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Equity Curve and Backtest Question/Advice


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Equity Curve and Backtest Question/Advice

  #1 (permalink)
r3algood
Little Rock, Arkansas
 
Posts: 198 since Jul 2011
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Hi traders!

Before I begin, let me say that I do realize the problems of backtesting and all of that with NinjaTrader.

My questions:

Is the following equity curve an equity curve that one looks for in a system? (a good equity curve?)

and

Are the results from the backtest promising in terms of Average Winning Trade and Average Losing Trade, MAE, MFE, ETD, etc? (forget the dollars, I could make it say 100 trillion)

Thanks guys!

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  #3 (permalink)
r3algood
Little Rock, Arkansas
 
Posts: 198 since Jul 2011
Thanks Given: 106
Thanks Received: 109



r3algood View Post

Is the following equity curve an equity curve that one looks for in a system? (a good equity curve?)

and

Are the results from the backtest promising in terms of Average Winning Trade and Average Losing Trade, MAE, MFE, ETD, etc? (forget the dollars, I could make it say 100 trillion)

Thanks guys!

One thing I am liking about the system is that the Average Winning Trade is larger than the Average Losing Trade and that the Largest Win is larger than the Largest Loss. I am thinking that these results (the backtest and equity curve) are stunning but I need some more informed opinions.

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  #4 (permalink)
 Luger 
Nashville, TN
 
Experience: Intermediate
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Posts: 468 since Feb 2011
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If you are exponentially compounding, then I would say no, but if that is a static size the whole time then it is pretty good.

If you are are using exponential compounding, then I would rerun with a single contract/static size and see what you get.

With exponential compounding, optimizations will favor those settings that provide the best results early, and potentially miss those settings that are more stable. Find the stable settings and then utilize the exponential leverage when operating the bot.

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  #5 (permalink)
 
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 Silver Dragon 
Cincinnati Ohio
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r3algood View Post
One thing I am liking about the system is that the Average Winning Trade is larger than the Average Losing Trade and that the Largest Win is larger than the Largest Loss. I am thinking that these results (the backtest and equity curve) are stunning but I need some more informed opinions.

Re-run with slippage and see if it is still a winning system. If it is still profitable then you may have something.


SD

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You make your own opportunities in life.
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  #6 (permalink)
 Luger 
Nashville, TN
 
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Silver Dragon View Post
Re-run with slippage and see if it is still a winning system. If it is still profitable then you may have something.


SD

Good catch, I didn't even notice that commissions, etc. were not included.

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  #7 (permalink)
 
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 redratsal 
Milan (I)
 
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Slippage and commisions are not a problem if compared to the net profit and the number of trades, you have enough margin to sustain them. Did you sim trade realtime and compared the results with your strat analyzer outputs? Also consider no fills, if you have limit orders, which is not reproduced in sim play.

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  #8 (permalink)
 
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 redratsal 
Milan (I)
 
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Luger View Post
If you are exponentially compounding, then I would say no, but if that is a static size the whole time then it is pretty good.

If you are are using exponential compounding, then I would rerun with a single contract/static size and see what you get.

With exponential compounding, optimizations will favor those settings that provide the best results early, and potentially miss those settings that are more stable. Find the stable settings and then utilize the exponential leverage when operating the bot.

Max DrawDown is 1.13% of net profit, very difficult to achieve with exponential compounding, almost unrealistic

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