NexusFi: Find Your Edge


Home Menu

 





Is this strategy a good one?


Discussion in Psychology and Money Management

Updated
      Top Posters
    1. looks_one sangam with 18 posts (4 thanks)
    2. looks_two Itchymoku with 8 posts (3 thanks)
    3. looks_3 Big Mike with 5 posts (1 thanks)
    4. looks_4 MWinfrey with 5 posts (3 thanks)
      Best Posters
    1. looks_one MWinfrey with 0.6 thanks per post
    2. looks_two Itchymoku with 0.4 thanks per post
    3. looks_3 sangam with 0.2 thanks per post
    4. looks_4 Big Mike with 0.2 thanks per post
    1. trending_up 10,698 views
    2. thumb_up 14 thanks given
    3. group 9 followers
    1. forum 48 posts
    2. attach_file 2 attachments




View Poll Results: Do you think these results from back testing are promising
Yes 3 15.79%
Yes
3 15.79%
No 11 57.89%
No
11 57.89%
Can't Tell 5 26.32%
Can't Tell
5 26.32%
Multiple Choice Poll. Voters: 19. You may not vote on this poll

 
Search this Thread

Is this strategy a good one?

  #31 (permalink)
sangam
Toronto
 
Posts: 18 since Oct 2012
Thanks Given: 5
Thanks Received: 4


MWinfrey View Post
3. Limit orders are fine for back testing but when you forward test you will very likely see some differences in your strategy performance. Others have already mentioned the problems using renko as well as me. You probably won't listen to us but you really need to steer clear of renko of any type for back testing. However, run your strategy on live data for several days or just open up your hours to test it in a live market for the whole time you are watching it. After it takes a few trades, open another chart with the numbers of days as your live chart. Load your strategy on it and compare the trades on this historic data with the live trades. If your strategy is working correctly the historic trades will be the same as your live trades except for slippage. I won't make any comments about it but you will either convince yourself one way or the other that your strategy is doing what it's supposed to be doing.

There are no articles on back testing unirenko that I know of because unirenko isn't back testable in it's current form. However, your comparison of live and historic trades will convince you one way or the other regardless what all of us are telling you.

Thanks for providing me feedback several times. In no way am I ignoring the comments being made here. I like to learn from experience as its the quickest way!

You previously mentioned that you understand the workings of unirenko and you are able to back test successfully. Could you please shed some light on that or give me a link to a post if you've previously mentioned it. Also, I read on ninjatrader support forums to use 2 chart DataSeries/time frames. Renko to spot a trade and the tick series for execution of trades. If I were to do that, would the "problem" be resolved or would it still persist.

And I shall definitely forward test my strategy and see if it's consistent with the historical trades or not. Would the result differ if Market Replay is used?

Reply With Quote
The following user says Thank You to sangam for this post:

Can you help answer these questions
from other members on NexusFi?
Request for MACD with option to use different MAs for fa …
NinjaTrader
NexusFi Journal Challenge - April 2024
Feedback and Announcements
ZombieSqueeze
Platforms and Indicators
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Retail Trading As An Industry
58 thanks
Battlestations: Show us your trading desks!
55 thanks
NexusFi site changelog and issues/problem reporting
48 thanks
What percentage per day is possible? [Poll]
31 thanks
GFIs1 1 DAX trade per day journal
29 thanks

  #32 (permalink)
 
Jura's Avatar
 Jura   is a Vendor
 
Posts: 775 since Apr 2010
Thanks Given: 2,352
Thanks Received: 690


ABCTG View Post
based on the screenshot this is too little information to say anything about the quality of the strategy.
(...)


MWinfrey View Post
Need to know couple things about your strategy...
(....)

Why the need for more information? Judging from the screenshot, this is a not a good strategy because:

* It's only tested on two months of data,
* There is no commission factored in,
* There are no short trades so this strategy will likely suffer when markets suffer,
* It's backtested on only one instrument,
* It's trading a very volatile instrument (GC),
* The average time in market is a mere 2 minutes with an average trade of just $31.52: trading costs (commission + slippage) are very likely to make this a losing strategy.
* The largest losing trade is just 80 dollar, which is much lower than one would see in reality (also: GC is not always that liquid compared to, say, ES).

If this strategy is tested on a much longer time period, we'd likely see much worse results. Keep on trying though.

Reply With Quote
  #33 (permalink)
sangam
Toronto
 
Posts: 18 since Oct 2012
Thanks Given: 5
Thanks Received: 4



Jura View Post
Why the need for more information? Judging from the screenshot, this is a not a good strategy because:

* It's only tested on two months of data,
* There is no commission factored in,
* There are no short trades so this strategy will likely suffer when markets suffer,
* It's backtested on only one instrument,
* It's trading a very volatile instrument (GC),
* The average time in market is a mere 2 minutes with an average trade of just $31.52: trading costs (commission + slippage) are very likely to make this a losing strategy.
* The largest losing trade is just 80 dollar, which is much lower than one would see in reality (also: GC is not always that liquid compared to, say, ES).

If this strategy is tested on a much longer time period, we'd likely see much worse results. Keep on trying though.

Hey,
I have addressed all those points in my answers to people.
-I have also tested it on 1 year ES with similar results.
-Commission doesn't make an impact on this one. I have factored it in now though.
-It's a scalping strategy, hence the short time in market.
-I'm still developing the strategy, I only programmed my settings to go long.
-The largest losing trade is my stop loss order.
-My trading cost =$4.80/round trip. No slippage with limit orders.

Reply With Quote
  #34 (permalink)
 
Jura's Avatar
 Jura   is a Vendor
 
Posts: 775 since Apr 2010
Thanks Given: 2,352
Thanks Received: 690


sangam View Post
-Commission doesn't make an impact on this one. I have factored it in now though.

Forgive my scepticism, I'm not trying to demotivate you, but how can commission not impact a scalping strategy? (Assuming you're not acting as a liquidity provider)


sangam View Post
-It's a scalping strategy, hence the short time in market.
-The largest losing trade is my stop loss order.
-My trading cost =$4.80/round trip. No slippage with limit orders.

One of my points is that you can not always decide how long you are in the market. What if the market experiences a flash crash? (not unlikely with ES or GC, since that has already happened before). Will your largest losing trade still be just 80 dollar or will your stop-limit order not be executed?

In my view, limit orders still have slippage, since they have the chance of not getting executed (= also trading costs).

Reply With Quote
  #35 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,322 since Jun 2009
Thanks Given: 33,143
Thanks Received: 101,477


sangam View Post
Hey,
I have addressed all those points in my answers to people.
-I have also tested it on 1 year ES with similar results.
-Commission doesn't make an impact on this one. I have factored it in now though.
-It's a scalping strategy, hence the short time in market.
-I'm still developing the strategy, I only programmed my settings to go long.
-The largest losing trade is my stop loss order.
-My trading cost =$4.80/round trip. No slippage with limit orders.

If you use renko bars, all tests are worthless.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #36 (permalink)
sangam
Toronto
 
Posts: 18 since Oct 2012
Thanks Given: 5
Thanks Received: 4


Jura View Post
Forgive my scepticism, I'm not trying to demotivate you, but how can commission not impact a scalping strategy? (Assuming you're not acting as a liquidity provider)


One of my points is that you can not always decide how long you are in the market. What if the market experiences a flash crash? (not unlikely with ES or GC, since that has already happened before). Will your largest losing trade still be just 80 dollar or will your stop-limit order not be executed?

In my view, limit orders still have slippage, since they have the chance of not getting executed (= also trading costs).


In my 2nd attachment. ES net profit = $12925. Commission = $4.80*314 Trades = 1507. Net = $11418.
My trading plan is to scalp. Trade 1-2 times a day. Make a point in GC or 2 points in ES.

I said the commission is irrelevant because I am not trading at a high frequency. I am trading 1-2 times a day and averaging 1-2 points.

Regarding your statement about a flash crash. There isn't really a way to prepare for an anomaly like that imo.

If you do not like my strategy based on my trading methodology, that's a different topic.

Reply With Quote
  #37 (permalink)
sangam
Toronto
 
Posts: 18 since Oct 2012
Thanks Given: 5
Thanks Received: 4


Big Mike View Post
If you use renko bars, all tests are worthless.

Mike

I'm trying to figure out a way around it. As MWinfery mentioned, he was successful with his attempts.

And regarding your statement previously. I do not consider this a waste of my time. It is a part of my learning curve. If I fail, that would be a better lesson than winning right away. I want to find answers to questions instead of giving up on them and just taking you up on leaving it altogether. I have joined the forum to be part of community where I can share my thoughts and get help, help others and learn new things with people. So please don't be harsh and call my learning a waste of my time.

I did not upload the screen shot and open myself to criticism to boast about my strategy. I wanted people to comment on my technique and help me figure out if I can make it better, or point out my mistakes. I am getting plenty of constructive criticism and ideas. I've gained more information about my strategy by discussing it here than I would have by ogling over the back test results.

Reply With Quote
The following user says Thank You to sangam for this post:
  #38 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,645 since Jul 2012
Thanks Given: 1,890
Thanks Received: 7,336


sangam View Post
I'm trying to figure out a way around it. As MWinfery mentioned, he was successful with his attempts.

And regarding your statement previously. I do not consider this a waste of my time. It is a part of my learning curve. If I fail, that would be a better lesson than winning right away. I want to find answers to questions instead of giving up on them and just taking you up on leaving it altogether. I have joined the forum to be part of community where I can share my thoughts and get help, help others and learn new things with people. So please don't be harsh and call my learning a waste of my time.

I did not upload the screen shot and open myself to criticism to boast about my strategy. I wanted people to comment on my technique and help me figure out if I can make it better, or point out my mistakes. I am getting plenty of constructive criticism and ideas. I've gained more information about my strategy by discussing it here than I would have by ogling over the back test results.

What is a waste of time is showing any more results with Renko bars, until you get that figured out.

Follow me on Twitter Reply With Quote
  #39 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,322 since Jun 2009
Thanks Given: 33,143
Thanks Received: 101,477

In not saying your learning has been a waste of time. I'm saying referring to any backtest that uses Renko based bars is a waste of time.

Sent from my LG Optimus G Pro

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #40 (permalink)
 
Jura's Avatar
 Jura   is a Vendor
 
Posts: 775 since Apr 2010
Thanks Given: 2,352
Thanks Received: 690



sangam View Post
(..)
I said the commission is irrelevant because I am not trading at a high frequency. I am trading 1-2 times a day and averaging 1-2 points.

I think we have to agree to disagree on this.


sangam View Post
Regarding your statement about a flash crash. There isn't really a way to prepare for an anomaly like that imo.

I was not talking about preparing for a flash crash if you read what I said; I was saying that you should take the backtested value for the largest loser with a grain of salt, since in reality this value will probably be a lot higher.

You can, for example, check out Kevin's thread(s) to see how hard it can be to have a strategy perform exactly as in the backtest. And that is with 20+ years of experience, if I recall correctly.


sangam View Post
If you do not like my strategy based on my trading methodology, that's a different topic.

I'm sorry, I thought this topic was about you asking our opinions about your backtest results. I did not knew you were not open to some scepticism and would get defensive about it.

Reply With Quote





Last Updated on January 6, 2017


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts