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Would you run this strategy? 10 year DAX backtest results attached.What do you think?
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Created: by Dvdkite Attachments:10

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Would you run this strategy? 10 year DAX backtest results attached.What do you think?

  #41 (permalink)
Market Wizard
New York, NY
 
Trading Experience: Intermediate
Platform: NinjaTrader8
Broker/Data: Data = Rithmic -- Gives 70 Level II Data
Favorite Futures: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
 
Posts: 1,063 since May 2011
Thanks: 1,473 given, 770 received

Strategy PLEASE

Been looking for even a minorly profitable auto strategy for YEARS without success. Do any of you strategy users have an even minorly profitable strategy that you would share with me through a PM or other method?

Good Trading ALL !!!

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  #42 (permalink)
Trieste Italy
 
 
Posts: 133 since Feb 2018
Thanks: 122 given, 15 received


jmont1 View Post
DdvKite, in the U.S. brokers mostly use about $2500 margin for intraday trading FDAX. It is much higher for overnight margin which would kick in if you hold a trade beyond 5pm EST. You can close a trade by 4:45pm and reopen a new trade at 6:01 and still be using the day margin of $2500 but cannot hold through that closed period.

An experienced trader whom seems to do well believes that U.S. morning markets have a pattern that starts in the FDAX, then the NQ and then the ES. It is not fool proof but perhaps it has enough relevance that your system could see the FDAX start the move and confirm and trade in the NQ which only has a $500 intraday margin. Just a thought.

If you decide to try the CL market - there are lots of market replay files in the NT8 download section.

GOOD TRADING ALL !!!

Really good news, I think this would be a way to test even more than one of my strategies... maybe 1 over the bid dax and another on the minidax... I surfed the web yesterday and Ive found for example https://optimusfutures.com/Margin-Rates.php and they seems to be a solid broker. They offer 2500$ foro DAX and 500$ for MINIDAX as day trading margin..

I don't care about overnight margin, My strategies works in the cash hours so from 9 - 17.30 .. and it forced the close of an open position 10 minutes before the requirement of an overnight margin (around 21.20 now...for example)

During the simulation test period of the system I'll investigate how to properly open a US account from Italy and just see how taxation work ( Do I only have to pay taxes here in Italy? I have to clear this...)

Thanks for the suggestion!

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  #43 (permalink)
Trieste Italy
 
 
Posts: 133 since Feb 2018
Thanks: 122 given, 15 received



rlstreet View Post
The markets don't care what you want except getting your money fast. And by restricting yourself by just looking at charts / short time price action that is exactly what is going to happen. Sure there are people who can, but hey they have spend a lots of time doing this, blew up more than 1 account and experienced all the phases/hardship where you have to go through to become a pro.

For making money in markets and being a starter Beta strategies like low frequency trading (ETFS and stuff) is the place to start. Ok agree it is boring, less exciting, but safer. If you still want beat the markets and to make Alpha (more short term trading at expense of other participants) then you have to be well prepared. The others are. So trade strategies that will work now and in the past and for a good reason like offering insurance, value, carry arbitrage, seasonalties etc.

You have you point eheh and I perfectly understand what do you mean. I think that I actually have to find a way that works for me and as I said I'm going to take EVERY suggestion I receive here. I already experienced some phases during my trading experience, but only as discretionary so my first experience here will be only on Automated trading.

thanks

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  #44 (permalink)
Trieste Italy
 
 
Posts: 133 since Feb 2018
Thanks: 122 given, 15 received


jmont1 View Post
Been looking for even a minorly profitable auto strategy for YEARS without success. Do any of you strategy users have an even minorly profitable strategy that you would share with me through a PM or other method?

Good Trading ALL !!!

Honestly , as I said, this is going to be my first LIVE experience with an automated system so I can't say anything about all my systems because until I run somthing with real money it's only paper and backtest.....

I'll update the post in the upcoming months to see how it proceed...

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  #45 (permalink)
Trieste Italy
 
 
Posts: 133 since Feb 2018
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amoeba View Post
Hi David,


There are some really good webinars on this site by fellow autotraders that explore many of these issues, do a search for Kevin Davey, he outlines a very good methodology for developing and testing trading systems, you can also find him on this site @kevinkdog

Hello Again @amoeba,

this morning I was searching the web with your suggestion: kevin Davey and when I've found it's book title Building Winning Algorithmic Trading Systems I just REALIZED that it's one of my first reading about automating strategies! I red it this march... it was really interesting and it gave me almost 90% of the insight about what is a walk forward optimiziations and what OOS data means! It was , along with some other books, a mind opening for me into this word.
Just a curiosity that you mentioned a book that I already found some months ago by random search !

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  #46 (permalink)
Sydney, NSW, Australia
 
Trading Experience: Intermediate
Platform: Sierra Chart, Python, C#
Broker/Data: Interactive Brokers
Favorite Futures: MJNK, ASX, SPI
 
amoeba's Avatar
 
Posts: 167 since Jan 2014
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Dvdkite View Post
Hello Again @amoeba,

this morning I was searching the web with your suggestion: kevin Davey and when I've found it's book title Building Winning Algorithmic Trading Systems I just REALIZED that it's one of my first reading about automating strategies! I red it this march... it was really interesting and it gave me almost 90% of the insight about what is a walk forward optimiziations and what OOS data means! It was , along with some other books, a mind opening for me into this word.
Just a curiosity that you mentioned a book that I already found some months ago by random search !

haha, there you go, if you have read Kevin's book you will be on the right path to developing a solid strategy building methodology.

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  #47 (permalink)
Trieste Italy
 
 
Posts: 133 since Feb 2018
Thanks: 122 given, 15 received

Hi everyone,

just a quick update. As you can see in this table for august the real time simulation operations (total in yellow, column light blue) are almost identical to the backtest simulation (total in green, column light yellow).

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So the important thing here is that the system is performing in real time simulation the same entries and exits as in the backtest and I'm very satisfied with that. Also august is not considered to be a good month due to low volume and possible price manipulations situations (from bigger players) and even in that conditions it performed a good month.

Of course one month is not enought to make any conclusion so let's see how september will perform with a regular volume market.


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  #48 (permalink)
Bangkok+Thailand
 
 
Posts: 44 since Nov 2012
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How's your September results?


Dvdkite View Post
Hi everyone,

just a quick update. As you can see in this table for august the real time simulation operations (total in yellow, column light blue) are almost identical to the backtest simulation (total in green, column light yellow).

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



So the important thing here is that the system is performing in real time simulation the same entries and exits as in the backtest and I'm very satisfied with that. Also august is not considered to be a good month due to low volume and possible price manipulations situations (from bigger players) and even in that conditions it performed a good month.

Of course one month is not enought to make any conclusion so let's see how september will perform with a regular volume market.



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  #49 (permalink)
Trieste Italy
 
 
Posts: 133 since Feb 2018
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meow View Post
How's your September results?

Hi meow,
Those are the results (real time simulation First columns and backtest results on the right as it was above)

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PS: 25 and 26 of octobers had 0 operations.

Results are still positive with low number of operations in september and in october too even in those turbolent days.
As a curiosity please note that I've removed just ONE operation from the september count ( a gain of 1118€ )and you can see it marked in Green. I removed it from the count simply because when I was looking at the strategy on the screen and checking some configurations I've ACCIDENTALLY switched off an indicator (NOT THE STRATEGY). Then I've Immediately re-activated the indicator and in that EXACT MOMENT the system opened a long position... Maybe it was a coincidence but I was not sure... so I removed that 1118€ from the count, otherwise september would be also over 2000€....

Anyway while I'm still developing ( means "trying to "eh eh ) other systems, I will leave the system in testing mode for a few more time and if it will perform as it is actually doing I'll put it live...

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