All Strategies at loss before June 2016 but profitable after in NT Backtests - NinjaTrader | futures io social day trading
futures io futures trading


Notices

All Strategies at loss before June 2016 but profitable after in NT Backtests
Updated: Views / Replies:438 / 6
Created: by TravelingSalesmen Attachments:0

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 100,000 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
 
Thread Tools Search this Thread
 

All Strategies at loss before June 2016 but profitable after in NT Backtests

  #1 (permalink)
Trading Apprentice
Tucson arizona
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: M6E
 
Posts: 18 since Jun 2018
Thanks: 4 given, 4 received

All Strategies at loss before June 2016 but profitable after in NT Backtests

Hey guys,

Glad to say this is my first post up on Futures.io.

of course being my first post i ran into an issue that i thought some smart dudes from here could help me out with

i dont know if anyone else has ever ran into this or not but if you have any insight would be helpful.

Ive noticed that on ninjatrader's strategy analyser (donno bout other platforms) any script (given its a profitable one) i test from 06/2016 to current date seems to be profitable. but if i test it before 06/2016 it is almost always a straight failure. this happens on any script i test on futures and i dont know why. what is so special about the 06/2016 date...

somethings to keep in mind is that the scripts and codes i use all use bid ask prices for entrys and exits so buys are filled in at ask sells are at bid. i hard coded these in for proper backtesting. what i noticed is that without this hard code the above problem doesnt seem to happen.

so that lead me to look at spreads and sure enough the spread before 06/2016 was on avg 2x what it was after that date. however i have a hard time believing that is the cause of the drastic change in the equity curve.

does anybody know why this happens? and what i steps i should take.


thanks,
Mo

Reply With Quote
 
  #2 (permalink)
Elite Member
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 341 since Jan 2015
Thanks: 61 given, 721 received

Interesting post... It sounds like you have solved it yourself mostly. If you observe this behavior using market orders generically, but when you specify buy ask, sell bid the issue goes away, then I think the spread, or the spread calculation logic in NT is the issue.

As far as next steps.... The strategy analyzer in NT is not that accurate. If you want to test something to see if it is profitable you should use their market replay. Here is kind of my general take on the use cases of the various testing tools NT has.

1. Strategy Analyzer: Good for market order based strategies with small spreads if you make slippage assumptions that are reasonable. This should never be used for limit order based strategies. Why? The SA tool doesn't have the same level of granularity as market replay.

2. Market Replay: This uses level 2 data to estimate your place in the queue and fills. So you can use limit orders with this strategy. But be aware of the following:
A: They assume 0 latency for execution speeds. Your order will hit the exchange immediately.
B: There queue tracking logic is more conservative than the real market. You can check their APQ code if you want to see how they estimate it. See for yourself..
C: Their level 2 and level 1 data feeds have some synchronization issues, so some of the fills you might get could be off on the timing.

Live SIM: Everything about market replay is the same except they have an execution time of around 125 ms for every order. If you are faster in real trading via co-locating, this will understate your speeds considerably. But most retail traders will be around this.

So try market replay, or live sim next IMO.

Ian

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
Reply With Quote
The following user says Thank You to iantg for this post:
 
  #3 (permalink)
Trading Apprentice
Tucson arizona
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: M6E
 
Posts: 18 since Jun 2018
Thanks: 4 given, 4 received


hmmm ya i think you might be right about me answering my own question about the spread being the issue. I am just finding it hard to believe that 1 or 2 ticks is causing such a drastic change. though i know 1 tick in trading can mean life or death... basically what i am thinking is if 1 or 2 ticks of spread effects the strategy so much then maybe it might not be such a good script at all.

and yes this happens on Market orders

however i should have added that this particular pattern i noticed is in the M6E and 6E. so i went to the EURUSD and tried on there as well same thing seems to happen. i think it has something to do with a change in the EURUSD in 2016 but i dont know what.

Yup im with you there on the market replay step already tried it on months and months of data.


so i got a question for you. why dont you think that NT's SA is good enough for Limit order based scripts? because i was going to go in that direction for tweaking my script. you say granularity but what about in scripts where i add tick data for bid and ask as the one i mention? or even adding tick data with SA tick resolution? you think this is still not good enough?

Reply With Quote
The following user says Thank You to TravelingSalesmen for this post:
 
  #4 (permalink)
Elite Member
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 341 since Jan 2015
Thanks: 61 given, 721 received

The issue with the SA will not be resolved by using a 1 tick time series. That approach can get you the correct price at a granular enough level, so if you get filled you would get filled on the right bid / ask price.... however the issue is whether or not you would have gotten filled in the first place. The SA does not run the level 2 volumes and sequence your position in the queue, so your fills on limit orders will be determined from the historical fill type algorithm to approximate your fills.

By Contrast the market replay and Live SIM actually marks your estimated place in the queue and then only fills your limit orders when and if the level 2 volume trades beyond your place in the queue. Here is an example.

You enter a buy bid at 2000 and at the time you submit your order the volumes look like this:

Bid Price = 2000
Bid Volume = 400
Ask Price = 2000.25
Ask Volume = 100

Moments later, the price moves up because the entire Ask queue of 100 contracts were filled before the 400 bid contracts got filled. So the question in this scenario is how many of the 400 people in line in the bid queue got filled before the 100 people in the ask queue got filled or canceled and this side broke?

In the real market, only 10%, 25% of the 400 in the bid queue might have gotten filled. The Market replay / Live SIM will attempt to simulate this using queue tracking logic. The SA by contrast just has a very simple algo to predict fills so it will not be as accurate.

In my experience the SA will overstate profitability with respect to limit order based strategies, Market Replay is more conservative but it too assumes 0 latency.... moving into live SIM you hit 150 MS execution speeds which for some depending on their strategy will be vastly different from market replay.

As long as you are aware of the mechanics of each, they all have their uses, and NT does a fair job, but handling limit orders is tricky for any testing tool.

I have actually spend a lot of time picking apart the mechanics of NT's testing tools and extracting the raw data my self and building my own assumption based models. For my use case 150 MS is too high, and 0 latency for obvious reasons is not a good assumption either for execution speeds.


Hope this helps.

Ian



TravelingSalesmen View Post
hmmm

so i got a question for you. why dont you think that NT's SA is good enough for Limit order based scripts? because i was going to go in that direction for tweaking my script. you say granularity but what about in scripts where i add tick data for bid and ask as the one i mention? or even adding tick data with SA tick resolution? you think this is still not good enough?


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
Reply With Quote
The following 3 users say Thank You to iantg for this post:
 
  #5 (permalink)
Trading Apprentice
Tucson arizona
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: M6E
 
Posts: 18 since Jun 2018
Thanks: 4 given, 4 received

ok i see what you are saying now. i understood that you ment the price bar granularity but latency and actually fills are the issue that physically can not be replicated in SA. cool cool i get it. i tended to stay away from limits for that exact reason in the beginning. turns out its much more of a pain in the butt than i thought.

so going back to the M6E (eurusd) in june of 2016 having a change of heart, do you know anything that might have caused the implied spread change? still can't pin point it, or have you ran into this issue yourself at all?

Reply With Quote
 
  #6 (permalink)
Elite Member
Houston, TX
 
Futures Experience: Intermediate
Platform: NinjaTrader 7
Favorite Futures: NQ
 
Posts: 91 since Apr 2016
Thanks: 120 given, 87 received

Have you looked at the price chart and/or individual trades to see if your entry/exit logic is being executed consistently?

Perhaps your historical data is different before/after that certain date?

If everything is working correctly, it could simply be that market conditions changed on 6/16.

Reply With Quote
 
  #7 (permalink)
Trading Apprentice
Tucson arizona
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: M6E
 
Posts: 18 since Jun 2018
Thanks: 4 given, 4 received


ShatteredX View Post
Have you looked at the price chart and/or individual trades to see if your entry/exit logic is being executed consistently?

Perhaps your historical data is different before/after that certain date?

If everything is working correctly, it could simply be that market conditions changed on 6/16.

yup i double checked all logic a lot. and its not new either so i know its working properly. i also tried deleting all the hist data and redownloading it from nt servers still no change.

so ya i guess it was just the market. but thats very werid that it happens like that.

Reply With Quote

Reply



futures io > > > > All Strategies at loss before June 2016 but profitable after in NT Backtests

Thread Tools Search this Thread
Search this Thread:

Advanced Search



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

How to use the Footprint Tool to Execute Trades w/Brannigan Barrett

Elite only
 

Ask Me Anything (Brokers & Platforms) w/Ilan Levy Mayer @ Cannon Trading

Dec 13
 

Battlestations! Show us your trading desks w/GFF Brokers ($750 in Prizes)

January
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Webinar: Programming Profitable NinjaTrader 8 Strategies w/Scott Hodson Big Mike Elite Automated NinjaTrader Trading 20 June 13th, 2018 09:38 PM
Stop loss movement when trades become profitable nb10071981 Emini Index Futures Trading 3 December 5th, 2017 01:14 PM
the best broker for NT in 2016 zlobek Reviews of Brokers and Data Feeds 4 February 18th, 2016 03:50 PM
Most Robust and Profitable Trading Strategies? fiverr Traders Hideout 22 October 19th, 2015 04:54 PM


Tags
backtest, backtesting, bid and ask, bid ask, code, data, equity curve, eurusd, fill type, futures, historical data, latency, level 2, limit order, limit orders, live sim, market replay, market_replay, ninjatrader, patterns, profitable, replay, sim, sim_trading, slippage, spread, spreads, strategies, strategy, strategy analyser, tick data, time series, trading, type

All times are GMT -4. The time now is 04:29 PM. (this page content is cached, log in for real-time version)

Copyright © 2018 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 2018-12-09 in 0.14 seconds with 28 queries on phoenix