Emini S&P 500 Strategy Performance Report Benchmark - Traders Hideout | futures io social day trading
futures io futures trading


Emini S&P 500 Strategy Performance Report Benchmark
Updated: Views / Replies:3,129 / 29
Created: by fiverr Attachments:2

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
 2  
 
Thread Tools Search this Thread
 

Emini S&P 500 Strategy Performance Report Benchmark

  #21 (permalink)
Elite Member
Monterey, CA
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: CL
 
Posts: 80 since Jan 2014
Thanks: 28 given, 92 received


fiverr View Post
Dionysus,

Thanks for sharing. Are you using market orders or limit orders to enter the trades? What will happen if you extend your back testing from 2000 to 2015? BTW, are you holding orders overnight and during the weekends?

Happy to. .

Always market orders, in the initial phases of backtesting, as limit orders are slightly less accurate to real-world resuls, and there is a danger of being deluded. . I like to make the initial hurdles as difficult as possible, and only towards the end of strategy creation/refinement to I test things like limit orders.

It holds up well prior to 2009, though not quite as well, largely because I use a longer period in the initial phases, and towards the end I focus on only 2006 to present, then finally 2009 to present in the last stages, often with an element of time-weighting to boot. My theory is that if I can establish a wide and robust initial foundation of a very large number of trades with a sizeable 'edge' over normalized profit factor/sharpe/etc, then I can slowly test various changes, additions, detractions, to try to make it even stronger and more robust (a process which organically prunes trades).

One of the foremost aspects of this is making sure the changes I make not only improve the strategies results over the instrument I'm creating it for (GC, in the above case), but also instruments which highly correlate with the given instrument, within the given hours of trading. . in the above case, that might be Silver and Platinum, for example.
Seeing that any additional entry filters, or exit conditions, or anything else I may add to the strategy, also improves it for these other instruments, indicates that the underlying logic is slightly more likely to be something *real*, and not merely curve fitting brilliance-on-paper.

It would take me awhile to explain just how I calculate 'correlation' as its more than just correlative price movement, but the main point here is that solid underlying logic should perform well across many instruments and markets. . anything that doesn't should be viewed with extreme suspicion, and should be forced to jump much larger hurdles and pass more daunting litmus tests before you consider taking it live.

Lastly, every strategy I run currently is intraday, though some hold positions up to 400-500 minutes, and often I'll manually hold my positions overnight if I seem to see a reason to. . otherwise I rarely 'overrule' the algo's. . virtually never, unless I'm extremely convinced I've seen a recent and consistent pattern of price movement it may be missing.

Reply With Quote
 
  #22 (permalink)
Elite Member
Calgary
 
Futures Experience: None
Platform: TradeStation, MT4
Favorite Futures: ES, Stocks
 
Posts: 73 since Aug 2015
Thanks: 4 given, 10 received


TheTradeSlinger View Post
@PeakGrowth nailed it:


Also, how did you design this system? Did you come up with an idea and test it for the first time and these are the results or did you design, test, modify and these are the results?

You might be on to something or you might not, it really depends on the design and testing methodology you employed.

My background is in currency trading; hence, I am taking some of my algos and am modifying them for the futures market.

Reply With Quote
 
  #23 (permalink)
Elite Member
Calgary
 
Futures Experience: None
Platform: TradeStation, MT4
Favorite Futures: ES, Stocks
 
Posts: 73 since Aug 2015
Thanks: 4 given, 10 received



PeakGrowth View Post
Also the market has changed heaps since 2001, you should try test from 2008~ onwards as you would need to cater for all the algo activity present today.

Final thing is $12-15 net per trade is too low, any sort of additional slippage, or any degradation can turn this negative very fast.

Also not sure why you chose $2.50 for slippage? ES is $12.50 a tick so you're slippage is $10 too low.

Commission at IB, which is one of the cheapest is $4.04 per round turn, so your commission also too low.

If you fix those two, then your $12-15 net profit will now be less than 0 I believe.

PeakGrowth,

Each of my trade is entered with market limit and not market order. I don't use trailing stop loss and each of the trades is entered with a fixed stoploss and takeprofit. I don't expect slippage each time. For example if my SL is $200, I expect to see losses of $200 say 90% of the time and not $212.5 each time. I am new with futures trading, are you guys observing one tick slippage each time?

Are the futures brokers also using asymmetrical slippage? If there is slippage on the losses side, there should be slippage toward our favorable trades. In the past, several FX brokers have been fined for slippage on the loss side but never on the gain side.

Reply With Quote
 
  #24 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,524 since Apr 2013
Thanks: 229 given, 852 received
Forum Reputation: Legendary

In @fiverr's defense the commission and slippage settings seem to be per side, so it would be $10 for a round turn. Which in my opinion would still be too low to reflect what the strategy would have to deal with real time.

I'd suggest to start more conservatively with your slippage assumptions and rather get the nice surprise that it's a bit better in reality, than underestimating this amount and spend your time with systems that will break real time due to that right away.

Regards,

ABCTG


PeakGrowth View Post
You need to forward test or your system will be curve fitted with data snooping bias. You should try do your analysis on a small set of data and then forward test for around the same amount of data.

If your forward test PF doesn't degrade significantly (it will almost certainly degrade), then it's probably workable. However your PF is a bit low, so any slight degradation will make this unviable.

Also the market has changed heaps since 2001, you should try test from 2008~ onwards as you would need to cater for all the algo activity present today.

Final thing is $12-15 net per trade is too low, any sort of additional slippage, or any degradation can turn this negative very fast.

Also not sure why you chose $2.50 for slippage? ES is $12.50 a tick so you're slippage is $10 too low.

Commission at IB, which is one of the cheapest is $4.04 per round turn, so your commission also too low.

If you fix those two, then your $12-15 net profit will now be less than 0 I believe.

You might want to try discretionary trading the ES for a few months first so you understand how the market behaves and then try to automate that understanding, at the moment it looks like you have just data mined this, which is pretty much guaranteed to not work.


Reply With Quote
The following user says Thank You to ABCTG for this post:
 
  #25 (permalink)
Elite Member
Sydney, Australia
 
Futures Experience: Intermediate
Platform: Sierra Chart, IRESS
Broker/Data: IB, IQFeed
Favorite Futures: ES, SPI, ASX stocks, options
 
Posts: 399 since Jun 2015
Thanks: 169 given, 446 received


fiverr View Post
PeakGrowth,

Each of my trade is entered with market limit and not market order. I don't use trailing stop loss and each of the trades is entered with a fixed stoploss and takeprofit. I don't expect slippage each time. For example if my SL is $200, I expect to see losses of $200 say 90% of the time and not $212.5 each time. I am new with futures trading, are you guys observing one tick slippage each time?

Are the futures brokers also using asymmetrical slippage? If there is slippage on the losses side, there should be slippage toward our favorable trades. In the past, several FX brokers have been fined for slippage on the loss side but never on the gain side.

There is slippage in the fixed stop loss as those are not limits but market orders. If you use a limit order stop loss you are playing a dangerous game as the market may not trade back through to fill your stop. The majority of your slip will come from the stop and it can be 1-3 ticks depending on how fast the market is moving and how fast your connection is.

For example, you still have a:
1. Delay in your data feed getting data to you
2. Delay in your trading platform in processing the data and generate signal
3. Delay in your platform sending order to broker
4. Delay in your broker sending to the market

All the while, a hundred algo's and pro's just got in and out 10x before you've even got past step 1 - and they all could be selling before you, especially at inflection points like the LOD. A big hitter can also drop 5k contracts and break 4 levels before your platform even knows its happened, dropping straight through your stop.

This can easily cause 1-2 tick slippage, with 1 tick being almost certain to happen quite often at key areas that break. You always need to cater for worse case scenario with slippage all the time. Your back test needs to survive the worst assumptions to even have a chance of surviving real ones. This is to cater for those times when you hit 2 ticks or more slippage in a very fast market. If you can only just scrape by, by making a few more favorable assumptions, it won't work.

Futures is not FX, there is only 1 market and whatever fill you get just depends on whoever gets there first.

You are not playing the same game, you would know all this if you've tried to trade the market before on a discretionary basis. As it stands, you have 0 chance of getting a data mined algo to work because you don't understand the basics of futures trading or the nuances of the ES, which is very complex. You can't just assume the same anything between FX and Futures.

Also I don't know what data you are using, but if you are using tick data with a tick based back test, it should simulate slippage and the real market better - though I doubt your data is granular as this since you don't have even have live data yet - another road block to making something work.

You're better off just spending sometime to sit through some sessions of the ES and do some reading.

In case you're wondering, I personally would not be happy with a system unless it has expectancy of over $50 with slippage accounted for. So even if for whatever reason I lose anther 2 ticks cause the world hates me, I still have $25 of expectancy left for the system to be profitable. My one has more than $50.

I also have one which does $400, slippage doesn't even register on this one's radar.


Last edited by PeakGrowth; December 29th, 2015 at 04:01 PM.
Reply With Quote
The following 2 users say Thank You to PeakGrowth for this post:
 
  #26 (permalink)
Elite Member
Calgary
 
Futures Experience: None
Platform: TradeStation, MT4
Favorite Futures: ES, Stocks
 
Posts: 73 since Aug 2015
Thanks: 4 given, 10 received


ABCTG View Post
In @fiverr's defense the commission and slippage settings seem to be per side, so it would be $10 for a round turn. Which in my opinion would still be too low to reflect what the strategy would have to deal with real time.

I'd suggest to start more conservatively with your slippage assumptions and rather get the nice surprise that it's a bit better in reality, than underestimating this amount and spend your time with systems that will break real time due to that right away.

Regards,

ABCTG

Thanks ABCTG,

I am a bit confuse about the ES market. Some brokers told me that there are no spread and only commission per trade. But I know that some brokers have both spread and commission. Does anyone have live ES trading results that they are willing to share? I would like to formulate the correct specifications for my next revision of the code. Here are the information that I am interested in. Maybe we can use this as the benchmark/design specifications for everyone:

1) Should we or should we not hold a trade over night?
2) On your last 30 live trades of the ES, what is the total slippage did you experience? For example, if your stoploss is $200, you should have experience a loss of $6,000 ($200 x 30 = $6,000). Was your total loss more? Please share with us your real numbers that we can reference. Was it $6,500, $7,000 or $10,00?
3) Has anyone come across any literature that states that PF must be greater 1.5 to be profitable?
4) Has anyone experienced positive slippage?

I don't mind over designing my system to build more margin into it. It is good engineering practice. Unfortunately, we don't have the resources of NASA whereby we we can build in triple redundancy.

Reply With Quote
 
  #27 (permalink)
Elite Member
Huntington WV
 
Futures Experience: Advanced
Platform: TradeStation
Favorite Futures: ES, CL
 
TheTradeSlinger's Avatar
 
Posts: 402 since Jun 2015
Thanks: 639 given, 510 received


fiverr View Post
I don't mind over designing my system to build more margin into it. It is good engineering practice. Unfortunately, we don't have the resources of NASA whereby we we can build in triple redundancy.

The algos you are trading against do have the resources, that's the difficulty of retail algo trading.

Reply With Quote
 
  #28 (permalink)
Elite Member
Calgary
 
Futures Experience: None
Platform: TradeStation, MT4
Favorite Futures: ES, Stocks
 
Posts: 73 since Aug 2015
Thanks: 4 given, 10 received

Beside the low pf, please comment on this strategy report.

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

Reply With Quote
 
  #29 (permalink)
Elite Member
San Diego, CA
 
Futures Experience: Intermediate
Platform: Tradestation
Favorite Futures: ES
 
Posts: 12 since Jul 2015
Thanks: 61 given, 18 received

Just for grins, you might try doubling your Slippage from $10 to $20, maybe even higher.

Reply With Quote
The following user says Thank You to Stevedee for this post:
 
  #30 (permalink)
Elite Member
Calgary
 
Futures Experience: None
Platform: TradeStation, MT4
Favorite Futures: ES, Stocks
 
Posts: 73 since Aug 2015
Thanks: 4 given, 10 received



Stevedee View Post
Just for grins, you might try doubling your Slippage from $10 to $20, maybe even higher.

Stevedee,

I finally got LIVE trading data from a friend who trades Emini S&P with a well-known broker and the numbers are shocking. I am surprised that this broker has not been sued for asymmetrical slippage practice. As I told you guys previously, my background is in currency trading; hence, I know all about asymmetrical slippage, see below.

FXCM UK Announces $16.9 Million Settlement with FCA for Asymmetric Slippage

NFA levies $2,000,000 monetary sanction against FXCM and orders refunds to customers for asymmetrical price slippage.


For those that are interested in the numbers, here are my findings based on 168 trades (79 buy & 90 sell trades).
1) 82 trades match with TS backtesting
2) Only 7 trades have positive slippage: 6 trades with $12.50 and 1 trade at $25
3) 79 trades have negative slippage ranging from $12.5 to $275 and they costed him $3,925.

This is insane. It is so convenience for the losing trades to go against him; whereas, he did not benefit much from the positive slippage. Anyhow, I am not going to mention the broker name but this is crazy. My friend made some profit with his trading system but he should have made more.

I came across this article which may be of interests to some of you. KICK THE (SLIPPAGE) TIRES BEFORE INVESTING IN A TRADING SYSTEM


Quoting 
You can see that the estimates are anything but uniform across markets, with slippage essentially equal to the minimum movement (1 tick per side *2 sides = 2 ticks) in the very large volume markets like emini S&P, EuroDollars, 10yr Bonds, and the EuroBund and up to 15 ticks in lower volume markets like Feeder Cattle and Heating Oil.


Reply With Quote

Reply



futures io > > > Emini S&P 500 Strategy Performance Report Benchmark

Thread Tools Search this Thread
Search this Thread:

Advanced Search



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

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Emini S & P 500 and US Interest Rate Hike Possibility hifromeddie Emini Index Futures Trading 8 September 19th, 2015 07:02 AM
Emini S & P 500 Intraday Trading Hours and Margin etc. hifromeddie Emini Index Futures Trading 9 September 1st, 2015 12:56 AM
Daytrading the Emini S&P 500! cj060896 Emini Index Futures Trading 51 February 11th, 2015 11:43 AM
Hedge fund performance lags S&P 500 Quick Summary News and Current Events 1 November 24th, 2013 03:56 PM
Books on Emini S&P 500 one53brooklane Traders Hideout 2 March 1st, 2011 08:01 PM


All times are GMT -4. The time now is 11:22 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 2017-12-11 in 0.18 seconds with 20 queries on phoenix via your IP 54.82.81.154