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Auto trading is only thing that conquered my darkside
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Auto trading is only thing that conquered my darkside

  #341 (permalink)
Fortitudo et Honor
Austin, TX
 
Futures Experience: Advanced
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Posts: 882 since Mar 2011
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I must caution you though, that if your backtesting is inherently flawed, all of this will be for nothing.

I see you went back to daily bars. Just bear in mind that if you're not backtesting tick/tick (or with market replay as the Ninjas call it) then again, if your transaction can ocurr all within the same bar, the engine has no way of knowing what ocurred inside that bar and what direction the bar moved first, in the middle, etc.

All of this optimization and what not has to assume there are no fatal flaws in your backtesting method and ability to translate forward.

At a bare minimum you should do a sanity check and forward test for some sample size, just to verify everything looks as good going forward as it did backward.

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
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  #342 (permalink)
Trading Apprentice
London UK
 
Futures Experience: Intermediate
Platform: Ninjatrader, Prorealtime, Openquant
Favorite Futures: EURUSD
 
Posts: 37 since Aug 2011
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Im using OpenQuant (trial) as it supports portfolio rebalancing and other features that I want to use. It doesn't unfortunately do sophisticated analysis of optimization parameters (although I am writing code to spit optimization out to file so I can view the results in Excel). It does do robustness as you can create a Monte Carlo instrument (simulated stock price) using the existing instrument drift (trend), volatility etc... Not sure how this works but I will certainly be investigating it.

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  #343 (permalink)
Elite Member
Paris, France
 
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I must second RM99 and let you know that your result might be flawed because your take profit of 28 pips seems really small compared to an average daily range of 110pips for EUR/USD.

If you consider your signal to be more reliable based on the daily time frame, take your signals based on that but manage and test your stratey on a lower time frame. You can do that quite easily in MultiCharts, don't know about Open Quant though.

Good luck with your strategy !

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  #344 (permalink)
Site Administrator
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andyb1979 View Post
Ok, I took a step back and applied a trend following strategy I've developed on the daily EURUSD only. Forget 15 mins for now, its too noisy. I need to go back to basics and back to the daily chart.

I suggest you create your own journal thread on the forum to track everything. And more importantly, at the end of every week, go back and read all the journal posts for the prior two weeks. Hopefully it will help you avoid what I call the black hole phenomenon, where traders repeat the same mistakes over and over again without realizing it.

Here is an excellent example of a systems "journal". The author is publishing all of his work and code, but the important lessons are what happens over time and how he and the system are evolving:

https://futures.io/elite-ninjatrader-automated-trading/8465-ducmans-first-strategy-called-myst.html

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
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Help using the forum? Watch this video to learn general tips on using the site.

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  #345 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
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andyb1979 View Post
Here are (honest) answers to your questions

Include commissions - No (Openquant doesnt support this in test mode, as far as I can tell)
Slippage - No
Orders - All at market on bar close
Expectancy - with these settings about +$35 per trade.

i.e. average of all losses + all wins / total trades is $35

So I know what you're thinking. $35 - some slippage - some commissions (about $3 per side on interactive brokers FX) = potential to go negative in live trading.

Well, its a start

I'd like to see the expectancy higher. The win:loss ratio Im pleased with at its 68%. The average win however is not far off the average loss.

I'm trying to add some better profit taking like scalp 50% at a certain level then trail the rest to see how that improves expectancy

Isn't this an unrealistic system if it expects to be filled at the closing price of a bar?

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  #346 (permalink)
Trading Apprentice
London UK
 
Futures Experience: Intermediate
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Posts: 37 since Aug 2011
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In the lab for a few days, this is what I've come up with.

A trend/scalp hybrid strategy - basically trades the trend but also takes profit at 2 points (using ATR - volatillity estimate - for profit targets).

The entry is fixed but exit I've optimised based on ATR window and multiplier to take profit at 2 points. Thats it. I've tested on a basket of stocks, ETFs and currencies (need more data to test more instruments), including commissions and slippage. max drawdown is around 15% in the credit crunch. Its a long only strategy.

Next up, opening a futures account & paper trading

Attached Thumbnails
Auto trading is only thing that conquered my darkside-trend-strat-result.png  
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  #347 (permalink)
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@andyb1979

Suggestion:

Eventually you want will want to move into strategies that are adaptable both horizontally and vertically on the charts. Do that and the backtesting becomes less important. ATR is crude and is a start.

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  #348 (permalink)
Site Administrator
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Moderator Note


Please keep this thread focused on Psychology.

A thread about techniques or methodologies of an automated strategy does not belong in this section, but rather in one of the Elite Automated Trading sections of the forum.




Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #349 (permalink)
Trading Apprentice
London UK
 
Futures Experience: Intermediate
Platform: Ninjatrader, Prorealtime, Openquant
Favorite Futures: EURUSD
 
Posts: 37 since Aug 2011
Thanks: 7 given, 4 received

Sorry

... So thanks to rigourous simulation & backtest and a nice pretty equity curve, I now feel confident to pull the trigger. Whereas If I'm left to make the decisions I'll bottle it and make a right pigs ear of it

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  #350 (permalink)
Urban Samurai
Chicago IL
 
Futures Experience: Intermediate
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forrestang's Avatar
 
Posts: 1,039 since Jun 2010
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DionysusToast View Post
Isn't this an unrealistic system if it expects to be filled at the closing price of a bar?

Some stuff I was messing with yesterday. Pertaining to your comment above, I noticed a similar phenomenon. I was using an exotic bar type, and doing some crude backtesting with NT7. The fills were unlikely, VERIFIED UNREALISTIC with a replay.

I guess the cool thing was how consistent the system was. No matter the size of the bar, chart resolution or the period in which I tested (tested 3 months at a time for the whole year of 2011). All equity curves had almost exact same shape, winning % and everything remained consistent. Increasing the bar size would linearly increase the expectancy per trade.

I believe the pics below where of 6E.... oil was really insane. I deleted most of the stats, here where just two examples using a really small bar size with 1 contract.

Attached Thumbnails
Auto trading is only thing that conquered my darkside-prime2011-09-01_080132.jpg   Auto trading is only thing that conquered my darkside-prime2011-09-01_082213.jpg  

Last edited by forrestang; September 2nd, 2011 at 06:59 AM.
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