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Is this strategy a good one?
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Created: by sangam Attachments:2

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Is this strategy a good one?

  #41 (permalink)
Trading Apprentice
Toronto
 
Futures Experience: None
Platform: NinjaTrader
Favorite Futures: Futures
 
Posts: 18 since Oct 2012
Thanks: 5 given, 4 received

Hey Jura,

I will check out kevin's threads. Thanks for that. I am aware that there are quite a few quirks associated with back testing, but I don't understand how a stop loss order would not be the largest losing trade. My stop loss is initiated as I enter the market. I can't wrap my head around it, how can a predefined stop loss not be met? If the market falls below my stop loss, my order would be met before falling to a lower level.

And regarding your second point, I merely meant to say that the strategy is doing as I expect it to. I was providing you justifications for the numbers, the way they are is because I wanted them to be so. And again, I welcome your thoughts. And thanks for replying.

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  #42 (permalink)
Market Wizard
Hamburg Germany
 
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sangam View Post
My stop loss is initiated as I enter the market. I can't wrap my head around it, how can a predefined stop loss not be met? If the market falls below my stop loss, my order would be met before falling to a lower level.

Your order is a stop order that would become a market order once the stop price is triggered. The market could gap through your stop price and you'd be executed way below it or in a fast moving market your market order could be filled a couple of ticks away from the stop price etc..

Regards,
ABCTG

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  #43 (permalink)
Trading Apprentice
Toronto
 
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ABCTG View Post
Your order is a stop order that would become a market order once the stop price is triggered. The market could gap through your stop price and you'd be executed way below it or in a fast moving market your market order could be filled a couple of ticks away from the stop price etc..

Regards,
ABCTG

Thanks for the explanation. Would it still be a challenge to limit a loss if I use stop limit order?

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  #44 (permalink)
Elite Member
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sangam View Post
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?

Don't do the mutitimeframe yet. That introduces more complexity than I think you need right now. IMO, forget about market replay. I hate market replay. Just doesn't do the trick for me. Some will disagree with me and that's ok because it's a personal preference thing. Just do the forward test as I described. That will tell you if you have accounted for the nuances of the UniRenko or not. I haven't documented anything about using unirenko so I don't have anything to point you to in that regard. When you do the forward test, please post 2 pictures, 1 of the actual trades it took in the live sim market and 1 of the same period on historic.

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  #45 (permalink)
Trading Apprentice
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MWinfrey View Post
Don't do the mutitimeframe yet. That introduces more complexity than I think you need right now. IMO, forget about market replay. I hate market replay. Just doesn't do the trick for me. Some will disagree with me and that's ok because it's a personal preference thing. Just do the forward test as I described. That will tell you if you have accounted for the nuances of the UniRenko or not. I haven't documented anything about using unirenko so I don't have anything to point you to in that regard. When you do the forward test, please post 2 pictures, 1 of the actual trades it took in the live sim market and 1 of the same period on historic.

Will Do! As soon as I get a chance! Still have exams going on.

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  #46 (permalink)
Market Wizard
Hamburg Germany
 
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sangam View Post
Thanks for the explanation. Would it still be a challenge to limit a loss if I use stop limit order?

What would happen if your limit order doesn't get executed, but price keeps moving against you?

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  #47 (permalink)
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Forward testing > market replay if u have the time because you can avoid the news and use market sentiment in your favor.

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  #48 (permalink)
Elite Member
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sangam View Post
Will Do! As soon as I get a chance! Still have exams going on.

This thread ended so abruptly! I was really enjoying the back-and-forth. @sangam, did you continue with your strategy development? Three years have gone by...what's the status?

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  #49 (permalink)
Trading Apprentice
Minneapolis+ MN / USA
 
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How does one post with out sounding like a total jerk? I'd wager he lost everything. When one starts out asking if his strategy works, we already know that it doesn't. It's like when a certain President told us he didn't have sex with that woman, we knew for positive that he did.

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