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ES strategy - looking for feedback


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ES strategy - looking for feedback

  #31 (permalink)
0ilTrader
Washington D.C. + District Of Columbia USA
 
Posts: 18 since Aug 2020
Thanks Given: 7
Thanks Received: 5


kanepa View Post
Sounds like you are making good progress. Stay with it and wish you luck on real trading. And here is my feedback/suggestions.

You can control entry and exit by limit orders for back test. If you disable fill on touch, market has to move 1 tick more to get you in and out. This should be taken seriously because 1 tick for 1000 trades equals $12,500.00 in real dollar amount.

Have you look at every single trades? Take your time looking at them. One by one. It will help you understand your system better. And by doing that, your chances of giving in to emotions gets reduced.

Yeah..and commissions. Need to be in.

This one is an optional but it would be beneficial if you can answer to why is your trading system profitable?

Good luck.

Sent using the NexusFi mobile app


Thank you.

The results that you're seeing are based on:
  • 'onBarClose'
  • Market Order
  • Fill limit orders on touch is disabled / not in use.

I'm struggling with the onPriceChange the plot that i'm basing some of my entries on can repaint until the bar closes. There are a few other components I'd like to test, yet I'm struggling with for example

-Exit a trade if unrealized loss is over ~$xxx or x number of ticks.
-Analyze information from faster time frames (1/2/5m) to decide on quicker exits when needed and extra signals.

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  #32 (permalink)
 
JonnyBoy's Avatar
 JonnyBoy 
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
Posts: 1,561 since Apr 2012
Thanks Given: 706
Thanks Received: 3,854


0ilTrader View Post
Here's the summary of both strategies since 2006 (the oldest data I can get my hands on):

I do a lot of back testing using NT8. I have been back testing now for many years now but I do not claim to be an expert like some on this forum, just experienced. I am also assuming you have followed the correct methodology to create a realistic and robust back test as possible.

However, you didn't include commission. I bet if you did you would likely eradicate all of your profits. I typically use $6.00 per round turn for the ES. On the high side yes, but this extra cushion of dollars helps cover off the pesky CME monthly charges, wire transfers to/from your account etc.

You also didn't include slippage, so the assumption is you used LMT orders for your entries and exits.

With that aside (and really the zero commission is a red flag for this strategy) I personally would not move forward with a strategy depicting a profit factor as low as what you are showing when looking at the gross/net. In my opinion I could make significantly better returns by just buying the index itself and/or with other less risky investments.

We have been in a bull market since 2009 and have just completed the shortest bear market in history. The bull market has now resumed but who knows when it will end. I believe S&P 4000 by the end of 2021, but that is just my opinion.

However, a circa $11,500k return per year, assuming you will pay 15% tax on that return (just guessing, I don't know the tax rates where you live) beats that down to $9,775. And this is final number doesn't include the commissions which would likely have you at net zero.

It sounds like I am picking holes. To a certain extent I am, but this is not meant in a combative way, just constructive!

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
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  #33 (permalink)
0ilTrader
Washington D.C. + District Of Columbia USA
 
Posts: 18 since Aug 2020
Thanks Given: 7
Thanks Received: 5



JonnyBoy View Post
I do a lot of back testing using NT8. I have been back testing now for many years now but I do not claim to be an expert like some on this forum, just experienced. I am also assuming you have followed the correct methodology to create a realistic and robust back test as possible.

However, you didn't include commission. I bet if you did you would likely eradicate all of your profits. I typically use $6.00 per round turn for the ES. On the high side yes, but this extra cushion of dollars helps cover off the pesky CME monthly charges, wire transfers to/from your account etc.

You also didn't include slippage, so the assumption is you used LMT orders for your entries and exits.

With that aside (and really the zero commission is a red flag for this strategy) I personally would not move forward with a strategy depicting a profit factor as low as what you are showing when looking at the gross/net. In my opinion I could make significantly better returns by just buying the index itself and/or with other less risky investments.

We have been in a bull market since 2009 and have just completed the shortest bear market in history. The bull market has now resumed but who knows when it will end. I believe S&P 4000 by the end of 2021, but that is just my opinion.

However, a circa $11,500k return per year, assuming you will pay 15% tax on that return (just guessing, I don't know the tax rates where you live) beats that down to $9,775. And this is final number doesn't include the commissions which would likely have you at net zero.

It sounds like I am picking holes. To a certain extent I am, but this is not meant in a combative way, just constructive!

Thanks for taking the time and responding. Which profit factor would YOU aim for, based on your own experience?

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  #34 (permalink)
 
JonnyBoy's Avatar
 JonnyBoy 
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
Posts: 1,561 since Apr 2012
Thanks Given: 706
Thanks Received: 3,854


0ilTrader View Post
Thanks for taking the time and responding. Which profit factor would YOU aim for, based on your own experience?

For me personally, once I have accounted for all possible "expenses" related to the strategy, I would not live trade anything less than a 1.5 PF.

With my most recent GC strategy (only active for a few weeks) it has different PFs for long vs. short. This is because they use different parameters and are traded as individual strategies.

Therefore, you could in fact have a long strategy that has lower PF, but is offset by the short side strategy having a high PF and perhaps balancing out the lower performer. Now, this is just my opinion. It works for me.

I would be interested to see your results once your factor in a $6.00 per round turn commission.

GC_SHORT_4.75_POINTS_TARGET


GC_LONG_4.75_POINT_TARGET


With that said, this GC strategy took about 3 months to get live which is actually fast tracked. It is very easy to dump a bucket load of data onto a strategy and let it run, but it is much more of a process than that IMO.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
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  #35 (permalink)
0ilTrader
Washington D.C. + District Of Columbia USA
 
Posts: 18 since Aug 2020
Thanks Given: 7
Thanks Received: 5


JonnyBoy View Post
For me personally, once I have accounted for all possible "expenses" related to the strategy, I would not live trade anything less than a 1.5 PF.

With my most recent GC strategy (only active for a few weeks) it has different PFs for long vs. short. This is because they use different parameters and are traded as individual strategies.

Therefore, you could in fact have a long strategy that has lower PF, but is offset by the short side strategy having a high PF and perhaps balancing out the lower performer. Now, this is just my opinion. It works for me.

I would be interested to see your results once your factor in a $6.00 per round turn commission.

GC_SHORT_4.75_POINTS_TARGET


GC_LONG_4.75_POINT_TARGET


With that said, this GC strategy took about 3 months to get live which is actually fast tracked. It is very easy to dump a bucket load of data onto a strategy and let it run, but it is much more of a process than that IMO.

Thank you @JonnyBoy. Are you able to maintain these profit factors over years of data? for example, since 2006?

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  #36 (permalink)
 
JonnyBoy's Avatar
 JonnyBoy 
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
Posts: 1,561 since Apr 2012
Thanks Given: 706
Thanks Received: 3,854


0ilTrader View Post
Thank you @JonnyBoy. Are you able to maintain these profit factors over years of data? for example, since 2006?

Yes. Although the short side PF is actually dragging along the low side of the historical back test but still acceptable at the moment. This is probably explained away by the most recent bullish run GC has had.

This is why parcelling out data sets to test against is important. I use OOS data once for each back test and each back test should have its own OOS data to test against. The trap you can easily fall into is that OOS data turns into IS data. This has been well documented of course but you can use the Monte Carlo method in this case, which is probably better.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
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  #37 (permalink)
0ilTrader
Washington D.C. + District Of Columbia USA
 
Posts: 18 since Aug 2020
Thanks Given: 7
Thanks Received: 5

OK, based on what I've learned in the past few days, it's time for a re-haul of the strategy, it has been too cluttered and it was based on a small sample of data (2019-2020). With commissions, it didn't make sense.

I've made some changes:

1. Went from 15M to the 1D chart.
2. Disabled all signals and started to measure them from scratch.
3. I enabled slippage, right now it's set to 1, should be be higher?
4. Enabled commissions

(not sure if i'll keep it but as a base start), here's what it looks like:

PF of 1.93 and 2.73 win/loss avg. 2011 & 2012 were losers.




I'm concerned about the small number of trades, but should I?

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  #38 (permalink)
userque
Chicago IL
 
Posts: 180 since Apr 2016
Thanks Given: 573
Thanks Received: 129


0ilTrader View Post
OK, based on what I've learned in the past few days, it's time for a re-haul of the strategy, it has been too cluttered and it was based on a small sample of data (2019-2020). With commissions, it didn't make sense.

I've made some changes:

1. Went from 15M to the 1D chart.
2. Disabled all signals and started to measure them from scratch.
3. I enabled slippage, right now it's set to 1, should be be higher?
4. Enabled commissions

(not sure if i'll keep it but as a base start), here's what it looks like:

PF of 1.93 and 2.73 win/loss avg. 2011 & 2012 were losers.

I'm concerned about the small number of trades, but should I?

The stats and metrics are important to analyzing your strategy to someone that understands the methods behind your strategy.

For example, suppose your strategy is extremely over-fit; then your stats are essentially meaningless.

So the questions become related to exactly what your strategy entails, and your backtesting particulars.

Obviously, you aren't going to reveal your strategy, so the questions become:

How many parameters are in your strategy?
Over what dates did you optimize them?
Which Ninja Trader optimization method did you use (standard, walk forward)?
About how long did the optimization last (10 min., 10 hours, 1 day, more)?
And about how powerful is the computer that ran the optimization (slow, average, gaming, etc.)?

I couldn't begin to confidently offer meaningful advice without knowing these basics. And after reading your answers, I still may have to ask another question or so.

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  #39 (permalink)
0ilTrader
Washington D.C. + District Of Columbia USA
 
Posts: 18 since Aug 2020
Thanks Given: 7
Thanks Received: 5


userque View Post
The stats and metrics are important to analyzing your strategy to someone that understands the methods behind your strategy.

For example, suppose your strategy is extremely over-fit; then your stats are essentially meaningless.

So the questions become related to exactly what your strategy entails, and your backtesting particulars.

Obviously, you aren't going to reveal your strategy, so the questions become:

How many parameters are in your strategy?
Over what dates did you optimize them?
Which Ninja Trader optimization method did you use (standard, walk forward)?
About how long did the optimization last (10 min., 10 hours, 1 day, more)?
And about how powerful is the computer that ran the optimization (slow, average, gaming, etc.)?

I couldn't begin to confidently offer meaningful advice without knowing these basics. And after reading your answers, I still may have to ask another question or so.


How many parameters are in your strategy? ~20
Over what dates did you optimize them? I didn't run any optimization yet, I just did a backtest from 2006 to 2020 with my most basic buy and sell signals.
Which Ninja Trader optimization method did you use (standard, walk forward)? standard, when I do the walk forward, I get an error saying there are no variables to optimize (something like that)
About how long did the optimization last (10 min., 10 hours, 1 day, more)? n/a
And about how powerful is the computer that ran the optimization (slow, average, gaming, etc.)? gaming


I'm curious if a strat that runs on the 1D chart is sustainable. Since I went back to basics, I need to see if I should find a better fitted time frame (in mins) instead. with the 1D tf I only get ~200 trades over 14 years

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  #40 (permalink)
 
JonnyBoy's Avatar
 JonnyBoy 
Montreal, Quebec
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Kinetick
Trading: ES
Posts: 1,561 since Apr 2012
Thanks Given: 706
Thanks Received: 3,854



0ilTrader View Post
OK, based on what I've learned in the past few days, it's time for a re-haul of the strategy, it has been too cluttered and it was based on a small sample of data (2019-2020). With commissions, it didn't make sense.

I've made some changes:

1. Went from 15M to the 1D chart.
2. Disabled all signals and started to measure them from scratch.
3. I enabled slippage, right now it's set to 1, should be be higher?
4. Enabled commissions

(not sure if i'll keep it but as a base start), here's what it looks like:

I'm concerned about the small number of trades, but should I?

It is difficult to assess in depth by only looking at a summary screen as I don't know how the strategy was built and what the parameters are etc.

Some quick observations:

The back test is showing a probability of 1.07%. This is a statistic that determines how likely a trade is to occur that would return the same PnL as your Average trade. It is based on how many trade's PnL fall within a standard deviation of the Avg. trade.

So the probability of near zero means that it is not likely that a given trade would be equal to the determined average trade. Your average trade is the sum of all trades PnL by the number of trades, so therefore you should expect that each trade live would not be the same as your average trade indicated by the back test. The accuracy of this probability can be best determined by using Market Replay (on a section of data) which will be real world accurate and essentially give you a better sense of live type performance.

Slippage is added or subtracted from your entry and exit prices for MKT and STP orders. No slippage is added to LMT orders. 1 to 2 ticks slippage is reasonable for the ES. Essentially if you went MKT at any non volatile moment on the ES on any given day there is a high probability you will get a fill within 2 ticks.

--------------------------------------------------------
- Trade what you see. Invest in what you believe -
--------------------------------------------------------
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