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


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

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  #1 (permalink)
Trieste Italy
 
 
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Hello everyone,

I came here (futures.io) at the begininning of the year and I've found this place as a very valuable source of information and it helped me a lot with the learning process. From late february I started to learn easylanguage and take some confidence with multichart. Now after almost 4/5 months of daily tests and over 20 developed strategies I finally came up with 2 interesting automated strategies and In this post I like to know your opinion on one of my systems.

I'm actually developing all my strategies over the DAX (eurex exchange) future included this one. All I can say about the entry rules is that the system is actually calculating an initial BIAS (bull, neutral, bear) at the beginning of the day (it can change with some rules) and based on that it make some entries using the previous day VALUE AREA levels.
The system works only intraday during the cash session and ONLY ONE STOP LOSS per day is allowed. There's no limits of consequential gains.

Some hystory about the development process:
I started to develope the stystem over a small backtesting period of 1 year just to see if my edge is right or not and to put down the basic code logic of the signal. I first wrote the BIAS definition code and then all the entry and exit cases... I was satisfied because the test from half 2017 to today was very promising so when the first rough version of the system was ready I tested it over the last5 years and I sadly discovered that is was losing and then barely staying alive from 2013 since the end of 2016. Basically I discoved that it was really profitable only in the last 1 year.
We all know that 1 year of good backtest is NOTHING so I went back to the entry logic and spent some hours modifying and testing all the entry rules, checking the entry levels and testing new patterns and FINALLY I came up with a logic that made the system profitable as I hope in the last 5 years.
After that I spent some time with the optimization. Please note that this system doesn't have so many parameters: it has some variables that define a sort of "profit protection" (If I reach X tick of gain then at least I want to earn X/2 ticks so I place there a stop order) and then there's the stop loss. The interesting thing si that I had those 3 different interesting situations with those value of the stop loss (and the profit protection fixed to points):

SL 25 points I had almost the BEST NET profit possible
SL 15 points I had the Best Profit Factor
SL 10 I had the lowest Drawdown

Just curious because I discovered that 90% of the system performance differencies are based over the STOP LOSS value setting.
In all case the profit factor was around 2 or little higher.

10 YEARS BACKTEST :

So in front of those results it was time to test if over the maximum number of years provided by IQFEED ( 10 years) so I tested it since late 2008 to today leaving the SL at 25.

It really was a pleasure to discover that it was working the same (almost) way in the ealy year that it used to do in the last 5 years. The system as you could see below is profitable every year. The most interesting thing is that it is really profitable in the most of the months with only a few negative losing months. It has maximum loss per day equal to 644,5Ä that is 25 point of dax included slippage 1 tick and commissions.
System has been tested over a regular chart with 5 minute bars. It has a resonable maximum DD and it really doesn't have so many negative days. As my first system I was hoping to have something with a maximum affordable loss risk per day and this is something I can deal with.

This year (still don't know when) I'm planning to go live with 1 or 2 strategies and this will be my first automated system trading experience. So I simply wanto to know what do you think about this system based on those backtesting results? Would you go live with it?
Any advice? I just would like some suggestions from automated trading veterans!

Any comment is appreciated,

Regards,

David

SYSTEM PERFORMANCE



EQUITY LINES







TRADE ANALISYS



ANNUAL ANALISYS



MONTHLY ANALISYS (since 2015, just to show you how single months are doing)



MONTECARLO


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  #3 (permalink)
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Hi David,

These comments lead me to think it is possible you have accidentally fallen into curve fitting your strategy;


Dvdkite View Post
.....
I was satisfied because the test from half 2017 to today was very promising so when the first rough version of the system was ready I tested it over the last5 years and I sadly discovered that is was losing and then barely staying alive from 2013 since the end of 2016. Basically I discoved that it was really profitable only in the last 1 year.
We all know that 1 year of good backtest is NOTHING so I went back to the entry logic and spent some hours modifying and testing all the entry rules, checking the entry levels and testing new patterns and FINALLY I came up with a logic that made the system profitable as I hope in the last 5 years.
After that I spent some time with the optimization.
........

For system research and testing, I know some traders who will develop on a small historic sample, then test on a out of sample walkforward. If that out of sample walkforward test not produce good results they abandon the original concept and move on to a new idea.

But if you go back to the development data sample and make changes to test again on the forward data, you no longer have out of sample data, and have fitted your results to the whole data set.

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

Don't be discouraged though, I believe Kevin also say's he might get a couple profitable strategies out of 100 ideas. So it is a case of having a solid methodology and continuing the efforts.

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  #4 (permalink)
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If you think it is profitable test with real money!

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  #5 (permalink)
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Don't test with real money.
You need to test with historic data you haven't used yet, without changing anything else.
Then, if that works, you need to test it in SIM in real time for 3-6months.
All that before going with live money.

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As others say, back test and optimise on a sample of your data only and allow an amount of data to test before and after that optimised period.
So if you have five years of data going back from now then I would choose say three years of data 2015-2017 and test and optimise your strategy on that period. Then run a back test of your chosen system on the year of earlier data for 2014 and see whether the results are comparable, and then forward test on the last seven months of 2018 data and again compare the results. Assuming the results are similar, having that seven months of forward test data of the most recent past, that your methodology wasn't optimised on, means the amount of time you need to sim test it live could be reduced as you really just need to check the system is all actually working properly live, rather than requiring another few months validating the methodology. (Though extra confidence is always good).

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jackbravo View Post
Don't test with real money.
You need to test with historic data you haven't used yet, without changing anything else.
Then, if that works, you need to test it in SIM in real time for 3-6months.
All that before going with live money.

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It looks a bit too good to be true .
I'll also run it for 6 months with a live data feed and a demo account, and would backtest the same strategy with a correlated instrument.

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  #8 (permalink)
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Thanks for posting your back test Dvdkite,

Earlier in the year, you mentioned that you were testing Heiken Ashi bars with your strategies. Does this use normal OHLC bars or HA bars? If they are normal bars then well done. That would be a very impressive result and I would consider moving forward with the strategy. If it does not happen to use a standard bar type, then I would be very careful risking real money.

A good test is to use IB's paper trader for forward testing. If your paper trading statements match what you see in terms of win rate in the MC back tester then go for it.

Best of luck,

Alex

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  #9 (permalink)
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What I always do is thoroughly checking entry and exit-points on the chart on one hand and on the other the expectations from my algo. Developing the system you have to have a good understanding regarding the context a trade is getting triggered. So comparing the expectations compared to the actual entry/exit-points is worth a lot. Regarding some common problems even without knowing your strategy one could see on the chart whether you are trapped into a programming problem which causes the great result. Maybe you could post some screenshots with trades.

As you are using Multicharts it could be easy to check whether the strategy is satisfying in live mode or not. Just run the strategy with your broker-feed after applying the correct configurations. Correct configurations and it's no problem to use the real-account, then the trades will occur in your chart and performance report and no trades are forwarded to the broker. Just configure it first, this way I do it for myself and it's a great way to test it before going live with transmitted orders. At the end of the session I always were evaluating the daily outcome of the strategy and comparing it with backtests made after the session for that day.

This way you can achieve the test with out of sample data, which seems necessary.

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  #10 (permalink)
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So perhaps you would like to tell us some more about this strategy such as the set-up, entry triggers etc.. This way you might let us run a similar strategy to help with the validation process...

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  #11 (permalink)
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Consistently profitable mechanical traders are versed in programming, math, and statistics. First and foremost, they know how to back-test correctly, and how to avoid the multitude of statistical biases and errors that can arise. Even traders who arenít looking for a magic system often make the mistake of thinking that their back-testing has any merit. More often than not, itís mired in numerous statistical errors that leave it not only incorrect, but worse yet dangerous to their trading account. the math and statistics of correct back-testing and system building are extremely complicated. Unless youíre a math and statistics whiz, you donít stand a chance.

System traders that are successful, understands the markets in a deep way. This is of vast importance because market conditions (like volatility and directional conviction) are cyclical and they go through different kinds of patterns over time. So even if you were given a solid algorithmic system by a great mechanical trader, you still wouldnít be able to make money from it over long periods of time because it would need to be fine-tuned to adapt to changing conditions. Moreover, the great mechanical traders will often have several systems and theyíll choose which ones to employ at what times based on their deep understanding of market behavior.

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  #12 (permalink)
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I would ask myself if there is any fundemental reason for this strategy to perform like this. Are you taking on risks others are not comfortable with, or exploiting other real market mechanisms. And to be honest, a backtest like that is unrealistic as you know everybody in the world is looking for that curve, institutions with lot more resources than us retail traders.

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  #13 (permalink)
Trieste Italy
 
 
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First of all I wanto to thank you all for your replies ans suggestion. Any critics will help me to improve my validation process.



amoeba View Post
Hi David,

These comments lead me to think it is possible you have accidentally fallen into curve fitting your strategy;



For system research and testing, I know some traders who will develop on a small historic sample, then test on a out of sample walkforward. If that out of sample walkforward test not produce good results they abandon the original concept and move on to a new idea.

But if you go back to the development data sample and make changes to test again on the forward data, you no longer have out of sample data, and have fitted your results to the whole data set.

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

Don't be discouraged though, I believe Kevin also say's he might get a couple profitable strategies out of 100 ideas. So it is a case of having a solid methodology and continuing the efforts.

Hi Amoeba,

Yes I completely understand this point of view and I also thought that I should be carefull to do not overfit with the system but I also don't want to be scared to do some kind of optimization because sometimes it can lead you to new ideas and values that otherwise you woulnd't ever think about.
Anyway your point about the Out of the Sample data is true because I started to develope it using the last year. BUT when I started to use data from 2013 the backtest shown me cases and patterns ----> entry/exit cases that I wasn't able to see in a market movement during the last year.
My purpose is to develope a system at least using 3/5 years... doing it on only on 1 year can lead you to too optimistic and maybe unrealistic results and the only reason I started with just one year was to set up a raw system of rules and just see if it can have a chance and then I moved to 5 years development.

Talking abount out of the sample data:
please note that when I completed the 2013-2018 system (with a slight optimization just over the STOP LOSS VALUE) then I just switched the start date WITHOUT TOUCH ANYTHING to 2008 and as you can see in the backtest the 5 years 2008/2013 are performing good without any optimizazion over that !
I know it's not a classic Walk Forward Optimization that uses the last 6 month as OTS data but 5 year of past out of the sample should be taken in consideration as a good UNTOUCHED DATA isn't it ?

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  #14 (permalink)
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martinhunting View Post
If you think it is profitable test with real money!

Very helpful thanks

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  #15 (permalink)
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@jackbravo and @matthew28

Please read my answer above to @amoeba where I'm saying that the system has been tested on untouched data from 2008 to 2013.

Of course I'll plan to do an incubation period by leaving the strategy on multichart and Iqfeed to see how it works on the charts in real time and without do real operations. That's always useful , I'm also doing it for other Trading systems and by that way you can also understand if your backtests are trustable or not (it really depends on your system's logic).

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hughesfleming View Post
Thanks for posting your back test Dvdkite,

Earlier in the year, you mentioned that you were testing Heiken Ashi bars with your strategies. Does this use normal OHLC bars or HA bars? If they are normal bars then well done. That would be a very impressive result and I would consider moving forward with the strategy. If it does not happen to use a standard bar type, then I would be very careful risking real money.

A good test is to use IB's paper trader for forward testing. If your paper trading statements match what you see in terms of win rate in the MC back tester then go for it.

Best of luck,

Alex

Hello Alex,

in the past ( at the beginning ) I used to create strategy directly on HA chart just to discover that 99% of entries are made at unreal prices with totally unrealistic and simply FALSE backtesting but it's not this case.

This system is running over a 5 minutes REGULAR BAR chart. I've coded manually the HA bars logic so and I just use them somewhere to see how the dax is trending (example if a previous HA bar is RED or GREEN I do have a confirmation ... otherwise not).
Anyway ALL the logic is coded over REGULAR bars and it does entries based on VAH levels. So I'm using the Yesterday Value Area High and Low and Point of Control for my entry and exit setup.

As I can read all you guys always test it on SIM for 3 /6 months?
In my case I'll leave the strategy live on a MC chart with DATAFEED every day with no-broker configured and I'll save all entries at the end of every day into an excel to compare them later with the backtesting. As I've understood this seems the only way to discover if the system is performing the same in backtesting and it real time trading.


PK 1 View Post
What I always do is thoroughly checking entry and exit-points on the chart on one hand and on the other the expectations from my algo. Developing the system you have to have a good understanding regarding the context a trade is getting triggered. So comparing the expectations compared to the actual entry/exit-points is worth a lot. Regarding some common problems even without knowing your strategy one could see on the chart whether you are trapped into a programming problem which causes the great result. Maybe you could post some screenshots with trades.

As you are using Multicharts it could be easy to check whether the strategy is satisfying in live mode or not. Just run the strategy with your broker-feed after applying the correct configurations. Correct configurations and it's no problem to use the real-account, then the trades will occur in your chart and performance report and no trades are forwarded to the broker. Just configure it first, this way I do it for myself and it's a great way to test it before going live with transmitted orders. At the end of the session I always were evaluating the daily outcome of the strategy and comparing it with backtests made after the session for that day.

This way you can achieve the test with out of sample data, which seems necessary.


Bosch777 View Post
So perhaps you would like to tell us some more about this strategy such as the set-up, entry triggers etc.. This way you might let us run a similar strategy to help with the validation process...

Hello @PK 1 and @Bosch777,
this is exacly what I'm planning to do (and I'm already doing for other systems) to check if entries are triggered where I really want. And as I said above I think that the only way is by having the strategy live on MC just with the datafeed and see if it makes entries in real time as expected.

You talked about great result eheh I think the strategy is doing good ok, but I don't think it is soo incredible .. that curve is over 10 years... and it seems that is pointing straight to the top but it also have its own Drawdowns.... please view the LONG entries equity .. can you see that it is not so perfect? Also if you look at the monthly earning list you can see that it is LOSING EVERY MONTH... of course it EARN MORE than it lose but I mean It's not so unrealistic... the system has negative trades too...
I simply made a rule with NO MORE than 1 STOP loss a day to limit my daily loss personal tollerance eh eh

Also by checking entries and exits carefully in the charts I don't see anything that could point me to a programming trap expecially because this strategy is not doing some magical stuff. I'll not reveal all the logico but as I said it is simply woking on TPO concept. It define a BIAS (that can change) and then it make entries using the VAH levels of the previous day wich are precise defined prices as Yesterday Value Area High and Low[/I] and Point of Control and then I search some patter over the past X numbers of bars... that's it.

You know ...using TPO has a lot theory behind it, I just made my own rules to use those levels...

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  #17 (permalink)
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rlstreet View Post
I would ask myself if there is any fundemental reason for this strategy to perform like this. Are you taking on risks others are not comfortable with, or exploiting other real market mechanisms. And to be honest, a backtest like that is unrealistic as you know everybody in the world is looking for that curve, institutions with lot more resources than us retail traders.

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Hello rlstreet,
as I said above in my last reply over this one, I don't think this is a super performer system. It has a decent curve but it's a ten year curve...you should check for example the LONG equity and see that it is NOT perfect and it still have a lot of DrawDown periods ...the largest DD is around 5K .... and i you look at montecarlo analisys it could be twice as that.

I'm honestly not taking any special risk. I'm tryng to take risks as low as possible expecially because this year I'll go live for the first time ever with a strategy and I simply would like to do all tests and theory at the best I can just to say to my self that even if it will lost money I've done the best that I could.
However this system really doesn't do anything special than entry/exit over the previous day VALUE AREA LEVELS....the difference between this and other TPO systems is that I have my own pattern that trigger the entry over the level... and as I said it LOSES many time too... so I don't think it is so unrealistic.

In the past I designed a system that has a PROFIT FACTOR of 88 .. it was the beginning and I was thrilled about that.. but I quickly discovered that despite is was doing like 9k a day over the dax then in the real time simulation it was losing 3k eh eh ... I quickly managed to recognize UNREALISTIC backtests and it helped me a lot...

Now I have a PF of 1,92 and it is not so incredible or unrealistic....don't you think?

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  #18 (permalink)
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martinhunting View Post
Consistently profitable mechanical traders are versed in programming, math, and statistics. First and foremost, they know how to back-test correctly, and how to avoid the multitude of statistical biases and errors that can arise. Even traders who arenít looking for a magic system often make the mistake of thinking that their back-testing has any merit. More often than not, itís mired in numerous statistical errors that leave it not only incorrect, but worse yet dangerous to their trading account. the math and statistics of correct back-testing and system building are extremely complicated. Unless youíre a math and statistics whiz, you donít stand a chance.

System traders that are successful, understands the markets in a deep way. This is of vast importance because market conditions (like volatility and directional conviction) are cyclical and they go through different kinds of patterns over time. So even if you were given a solid algorithmic system by a great mechanical trader, you still wouldnít be able to make money from it over long periods of time because it would need to be fine-tuned to adapt to changing conditions. Moreover, the great mechanical traders will often have several systems and theyíll choose which ones to employ at what times based on their deep understanding of market behavior.

Hello Martin,

I appreciate your point of view and maybe many of your concerns are has been already replied in someone else's replies. Anyway this sounds more like a teaching theory speech that points to discourage me just because the trading world is completely in the hands of mathematichans and statistics. But honestly I didn't say nothing about my background ( I have experience with prgramming and even with some mathematica and statistics from my University Degree in Electronic Engeneer )but that's not the point here.
All your statements are CORRECT and you are right , but this answer doesn't help me to IMPROVE my system validation process at this time. I made this post just to discuss constructive feedback and to see what other automated trades do to validate their own systems.

Regarrds,

David

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Hi Dvdkite,

I would highly recommend that you do use the IB paper trader if you can. For example, I have to run my strategy at second intervals for the Multicharts back tester to resemble anything close to what I get at IB. It is a second opinion in a way to make sure that your fills are not overly optimistic. If your broker fills match what you see in back testing then that is one less thing to worry about. The next step is to see how sensitive your strategy is to the feed itself. You may have trades that execute or not execute in real time that never show up when you reload your historical data. You need to track how often that happens. If it happens a lot then you can't trust your back test. Think about your latency. You may want to have a data feed that keeps everything in Europe if you are in Italy and trading the Dax.

Allow several months of forward testing. The middle of summer is not an ideal time to start collecting data. Your important months will be September to January.

Best of luck,

Alex

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  #20 (permalink)
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What is the highest performing algo you have running right now? If you compare these results with this algo, don't you think this is the best performer of all?

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Again ask yourself why is algo performing like this, if you can't explain it in a sentence it is probably a fluke

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My approach would be to search activily for counter arguments, saves lot of time

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  #23 (permalink)
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rlstreet View Post
Again ask yourself why is algo performing like this

A lot of good posts came so far and the quote above is the most important question. According to the recent answers from topic opener he's on the right way and it seems he just seeks for some opinions from other people.

The point is: If the question why the algo performs great can be answered with the followed defined workflow than things turn out to be great for the system. If it's not clear to see which points the system claims from the market than one has to be extremely careful.

Either way at this stage I'd immediately go live for testing purposes and as said before in MC you can do this even in live-account (correctly configured the trades won't be transmitted to the broker). Doing this in the last months I came upon some problems in MC where trade entry points are not as correct as they should be even though I was using second data for tests on a 15 minute time frame. Thatswhy I asked whether he could show us some screenshots with entry / exit points. This way he doesn't necessarily unveil the strategy and it could help in a great way to have a better approuch to answer the question of this thread.

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  #24 (permalink)
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rlstreet View Post
Again ask yourself why is algo performing like this, if you can't explain it in a sentence it is probably a fluke

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I have to accept all critics because every word can help me to grow.
Honestly I've already replied to this. I don't see any particular performance here. It is actually performing as it should based on my entry rules. It WIN and LOSS and I already said that my entries are on Value Area High, Value Area Low and POC. It doesn't have any magic tools inside.
I can explane every details except the full logic code that I'm going to take for me.

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  #25 (permalink)
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PK 1 View Post
A lot of good posts came so far and the quote above is the most important question. According to the recent answers from topic opener he's on the right way and it seems he just seeks for some opinions from other people.

The point is: If the question why the algo performs great can be answered with the followed defined workflow than things turn out to be great for the system. If it's not clear to see which points the system claims from the market than one has to be extremely careful.

Either way at this stage I'd immediately go live for testing purposes and as said before in MC you can do this even in live-account (correctly configured the trades won't be transmitted to the broker). Doing this in the last months I came upon some problems in MC where trade entry points are not as correct as they should be even though I was using second data for tests on a 15 minute time frame. Thatswhy I asked whether he could show us some screenshots with entry / exit points. This way he doesn't necessarily unveil the strategy and it could help in a great way to have a better approuch to answer the question of this thread.


Hello PK 1,

Thanks again for your reply. To BE CLEAR I'm saying THANKS TO EVERY REPLY HERE FROM EVERYONE, they're helping me a lot to understand what's the best practice before go real. You're right, I like to receive some opinion from experts in automated systems before go live with real money FOR THE FIRST TIME.

About the question "why is the algo perform like this": As I said above the system is simply doing what it's supposed to do, I'm not surprised about entries and exits as they are performed as they should around VAH and VAL and POC of the previous day.

What I'm actually doing with other strategies is to leave them live all the day on MC with IQFEED and save every late evening the entries and exits on an excel file and then I compare those live results with the backtest.
And of course I'll do it with this stategy as you suggested. I'm also convinced that a minimum of incubation period is needed to see in entry levels during live simulation match with backtests entries.

Another talk is the broker, latency, datafeed.

As datafeed actually for the EUREX I'm using IQ FEED. Almost all people around here and elsewhere said that their close to the best and as far as I can see that's true.
I actually I have an italian broker WEBANK (they also give for free with the trading account the datafeed but I think that maybe is best to use IQ FEED Anyway don't you think?) and I have NO IDEA about their latency during order transmissions and executions and this is something that I have to investigate. But only a real test can show me how fast they are.
Secondary thing I have to decide if charge my account on WEBANK for algo trading or go with another broker like IB or similar. All will depends from:

1) How fast the new broker will be compared to webank (and with the good reputation of IB I think it's not easy to beat them with whatever italian bank)
2) from the margin required for the big DAX that is very high even for intraday trading.

Anyway I think that a good and clever idea would be to test it first on the MINIDAX and take a risk (and the gain) 5 time smaller... if it will perform as it should I can simply add contract if it gain enough money to cover the risk.

Actually I don't have other data subscription than for the EUREX exchange so I can test it only on dax and on the euro BUND.
I would be curious to test it with the ES and I'll do it as far as I'll find some good data of the last 10 years...

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  #26 (permalink)
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Your doing the right thing to ask around. The more point of views, the better the result.

But what I mean is a more fundemental question you have to ask yourself: what is the deficiency you think that this algo is exploiting? Preferably you do this in advance of developing an algo, by doing a little research: article's , own research. So you know what is going on and where the odds are.

So if I had an algo going long thebDAX when the sma200 is half the size of angle of the Moon compared goals scored by Germany, and back tests results where amazing, would you trade it, only because of the back test results?

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  #27 (permalink)
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So my advice: don't take it just works for an answer, but try to come up with a mini theory why something is working, by doing some research. Imo this way you really learn and develop the skills for an algo trader.

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Dvdkite View Post
Hello PK 1,

Thanks again for your reply. To BE CLEAR I'm saying THANKS TO EVERY REPLY HERE FROM EVERYONE, they're helping me a lot to understand what's the best practice before go real. You're right, I like to receive some opinion from experts in automated systems before go live with real money FOR THE FIRST TIME.

About the question "why is the algo perform like this": As I said above the system is simply doing what it's supposed to do, I'm not surprised about entries and exits as they are performed as they should around VAH and VAL and POC of the previous day.

What I'm actually doing with other strategies is to leave them live all the day on MC with IQFEED and save every late evening the entries and exits on an excel file and then I compare those live results with the backtest.
And of course I'll do it with this stategy as you suggested. I'm also convinced that a minimum of incubation period is needed to see in entry levels during live simulation match with backtests entries.

Another talk is the broker, latency, datafeed.

As datafeed actually for the EUREX I'm using IQ FEED. Almost all people around here and elsewhere said that their close to the best and as far as I can see that's true.
I actually I have an italian broker WEBANK (they also give for free with the trading account the datafeed but I think that maybe is best to use IQ FEED Anyway don't you think?) and I have NO IDEA about their latency during order transmissions and executions and this is something that I have to investigate. But only a real test can show me how fast they are.
Secondary thing I have to decide if charge my account on WEBANK for algo trading or go with another broker like IB or similar. All will depends from:

1) How fast the new broker will be compared to webank (and with the good reputation of IB I think it's not easy to beat them with whatever italian bank)
2) from the margin required for the big DAX that is very high even for intraday trading.

Anyway I think that a good and clever idea would be to test it first on the MINIDAX and take a risk (and the gain) 5 time smaller... if it will perform as it should I can simply add contract if it gain enough money to cover the risk.

Actually I don't have other data subscription than for the EUREX exchange so I can test it only on dax and on the euro BUND.
I would be curious to test it with the ES and I'll do it as far as I'll find some good data of the last 10 years...

If you're don't super accurate/unfiltered tick data you should use IB. Just be sure your account is hosted in Zug Switzerland and not somewhere else. You can't use IB for large historical data but if you already have the data with IQFeed...
No idea on what Webank is using, it might be a white label trading platform and same thing for the data/order feed (I didn't recognized the trading platform).
You can have an idea of the execution latency in sending a limit order far from the current price and cancel it when it's in the book. Not 100% accurate but it will give you an idea.
IQFeed servers are in Nebraska, DAX data is coming from Frankfurt, and you're in Italy, so this combo will take time . But not a big deal on large time frame.

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  #29 (permalink)
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sam028 View Post
If you're don't super accurate/unfiltered tick data you should use IB. Just be sure your account is hosted in Zug Switzerland and not somewhere else. You can't use IB for large historical data but if you already have the data with IQFeed...

AFAIK people from EU are hosted in Switzerland or maybe London. Recently I called them on the phone regarding PRIIP and according to that accounts from residents from the EU are definitely treated different to accounts from the US, so must be the account. But I wonder if there's a difference when it comes to the data, when reading the quote above.

For my combination of IB and MC I can say the tickdata is something like 1 second data. I'd think this is due to the known kind of tickdata from IB. For using many years of historical data it doesn't matter whether IB is used or not, MC is dealing with the data and there is no real limit.

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AFAIK people from EU are hosted in Switzerland or maybe London. Recently I called them on the phone regarding PRIIP and according to that accounts from residents from the EU are definitely treated different to accounts from the US, so must be the account. But I wonder if there's a difference when it comes to the data, when reading the quote above.

For my combination of IB and MC I can say the tickdata is something like 1 second data. I'd think this is due to the known kind of tickdata from IB. For using many years of historical data it doesn't matter whether IB is used or not, MC is dealing with the data and there is no real limit.

It's Switzerland by default for IB European customers (nothing in London) but if the customer is mainly trading US stocks or futures they will move the account in Connecticut or in Chicago. It's also possible to ask IB to move to one of these data centers. This is for the order feed, for the data themselves there are different farms for each instrument type/source of the data.

IB "tick data" is in fact 4 snapshot/second. Not sure why they keep doing this in 2018...

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  #31 (permalink)
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sam028 View Post
IB "tick data" is in fact 4 snapshot/second. Not sure why they keep doing this in 2018...


PK 1 View Post
For my combination of IB and MC I can say the tickdata is something like 1 second data.

It was about the combo MC + IB. In MC the datasource Interactive Brokers is defined as I said above. One can check this in Quote Manager.Datasource.Interactive Brokers.Settings. Futhermore knowing what strange tick data IB sends out even for SPY I don't want to get more detailed data, not thrustworthy and invalidating automatic systems. I had conversations with the support, telling them the actually not existing spikes in their data-feed but either they don't care or they send out data like that on purpose.

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  #32 (permalink)
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rlstreet View Post
So my advice: don't take it just works for an answer, but try to come up with a mini theory why something is working, by doing some research. Imo this way you really learn and develop the skills for an algo trader.

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Hello rlstreet,

what you are said make sense and I perfectly understant what do you mean. BUT this strategy is designed with pure price action around 3 level of price ( VAH , VAL and POC ..all from the previous day and calculated in the cash session). It just analize what the prices are doing around those levels and react accordingly to my rules. The systems doesn't care what is happening in the world. All that matters are those 3 levels and what prices are doing near them and what patterns the X previous candles are designing.

After all you post this morning I double checked if entries are correctly made at the level (price) that I want and I printed for debug all levels and entry/exit prices and they are matching perfectly.

So for sure I'll add this Systems live on MC with the datafeed to see how entries are performed in the upcoming months and let's see if they're going to match the backtest.
In the meantime I'll try to convert this strategy for the MINIDAX and it is not so fast because , due to the difference of volume mainly, I cannot simply apply it to the minidax chart but I have to rewrite the strategy using minidax as DATA1 and DAX al DATA2 and then only refer to the minidax for the buys and sells.


Anyway none of you has commented the fact that the system has been tested over untouched data from 2008 to 2013. I know that usually out of the sample data are the last year or six months till today .. but even if those data are in the past they were still untouched and the system perfermed as it should also in those years. Don't you think this is a plus value? Or at least those 5 years have the same values of a more recent year of out of sample datas?

Regards,

David

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  #33 (permalink)
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Dvdkite View Post
Hello rlstreet,

what you are said make sense and I perfectly understant what do you mean. BUT this strategy is designed with pure price action around 3 level of price ( VAH , VAL and POC ..all from the previous day and calculated in the cash session). It just analize what the prices are doing around those levels and react accordingly to my rules. The systems doesn't care what is happening in the world. All that matters are those 3 levels and what prices are doing near them and what patterns the X previous candles are designing.

After all you post this morning I double checked if entries are correctly made at the level (price) that I want and I printed for debug all levels and entry/exit prices and they are matching perfectly.

So for sure I'll add this Systems live on MC with the datafeed to see how entries are performed in the upcoming months and let's see if they're going to match the backtest.
In the meantime I'll try to convert this strategy for the MINIDAX and it is not so fast because , due to the difference of volume mainly, I cannot simply apply it to the minidax chart but I have to rewrite the strategy using minidax as DATA1 and DAX al DATA2 and then only refer to the minidax for the buys and sells.


Anyway none of you has commented the fact that the system has been tested over untouched data from 2008 to 2013. I know that usually out of the sample data are the last year or six months till today .. but even if those data are in the past they were still untouched and the system perfermed as it should also in those years. Don't you think this is a plus value? Or at least those 5 years have the same values of a more recent year of out of sample datas?

Regards,

David

Let me give an example of a hypothetical mini theory: my system is exploiting the morning in flow of relative dumb money, which has the tendency to create more momentum than during later on day.

Ok it is a theory, so need to research: 1 is there more momentum in the morning than during the rest of the session, are there special times,days, how to measure momentum 2 dumb money what is it, can I find more info on the topic morning opening.

In this way you create a clear picture of your problem space,odds, so after this work you can find rules, levels, to exploit this inefficiency. And maybe most important you create a deeper understanding of the markets.

At this moment you have a set of rules and no idea what you are exploiting. And you mined the rules so it gave the idea you have caught a pattern that could persist in the future.

Don't get me wrong, maybe you on to something, i don't know. Luckely there are many ways to find out before allocating real money to it: simulation, robustness tests.


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  #34 (permalink)
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Dvdkite View Post
Hello everyone,

I came here (futures.io) at the begininning of the year and I've found this place as a very valuable source of information...

TRADE ANALISYS




@Dvdkite, I'm not able to get a good auto system so I am impressed by your information.


Seems a shame to go for such a long time missing out on profits if your system actually works. Perhaps you could determine an acceptable loss ratio of your account size and just run for a day at a time with a max daily and overall loss amount including a max drawdown. So if you do run well at first and run into a poor period you do not give it all back.

Professional members here will surely think this a foolish idea but I was never considered the brightest bulb in the set.

As for the information above, I would just comment that your losses have 50% more bars than your wins. Perhaps you can implement a maximum amount of loss within X bars or you close out early. I.E... after 9 bars Profit is > - $150 or you close the trade. Or instead of bar count you use clock time and a minimum value. Ninjatrader code:

if ((BarsSinceEntryExecution() >= MaxOutBars)
&& (Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency) <= MinBarsProfit))
{
ExitLong(Convert.ToInt32(Position.Quantity), @"MaxBarsL1", @"Long1");


I also recall that in NT7 backtesting there was an anomalie that if the trade opened and closed in the same bar it should be suspect because there was no way to tell the real procession of the bars and a win might actually hove been a loss. My guess is you do not have that issue but felt it might be worth looking into.


As for trying to start with the MDAX before trusting it with the FDAX, I would hesitate there. I have limited experience with either contract but have seen enough to know that the very shallow volume of the MDAX leads to spreads that would not be seen on the FDAX. Spreads are "Bad" for day traders in MHO. So take a little time to watch the two DOMs and see what I mean.


Hope you are successful and possibly willing to share some insight with the rest of us struggling wannbe's.

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  #35 (permalink)
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rlstreet View Post
Let me give an example of a hypothetical mini theory: my system is exploiting the morning in flow of relative dumb money, which has the tendency to create more momentum than during later on day.

Ok it is a theory, so need to research: 1 is there more momentum in the morning than during the rest of the session, are there special times,days, how to measure momentum 2 dumb money what is it, can I find more info on the topic morning opening.

In this way you create a clear picture of your problem space,odds, so after this work you can find rules, levels, to exploit this inefficiency. And maybe most important you create a deeper understanding of the markets.

At this moment you have a set of rules and no idea what you are exploiting. And you mined the rules so it gave the idea you have caught a pattern that could persist in the future.

Don't get me wrong, maybe you on to something, i don't know. Luckely there are many ways to find out before allocating real money to it: simulation, robustness tests.


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I understand what do you mean. My rules are similar to a classic TPO use (it establish the BIAS if it open above, below or inside the previous value area) and they work only in proximity of the Value area high and low... as you said mine are actually only RULES built around those levels using some market profile theory under a different point of view. You're right saying that I don't know what's behind this behaviour and your suggestion make me think if it could be useful to do more research about this accordingly to the specific entry/exits of my system. I will definitely do some research in august when I'll have some free time and see if I come upwith something as this is something new for me.

Anyway my purpose (not only for this strategy in particular but for all) is to find rules and theories (in my case : theories = set of working rules) that works and I want to look ONLY AT THE CHART and NOTHING ELSE. I don't want to depend from news, datas, fundamentals and whatavere... I only want (at the moment, no ones know what will bring our attention in the future) to take care of pure price action and candles pattern.
I want to specify that before come to some decent results with my backtest like in this system I made lots lots of other strategies even with good backtest that revealed to be not so good at the end... I made this post beacuse I finally found something that convince me enough to discuss and take critics from you experts.

Regards,

David

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  #36 (permalink)
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jmont1 View Post
@Dvdkite, I'm not able to get a good auto system so I am impressed by your information.

Thank you. But as you know I still have to see if it's a valid system in real trading before so I can be totally satisfied.


jmont1 View Post
Seems a shame to go for such a long time missing out on profits if your system actually works. Perhaps you could determine an acceptable loss ratio of your account size and just run for a day at a time with a max daily and overall loss amount including a max drawdown. So if you do run well at first and run into a poor period you do not give it all back.

Professional members here will surely think this a foolish idea but I was never considered the brightest bulb in the set.

Yes this is something I thought too. But this will be my first strategy to go live (as I'm new in this word of automated system, but I'm not new in the world of programming/coding) so I think I could do something in the middle like test the strategy in simulated trading for at least 1/2 month just to check if entries are made at the same way as they were made in the backtest.. and then thing about put real money on it.



jmont1 View Post
As for the information above, I would just comment that your losses have 50% more bars than your wins. Perhaps you can implement a maximum amount of loss within X bars or you close out early. I.E... after 9 bars Profit is > - $150 or you close the trade. Or instead of bar count you use clock time and a minimum value. Ninjatrader code:

if ((BarsSinceEntryExecution() >= MaxOutBars)
&& (Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency) <= MinBarsProfit))
{
ExitLong(Convert.ToInt32(Position.Quantity), @"MaxBarsL1", @"Long1");


I also recall that in NT7 backtesting there was an anomalie that if the trade opened and closed in the same bar it should be suspect because there was no way to tell the real procession of the bars and a win might actually hove been a loss. My guess is you do not have that issue but felt it might be worth looking into.

Thanks for the code... but I'm using Multichart :-D
Anyway the system already have a similar kind of protection. If the price goes over 12/15 points of gain then it fire a stop order with entriprice + 1 points (just to pay commissions)...
And also the maximum allowed stop loss per day is already 1 so it can lose at maximum 644Ä/day.

Regarding to the losing Bar this is the first thing that I've realized in my backtest, but In my sumilation I saw that the only parameter that was changing the game is the STOP LOSS. As you can read in the first post where I described the system, it works good even with stop loss of 10 and 15 points... but with 25 it earns more ad it does a lot more operations and it is stopped out less times...
So it turned out that to accept 25 points is better than to use a smaller amount and that's the main reason for that number of negative bars... but it gets compensated by the high win level of 75%...



jmont1 View Post
As for trying to start with the MDAX before trusting it with the FDAX, I would hesitate there. I have limited experience with either contract but have seen enough to know that the very shallow volume of the MDAX leads to spreads that would not be seen on the FDAX. Spreads are "Bad" for day traders in MHO. So take a little time to watch the two DOMs and see what I mean.

You're right about the volume. Based on my experience looking at the dom of the MDAX compared to the DAX they're very very close and hopefully that really small spread different that occur so rarely in a 5 minutes bar charts won't make a difference (hopefully again eh eh ). Anyway it would be a little bit complicated to use the Big DAX even for the higher margin that it require.. something like 15K. so if you add 4,3 k of maximum DD you have to charge the account at least with 20k and that's something I'm not sure to do as first attemp to autotrade eh eh. 10k would be better if possible... that it would be even less with the minidax... and with minidax I could always increase position during the time if the system keep earning.



jmont1 View Post

Hope you are successful and possibly willing to share some insight with the rest of us struggling wannbe's.

Thanks and I really hope too. I'll post here for sure any updates.

Btw: One important thing is to backtest this system also on other instruments so I would be really curious to test it over the ES as soon as I find some good 5 minutes data. I'm actually already paying IQFEED a lot for eurex and it's not the time to buy new CME data subscriptions for me now...

I'll probably test it over the euro BUNDS (it is in the EUREX exchange) next days... but I have to modify some parts in the strategy positions and rules beacuse it is actually only fitting the DAX settings ...

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  #37 (permalink)
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Dvdkite View Post
"... I want to look ONLY AT THE CHART and NOTHING ELSE. I don't want to depend from news, datas, fundamentals and whatavere... I only want (at the moment, no ones know what will bring our attention in the future) to take care of pure price action and candles pattern...."

Regards,

David

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.

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  #38 (permalink)
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Dvdkite View Post
Thank you. But

Btw: One important thing is to backtest this system also on other instruments so I would be really curious to test it over the ES as soon as I find some good 5 minutes data. I'm actually already paying IQFEED a lot for eurex and it's not the time to buy new CME data subscriptions for me now...

I'll probably test it over the euro BUNDS (it is in the EUREX exchange) next days... but I have to modify some parts in the strategy positions and rules beacuse it is actually only fitting the DAX settings ...

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 !!!

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  #39 (permalink)
Brisbane, Queensland, Australia
 
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In reference to the Dax mini, the liquidity is better than the big contract, even through volatility. I've seen three to five half point tick spreads on the fdax whilst the mini is just inside bid and offered. The caveat in this OPs case is whether or not the volume profile data is consistent or not, my feeling is it is not perfectly consistent. You could however, take signals from the fdax and execute trades on the mini.

BTW dvdkite, your strategy looks excellent. As John Ehlers recently discussed on "Better system trader", actual results on intraday data are always dramatically different than backtest data. I would walk it forward live on a sim account for 6 months and then compare to the backtest results to understand the difference.

Great work and good luck.

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  #40 (permalink)
Australia
 
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If you've checked for future leaks, available liquidity and slippage, then yeh I would simulate trade it.

The results on unseen data seem a bit too good. Normally there's a significant drop off in performance in OOS testing, but anyway, hope it works.

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  #41 (permalink)
New York, NY
 
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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
 
 
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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 Ižve 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)
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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)
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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)
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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
 
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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
 
 
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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).




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)
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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).




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)
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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)



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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