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Is this strategy a good one?
Started:December 9th, 2013 (02:10 AM) by sangam Views / Replies:3,372 / 47
Last Reply:October 17th, 2016 (09:39 AM) Attachments:2

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View Poll Results: Do you think these results from back testing are promising
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Is this strategy a good one?

Old December 11th, 2013, 12:20 PM   #31 (permalink)
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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?

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Old December 11th, 2013, 01:29 PM   #32 (permalink)
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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.

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Old December 11th, 2013, 01:39 PM   #33 (permalink)
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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.

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Old December 11th, 2013, 02:07 PM   #34 (permalink)
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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).

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Old December 11th, 2013, 02:14 PM   #35 (permalink)
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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

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Old December 11th, 2013, 02:19 PM   #36 (permalink)
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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.

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Old December 11th, 2013, 02:31 PM   #37 (permalink)
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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.

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Old December 11th, 2013, 02:35 PM   #38 (permalink)
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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.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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Old December 11th, 2013, 03:23 PM   #39 (permalink)
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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.

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Old December 12th, 2013, 01:43 AM   #40 (permalink)
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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.

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