Auto strategy performance - fit enough? - Psychology and Money Management | futures io social day trading
futures io futures trading


Auto strategy performance - fit enough?
Updated: Views / Replies:2,650 / 20
Created: by petrmac Attachments:11

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 90,000 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
 11  
 
Thread Tools Search this Thread
 

Auto strategy performance - fit enough?

  #11 (permalink)
Elite Member
Northern Germany
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,807 received


petrmac View Post
Maybe stupid question, but what the MC acronym stands for?

I was referring to the monte carlo tab, on large data samples make sure to use the latest beta version of the journal with the new monte carlo engine, as it is a lot faster ( easy migration as described for other recent versions applies).


vvhg

Hic Rhodos, hic salta.
Reply With Quote
 
  #12 (permalink)
Elite Member
Czech Republic
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: E7, M6E
 
petrmac's Avatar
 
Posts: 174 since Jun 2011
Thanks: 275 given, 206 received

thanks vvhg!

I am checking the MC tab often, but perhaps I cannot read it properly.
This is the MC simulation for the first sample posted yesterday. I have a basic understanding, that greener is better:-)

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
 
  #13 (permalink)
Elite Member
Czech Republic
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: E7, M6E
 
petrmac's Avatar
 
Posts: 174 since Jun 2011
Thanks: 275 given, 206 received


I was working late but maybe it will pay out.
I have tweaked the strategy a bit and performed some more backtesting.

I just run the test on all instruments I have loaded in Ninja and the result looks like this (from September 2011 to now).
Strategy is optimized for E7 but it somehow performs in other markets as well.
Fixed Ratio MM system used for position sizing in the backtest.

How big is the chance of curve-fitted settings in such case? Do you think is this something I can build upon?
The number of trades is a bit misleading: I am using multiple (variable number) targets for one entry.

40k starting equity - optimized for
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


40k starting equity - another
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


2k starting equity
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


The equity curve is a bit bumpy for my liking, but this is perhaps something I can work on...


Last edited by petrmac; January 6th, 2012 at 05:18 PM.
Reply With Quote
 
  #14 (permalink)
Elite Member
Northern Germany
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,807 received

Two things that caught my eye immediately: first, try to use the beta journal, the new monte carlo is a racehorse...
Second, when the max drawdown is bigger than profit it's really bad news....it should only be a fraction.

Run some MC sims and I'll try to explain them...set them to 500-1000 iterations.


Vvhg

Hic Rhodos, hic salta.
Reply With Quote
The following 2 users say Thank You to vvhg for this post:
 
  #15 (permalink)
Elite Member
Czech Republic
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: E7, M6E
 
petrmac's Avatar
 
Posts: 174 since Jun 2011
Thanks: 275 given, 206 received


vvhg View Post
Two things that caught my eye immediately: first, try to use the beta journal, the new monte carlo is a racehorse...
Second, when the max drawdown is bigger than profit it's really bad news....it should only be a fraction.

Run some MC sims and I'll try to explain them...set them to 500-1000 iterations.


Vvhg

Here are the sim results of E7.

25k start equity,
FixedRatio MM,
MC on 1000 iteration with same equity and sample of 200 trades
This is essentially the same strategy as in previous post, but I restricted the hours a bit so that it runs when the market is moving.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


The strategy stability probably needs several simulations at different starting capital levels... I need to work on this.

Thanks for any suggestions / comments!

Reply With Quote
 
  #16 (permalink)
Elite Member
Northern Germany
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,807 received

Could you run the same again with fixed position sizing? I'll have a closer look tomorrow....
Btw, is the formatting on the overview tab broken?

Vvhg


Sent from my iPad using Tapatalk HD

Hic Rhodos, hic salta.
Reply With Quote
The following user says Thank You to vvhg for this post:
 
  #17 (permalink)
Membership Temporarily Revoked
Seattle, WA
 
Futures Experience: Advanced
Platform: TradeStation
Broker/Data: TS
Favorite Futures: ES, YM, TF, NQ
 
Posts: 11 since Aug 2011
Thanks: 4 given, 3 received

Optimizing strategy

I will read the other posts but here is something to consider. Not only do markets change in character which may give rise to a change in the underlying strategy, but trying to trade a stragegy that is built for trend following will get large drawdowns during choppy markets.

That is why most black box programs fail. They can't adjust to the different type of trading days. A very narrow range day which we experienced on Wednesday Jan 4th is not conducive to a trend following program.

I believe because of this your results can be better than those from a automated stragegy if you're patient and learn how to trade different market conditions.

Good luck with your trading.

Art

Reply With Quote
The following 2 users say Thank You to Loren for this post:
 
  #18 (permalink)
Elite Member
Czech Republic
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: E7, M6E
 
petrmac's Avatar
 
Posts: 174 since Jun 2011
Thanks: 275 given, 206 received


vvhg View Post
Could you run the same again with fixed position sizing? I'll have a closer look tomorrow....
Btw, is the formatting on the overview tab broken?

Vvhg


Sent from my iPad using Tapatalk HD

Thanks

Didn't get to it yet. I'll play with it today. By fixed position sizing you mean just one contract? This won't work since the strategy takes into account the traded size and is reducing risk at certain points. There have to be three targets to diversify the risk. One target just doesn't work.

Reply With Quote
 
  #19 (permalink)
Elite Member
Northern Germany
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: FDAX, CL
 
vvhg's Avatar
 
Posts: 1,583 since Mar 2011
Thanks: 1,016 given, 2,807 received


petrmac View Post
Thanks

Didn't get to it yet. I'll play with it today. By fixed position sizing you mean just one contract? This won't work since the strategy takes into account the traded size and is reducing risk at certain points. There have to be three targets to diversify the risk. One target just doesn't work.

I meant that:
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


but if the strategy factors in position sizing proportional to account size, you don't need that...

vvhg

Hic Rhodos, hic salta.
Reply With Quote
 
  #20 (permalink)
Elite Member
Czech Republic
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: E7, M6E
 
petrmac's Avatar
 
Posts: 174 since Jun 2011
Thanks: 275 given, 206 received


The strategy takes into account the risk and adjusts the position size to it (2% rule each entry).
So I am wondering how to proceed in the MC analysis to have some meaningful results.
The start starts with 3 targets = 3 contracts (or the multiple of it based on total risk per entry) and ends with 3 targets = 10 or more contracts in some situations.

The results of the backrest are essentially money managed and risk managed. This is not just simple bot, that places order at some indicator trigger.

So in which mode do you suggest to run the MC?

-1000 iterations
-100 samples or more (I can easily put more there) - but here is the question whether it should be just random fraction of the entries or all of them
-now the the money management or fixed position size mode?


the previous picture is run with the money management mode.

Reply With Quote

Reply



futures io > > > Auto strategy performance - fit enough?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



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

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Aardvark auto strategy - based on Hurley nanobiotech Elite Automated NinjaTrader Trading 175 February 17th, 2014 03:46 PM
Chasing a limit order entry in an auto-strategy nanobiotech Elite Automated Trading 7 August 17th, 2011 06:39 AM
Loughner not fit for trial RM99 Off-Topic 0 May 26th, 2011 05:38 AM
Using slope of an indicator in an auto-strategy nanobiotech NinjaTrader Programming 4 August 6th, 2010 12:31 PM
Timed exit in auto strategy nanobiotech NinjaTrader Programming 2 December 28th, 2009 08:57 PM


All times are GMT -4. The time now is 08:44 AM.

Copyright © 2017 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 2017-12-16 in 0.16 seconds with 20 queries on phoenix via your IP 54.83.122.227