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Backtest Strategy weak points


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Backtest Strategy weak points

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  #1 (permalink)
Caracas
 
 
Posts: 21 since Sep 2020
Thanks: 81 given, 9 received

Hello, i build a strategy with ES mini, I test it in simulted mode and the entrys work fine. But i have doubts before use in real time and need advices for check weak points. I see the graph good but maybe i have dont see something what experts can see bad.

- I backtest with mode merged back adjusted, but i backtest too in merged non back adjusted and dont change much in the results.
- I wish trade (1) ES mini, the drawdown of 18.000$, in the experiencie, can be supportable or it is too much for 1 Es mini ?
- The time for recover is 328 days, in the experiencie, can be normal for a strategy 15 min ?
- I adjust 6 paramethers for this results, included open and close time. It is too many parameters for a simple strategy?
- For expert eyes the result of strategy look good o have many weak points ?


Please I need advices for read and apply correctly backtest.

I annex photos of the results.

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  #2 (permalink)
Chicago IL
 
 
Posts: 98 since Apr 2016
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walter739 View Post
Hello, i build a strategy with ES mini, I test it in simulted mode and the entrys work fine. But i have doubts before use in real time and need advices for check weak points. I see the graph good but maybe i have dont see something what experts can see bad.

- I backtest with mode merged back adjusted, but i backtest too in merged non back adjusted and dont change much in the results.
- I wish trade (1) ES mini, the drawdown of 18.000$, in the experiencie, can be supportable or it is too much for 1 Es mini ?
- The time for recover is 328 days, in the experiencie, can be normal for a strategy 15 min ?
- I adjust 6 paramethers for this results, included open and close time. It is too many parameters for a simple strategy?
- For expert eyes the result of strategy look good o have many weak points ?


Please I need advices for read and apply correctly backtest.

I annex photos of the results.

Consider testing it via Walk-Forward Optimization.

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  #3 (permalink)
Caracas
 
 
Posts: 21 since Sep 2020
Thanks: 81 given, 9 received



userque View Post
Consider testing it via Walk-Forward Optimization.

I need a lot of bars requerid to trade and the WFO of ninjatrader is not good with this.

I use WFO mannualy and the results the profit factor is in the range 1.02 to 1.09

Regards

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  #4 (permalink)
Chicago IL
 
 
Posts: 98 since Apr 2016
Thanks: 223 given, 69 received


walter739 View Post
I need a lot of bars requerid to trade and the WFO of ninjatrader is not good with this.

I use WFO mannualy and the results the profit factor is in the range 1.02 to 1.09

Regards

Are you doing some sort of pattern matching; where you need to access all of the historical data in order to generate a signal?

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  #5 (permalink)
Caracas
 
 
Posts: 21 since Sep 2020
Thanks: 81 given, 9 received


userque View Post
Are you doing some sort of pattern matching; where you need to access all of the historical data in order to generate a signal?

No, my strategy is in bar of 15min but with daily indicator, i try use a lot of years and lot of trades, only for feel the strategy can not change easily. But i not sure to start in real account.

For that reason i need advices of the experts eyes, maybe you can see something wrong and i dont see.

Regards

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  #6 (permalink)
Chicago IL
 
 
Posts: 98 since Apr 2016
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walter739 View Post
No, my strategy is in bar of 15min but with daily indicator, i try use a lot of years and lot of trades, only for feel the strategy can not change easily. But i not sure to start in real account.

For that reason i need advices of the experts eyes, maybe you can see something wrong and i dont see.

Regards

I see long periods (several months in a row) where the strategy is failing.

Maybe incorporate a stop loss and profit target into the strategy code and re-optimize?

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  #7 (permalink)
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Cleveland Ohio/United States
 
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$0 slippage, and lack of any out of sample results make this strategy a non-starter for me.

I can almost guarantee that if you only traded this strategy, you'd never be able to survive the 328 day drawdown period. (Conversely, in a portfolio, you might be able to accept that).

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  #8 (permalink)
Caracas
 
 
Posts: 21 since Sep 2020
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userque View Post
I see long periods (several months in a row) where the strategy is failing.

Maybe incorporate a stop loss and profit target into the strategy code and re-optimize?

Yes this results hace profit and stop loss in the optimize

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  #9 (permalink)
Caracas
 
 
Posts: 21 since Sep 2020
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kevinkdog View Post
$0 slippage, and lack of any out of sample results make this strategy a non-starter for me.

I can almost guarantee that if you only traded this strategy, you'd never be able to survive the 328 day drawdown period. (Conversely, in a portfolio, you might be able to accept that).

In bar of 15 min you think the slippage must be at least 1 ?

I think the slippage is important in one min o ticks. Maybe i wrong in this.

Regards

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  #10 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
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Trading: futures
 
Posts: 2,826 since Jul 2012
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walter739 View Post
In bar of 15 min you think the slippage must be at least 1 ?

I think the slippage is important in one min o ticks. Maybe i wrong in this.

Regards

Are you placing all limit orders, or are at least some orders market and/or stop orders?

You can't buy at the bid and sell at the ask, which is what $0 slippage implies...

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