewritting strategies , but I want to be sure backtest is as good as possible (at least close to reality or worst case scenario, not best case)...

Thanks,
PakRicard

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pakricard View Post
I'll take a look at Multicharts. Is Sierra performimg OK on backtesting? My strategy is scalping 2 ticks, so most probably it opens and closes the position at the same bar. Besides this issue NT was great, but now NT is worth zero to me...


I'm not lazy learning another language or rewritting strategies , but I want to be sure backtest is as good as possible (at least close to reality or worst case scenario, not best case)...

Thanks,
PakRicard

Hi Pakricard,

Thks for your feedbacks.

I don't know much about Sierra, I use NT. Using a tick stratagy will not help changing to MC since the magnifier is a minute function. When it comes to backtesting it is difficult to compare platforms, some might have more functions than others but generally I do not trust backtesting results. It might be a starting point to check the profitability of a strategy through BT but the best way is to test it in replay or live sim trade and compare the results with your BT, in my case this means that I go live with real money after many months and with a money management strategy.

Concerning learning another language, the MC easylanguage is much simpler and faster than NT as shown in the mentioned video.

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pakricard View Post
Hi:

I'm quite new with Ninja and few days ago was excited with my "MakeMeMillions" strategy. backtested was 99% profitable (I was going to make 3.000 USD with 1 ES contract in 1 year ;-)), so I start looking for coding flawns, etc until I discovered the OHLC problem in backtesting.

So... I can't rely on the parameters or anything calculated by the backtest / optimization in Ninja, as you can't trust the results.

BUT: In Ninja 7.0 twhen you open a strategy inside a chart, there's a parameter called "Calculate on bar close". If set to false is supposed to calculate in every tick.

I set it up to false but could see no difference whatsoever, the results are exactly the same (on bar close vs incoming tick). Is this parameter only used for real data ticks, or also used backwards?

Is there any way to overcome this problem?

I'm even thinking to change the platform (Sierra or any other doing reliable intra-bar backtest / optimization)...

THANKS!
PakRicard

There is, but it makes your coding more complicated: you have to add a 2nd timeframe in your strategy, like a 1 tick bar, so you can analyze each tick as it comes in. But now you have to deal with the complexities of a multi-time frame strategy.

I know Metatrader can back test tick by tick built-in, without having to change your code. That would be a nice improvement if NT did something similar, built-in.

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shodson View Post
There is, but it makes your coding more complicated: you have to add a 2nd timeframe in your strategy, like a 1 tick bar, so you can analyze each tick as it comes in. But now you have to deal with the complexities of a multi-time frame strategy.

I know Metatrader can back test tick by tick built-in, without having to change your code. That would be a nice improvement if NT did something similar, built-in.

Crap! Now I have to go back and retest every strategy I ever wrote on Ninja with a multi bar series. Who knows? I may have scrapped a couple of million dollar a year strategies ! But seriously people, it's 2011, how hard could it be to write a tick based backtester? Am I missing something here? We need to force the issue with our vendors. I say we boycott all of them!

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But only one option: to check all the results of trading strategies for real money (micro lots). Everything else is very often leads to loss of money.

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monpere View Post
Crap! Now I have to go back and retest every strategy I ever wrote on Ninja with a multi bar series. Who knows? I may have scrapped a couple of million dollar a year strategies ! But seriously people, it's 2011, how hard could it be to write a tick based backtester? Am I missing something here? We need to force the issue with our vendors. I say we boycott all of them!

Can't speak to why NT is unable to do this, but MultiCharts does it fine. You simply click a button and it will use "bar magnifier" (tick data) on non-tick data series to give you accurate OHLC. The other nice thing is it automatically assumes the worst OHLC order, whereas it seems to me that NT assumes the best. Even if NT would just assume the worst it would be a huge improvement in the "don't get your hopes up" department, but obviously the best choice would be a bar magnifier type feature.

But seriously, if NT does what you need - stick with it. If it doesn't, just switch. There are good alternatives. No need to beat yourself up.

Mike

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Big Mike View Post
Can't speak to why NT is unable to do this, but MultiCharts does it fine. You simply click a button and it will use "bar magnifier" (tick data) on non-tick data series to give you accurate OHLC. The other nice thing is it automatically assumes the worst OHLC order, whereas it seems to me that NT assumes the best. Even if NT would just assume the worst it would be a huge improvement in the "don't get your hopes up" department, but obviously the best choice would be a bar magnifier type feature.

But seriously, if NT does what you need - stick with it. If it doesn't, just switch. There are good alternatives. No need to beat yourself up.

Mike

Well, they have Historical Fill Processing you can toggle between 'Default' and 'Liberal', It should be very easy to implement that similar toggle best/worst processing for OHLC order, at the very least. Probably 10 lines of code, including comment lines .

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monpere View Post
Well, they have Historical Fill Processing you can toggle between 'Default' and 'Liberal', It should be very easy to implement that similar toggle best/worst processing for OHLC order, at the very least. Probably 10 lines of code, including comment lines .

Hi: I think most of us will be really happy if you could share with us these 10 lines of code ;-)

Thanks,
Pak

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Before giving up on NT and its ability to use worst case scenario doing backtesting, I followed the instructions at http://ww25.ninjatrader-support.com/HelpGuideV6/helpguide.html?FillTypes&subid1=20210306-2028-16e9-a63c-a2d7ccf9dd4d and created a WorstCaseFillType.cs

The problem I'm facing now is ignorance

I'm trying to understand how it should work but I'm getting lost. maybe someone with more neurons (or with better connexions) is able to show some light.

Question:
NextLow, NextHigh, etc variables, where are they filled? What do they REALLY mean with "Next"?

let's suppose an order is filled at bar X (can be controlled by CurrentBar)
Now Target and Stop Loss (OCO) are on the market (state == working).

If Target (or StopLoss) price is reached, will be filled on the same bar X if and only if it "follows the colour of the bar".
IF bar X is red and we are processing a long order, we will not fill the target, but will fill the stopLoss
IF bar X is red and we are processing a short order, we will not fill the stopLoss, but will fill the Target
IF bar X is green and we are processing a short order, we will not fill the target, but will fill the stopLoss
IF bar X is gree and we are processing a long order, we will not fill the stopLoss, but will fill the Target

Can I get the "red" and "green" values from Strategy.Open[0] and Strategy.Close[0]?

Does it makes any sense?

Any help will be highly appreciated

Pak

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Register to download File Type: cs WorstCaseFillType.cs (4.5 KB, 95 views)
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Quoting 
Before giving up on NT and its ability to use worst case scenario

Why don't you instead use tick granularity?

Baruch

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baruchs View Post
Why don't you instead use tick granularity?

Baruch

Hi Baruch:

I think it's also a good idea before changing platform ;-)

BTW, do you know any link where I could see a good, simple example of multitime frame, so I can use tick granularity?

Thanks,
pak

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Hi Pak,
You can search in NT forum.
But its easy:
1. In Initialize - Add new time frame
2. In OnBarUpdate - now ninja runs twice through it. Once on BarsInProgress == 0 and once on BaesInProgress == 1.
Just put the code in the right place.
Like entries in "0" and stop and profit in "1".

Baruch
p.s.
You do it with EnterLong(0, true.....)
or EnterLong(1, true.....)

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baruchs View Post
Hi Pak,
You can search in NT forum.
But its easy:
1. In Initialize - Add new time frame
2. In OnBarUpdate - now ninja runs twice through it. Once on BarsInProgress == 0 and once on BaesInProgress == 1.
Just put the code in the right place.
Like entries in "0" and stop and profit in "1".

Baruch
p.s.
You do it with EnterLong(0, true.....)
or EnterLong(1, true.....)

EnterLong() has a BarsInProgress parameter, but SetStopLoss() and SetProfitTarget() do not. So, do you have to do the following?

EnterLong(1,...);
if ( BarsInProgress == 1 ) {
...SetStopLoss();
...SetProfitTarget();
}

or do I have to code the stop/target logic myself like:

EnterLong(1,...);
if ( BarsInProgress == 1 ) {
...if ( Close[0] == myStopPrice ) {...}
...if ( Close[0] == myTargetPrice ) {...}
}

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Quoting 
EnterLong() has a BarsInProgress parameter, but SetStopLoss() and SetProfitTarget() do not. So, do you have to do the following?

I never use SetStopLoss() and SetProfitTarget(). Don't understand what they are good for.
I use Exit...
Baruch

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monpere View Post
EnterLong() has a BarsInProgress parameter, but SetStopLoss() and SetProfitTarget() do not. So, do you have to do the following?

EnterLong(1,...);
if ( BarsInProgress == 1 ) {
...SetStopLoss();
...SetProfitTarget();
}

or do I have to code the stop/target logic myself like:

EnterLong(1,...);
if ( BarsInProgress == 1 ) {
...if ( Close[0] == myStopPrice ) {...}
...if ( Close[0] == myTargetPrice ) {...}
}


baruchs View Post
I never use SetStopLoss() and SetProfitTarget(). Don't understand what they are good for.
I use Exit...
Baruch

Ok, I see these have BarsInProgress param. Are you saying I should just use the following in the BarsInProgress==0 pass?:

{
...
EnterLong(1,...);
ExitLongLimit(1,...);
ExitLongStop(1,...);
...
}

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Yes, you can use them in BarsInProcess==0 or if you need to recalculate them on a smaller time series then use them in BarsInProcess==1.

baruch

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baruchs View Post
Yes, you can use them in BarsInProcess==0 or if you need to recalculate them on a smaller time series then use them in BarsInProcess==1.

baruch

Do you guys use the BarsInProgress == 1 logic only for back tests, and have different code for live market? or do you use it both for backtests and also running the strategy with current market? In other words, do I need to separate that logic with "if (Historical){...Backtest logic...} else {...Live Market logic...}" ?

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baruchs View Post
Hi Pak,
You can search in NT forum.
But its easy:
1. In Initialize - Add new time frame
2. In OnBarUpdate - now ninja runs twice through it. Once on BarsInProgress == 0 and once on BaesInProgress == 1.
Just put the code in the right place.
Like entries in "0" and stop and profit in "1".

Baruch
p.s.
You do it with EnterLong(0, true.....)
or EnterLong(1, true.....)

Hi Baruch:
I enter with:
SetStopLoss(myName, CalculationMode.Price, PriceStopLoss, false);
SetProfitTarget(myname, CalculationMode.Price, PriceTarget);
CodeOrder = EnterLongLimit(0,true,1,PriceIn,myname);



baruchs View Post
I never use SetStopLoss() and SetProfitTarget(). Don't understand what they are good for.
I use Exit...
Baruch

I think the main advantage is they are place at the market at the same time the Enter does. So if a Internet disconnection occurs, or my computer gets stuck or... the orders are alive at the market.
What would happen if you execute the EnterLongand internet gets desconnected just before the stoploss should be executed with Exit?

Thanks,
Pak

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Quoting 
I think the main advantage is they are place at the market at the same time the Enter does. So if a Internet disconnection occurs, or my computer gets stuck or... the orders are alive at the market.
What would happen if you execute the EnterLongand internet gets desconnected just before the stoploss should be executed with Exit?

Hi Pak,
I enter the stop and profit orders immediately after the entry is executed. The advantage of using them with IOrder is that you can change the price whenever you like. So the stoploss you move to breakeven and to trailing stop and the profit you can move also if you need. Also they are put in the right place. That means that if you entered the trade at different price because of slippage you place the stop and profit target at correct places.

Baruch

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baruchs View Post
Hi Pak,
I enter the stop and profit orders immediately after the entry is executed. The advantage of using them with IOrder is that you can change the price whenever you like. So the stoploss you move to breakeven and to trailing stop and the profit you can move also if you need. Also they are put in the right place. That means that if you entered the trade at different price because of slippage you place the stop and profit target at correct places.

Baruch

I think you can move your stop loss with SetStopLoss()

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baruchs View Post
Hi Pak,
I enter the stop and profit orders immediately after the entry is executed. The advantage of using them with IOrder is that you can change the price whenever you like. So the stoploss you move to breakeven and to trailing stop and the profit you can move also if you need. Also they are put in the right place. That means that if you entered the trade at different price because of slippage you place the stop and profit target at correct places.

Baruch

Hi Baruch:

Thanks for your clarification. I'll test it straight away ;-)
it's just great to learn from people with more experience willing to share it!

Pak

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  #78 (permalink)
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Hi: did some tests with MultiTimeFrame in Ninja and worled out OK. Pls check for details.

Obviosly, the 99% winning trades went way lower :-( but now it's more realistic

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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


Is the morphological wavelet displayed in the images available?

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Thanks to everyone who contributed to this thread for your posts. I learned a lot just from reading them.

Has anyone pushed the issues with backtesting in NT for their next release? If not, please post your wish (a one liner if possible) that I can then compile into a master list and send it of to our friends at NT, and see if they can put our ideas into release 8.

If someone has done this already, please let me know.

Good Trading everyone.

J.

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illumination View Post
Thanks to everyone who contributed to this thread for your posts. I learned a lot just from reading them.

Has anyone pushed the issues with backtesting in NT for their next release? If not, please post your wish (a one liner if possible) that I can then compile into a master list and send it of to our friends at NT, and see if they can put our ideas into release 8.

If someone has done this already, please let me know.

Good Trading everyone.

J.

The best place for this is probably the existing NT8 wishlist thread here:

Diversification is the only free lunch
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Is it possible to program NT to trade the opposite direction intended by my strategy? My strategy loses a lot of money (more than enough to cover two ticks of spread necessary to overcome the bid/ask on entry and exit). In MT4 forex, it is very easy to implement trading in opposite direction of the strategy. How about NT?

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There's nothing built into NT7 that does this that I know of. I often build a "BizarroMode" flag (true/false) which allows me to enter long when it signals short and enter short when it signals long during my testing, also, my stops become my targets and my targets become my stops.

Often, if I can find a strat that performs just miserably I'll look to see if it will be more profitable in bizarro-mode.





joaobucks View Post
Is it possible to program NT to trade the opposite direction intended by my strategy? My strategy loses a lot of money (more than enough to cover two ticks of spread necessary to overcome the bid/ask on entry and exit). In MT4 forex, it is very easy to implement trading in opposite direction of the strategy. How about NT?


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How do you choose either going long or short an instrument in strategy wizard
I was wanting to know how to use your user defined inputs to only going long or short a strategy, but don't know how i know the pricebreakout strategy does this and was wanting to do it with my own. If you can help and i compile this succesfully ill post this in the strategy forum download section?


Also one last question, if anyone can answer this for me, under condition set 1 i have all my indications to go long and same as going short in set 2 in the strategy wizard. If one of the paremeters or indicators are not bullish anymore like the MACD or ADX, does that mean it will automatically cancel me out of the trade?


I look forward to your response, im 90% done this strategy, just need to add the going long or short function, and possibly chancing the buying and selling parameters if the set 1 and 2 conditions are not aligning together properly.


Thanks for you time and consideration,

Kind Regards,

Cameron

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the coin hunter
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@philipps check out this thread before you decide to go with George Costanza strategy.

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sefstrat View Post
Just to show you its possible..


(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))

@sefstrat,

if i happen to ask you one question,that`d be HOW?How to avoid outliers in automation?

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shodson View Post
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



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




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



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.


can you sent me your website or anything else about your products

nicholasnow@gmail.com

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nich2000 View Post
can you sent me your website or anything else about your products

nicholasnow@gmail.com

You know that the post you quoted is from 2009, right? You know that this thread has been inactive since 2015, until your post, right? And before that there was no activity since 2013. It's about as dead as a door nail.

I hate to be he bearer of this news, but this is not the system that is going to make you, or anyone, rich.

A long-time user was reporting, almost 11 years ago, about something he thought at the time was an exciting discovery. You can read the rest of the thread to see how it all turned out.

This was not a product being offered for sale.

Forum rules don't permit any sort of commercial transactions anyway, and we work hard to keep it that way. Please don't use this forum to shop for trading systems. It's not the place to look for them.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
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  #89 (permalink)
OC, California, USA
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
 
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bobwest View Post
You know that the post you quoted is from 2009, right? You know that this thread has been inactive since 2015, until your post, right? And before that there was no activity since 2013. It's about as dead as a door nail.

I hate to be he bearer of this news, but this is not the system that is going to make you, or anyone, rich.

A long-time user was reporting, almost 11 years ago, about something he thought at the time was an exciting discovery. You can read the rest of the thread to see how it all turned out.

This was not a product being offered for sale.

Forum rules don't permit any sort of commercial transactions anyway, and we work hard to keep it that way. Please don't use this forum to shop for trading systems. It's not the place to look for them.

Bob.

@nich2000,

Come to my private island off the coast of Brazil (before I sell it) and I can show you how to trade this system in-person. If you're not dedicated enough to make the journey, then you're not ready to make the additional sacrifices necessary to achieve this same amount of wealth.

https://www.privateislandsonline.com/south-america/brazil/praia-do-algodao

j/k

Honestly though, yeah that post was really old, and I don't even remember how it worked, but I think after additional testing I realized it was a dud. I was pretty new at strategy development at the time so I didn't always know how to test systems properly back then.

You're welcome to check out my website, reviewed here in FIO:

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  #90 (permalink)
oxnard usa
 
Experience: Intermediate
Platform: ninja trader
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shodson View Post
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



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




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



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.


bobwest View Post
You know that the post you quoted is from 2009, right? You know that this thread has been inactive since 2015, until your post, right? And before that there was no activity since 2013. It's about as dead as a door nail.

I hate to be he bearer of this news, but this is not the system that is going to make you, or anyone, rich.

A long-time user was reporting, almost 11 years ago, about something he thought at the time was an exciting discovery. You can read the rest of the thread to see how it all turned out.

This was not a product being offered for sale.

Forum rules don't permit any sort of commercial transactions anyway, and we work hard to keep it that way. Please don't use this forum to shop for trading systems. It's not the place to look for them.

Bob.


i saw that bit i thought it might be some kind of help if it was not dead. thanks a million

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  #91 (permalink)
Tbilisi, Georgia
 
 
Posts: 5 since Nov 2019
Thanks: 0 given, 2 received


shodson View Post
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”

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

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

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

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.

I'm happy for you.
Share some more details and results with us.

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  #92 (permalink)
OC, California, USA
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
 
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eliottchang View Post
I'm happy for you.
Share some more details and results with us.


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  #93 (permalink)
Site Moderator
Sarasota FL
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES, YM
 
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eliottchang View Post
I'm happy for you.
Share some more details and results with us.

@eliottchang, this is an 11-year old thread that went nowhere.

If you read the last couple of posts you will see that there was nothing to it.

There is no winning system here. Just forget about it. Let it go back to sleep now.

Bob.

When one door closes, another opens.
-- Cervantes, Don Quixote
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