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Win Rate %?


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Win Rate %?

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  #41 (permalink)
rocketstock
Denver CO
 
 
Posts: 40 since Dec 2021
Thanks: 6 given, 7 received


kevinkdog View Post
I see similar statements a lot "algo trading mean no emotions."

A word of warning - this thinking is not true. Not even close to true.

PLENTY of emotions when algo trading, they just might appear in different ways, for different reasons.

Example: Your algo has lost on last 5 trades, should you let it keep trading, or should you turn it off? That can be an emotional decision, even if you feel the algo is still good.


The only way to avoid emotions in live trading is to demo/sim/paper trade - no real emotions in that. Alternatively, trade so small relative to your net worth that the money gain/lost does not matter (but then why even bother trading?)


If emotions are an issue for your discretionary trading, I can pretty much guarantee they will be an issue for your algo trading.

And believe it or not, emotions can also impact your backtest or market replay testing.

Good stuff. Emotions and feelings are every human's basic instinct. To what extent is the question.

My algo will 24/7 365 and i dont plan to monitor it. I have programmed checks and balances. Test in real market in a few weeks. So far its only market replay. I've been trading manually for over 10 years. Seems like you guys are used to a lot newbies here.

All I needed from this post when I started the thread was a screen shot of profit factor of folk's algos over a period of time. Never got that screenshot after all these messages. I don't need any secrets from anyone. Surely people can post their profit factor of an automated startegy screenshot prior to advice if things are so great at their end. I would really appreciate the automated strategy screen profit factor shot running over 1 or 3 or more months. Thanks for your thoughts always.

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  #42 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,174 since Jul 2012
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rocketstock View Post
Good stuff. Emotions and feelings are every human's basic instinct. To what extent is the question.

My algo will 24/7 365 and i dont plan to monitor it. I have programmed checks and balances. Test in real market in a few weeks. So far its only market replay. I've been trading manually for over 10 years. Seems like you guys are used to a lot newbies here.

All I needed from this post when I started the thread was a screen shot of profit factor of folk's algos over a period of time. Never got that screenshot after all these messages. I don't need any secrets from anyone. Surely people can post their profit factor of an automated startegy screenshot prior to advice if things are so great at their end. I would really appreciate the automated strategy screen profit factor shot running over 1 or 3 or more months. Thanks for your thoughts always.

You are obviously not a newbie with manual trading, but you are a newbie with algo trading, so sorry for trying to help you out.

Your other thread asked about profit factors, and people posted responses (not always screenshots though). Not sure what more you want in that area.

I've counted about a half dozen mistakes you are making on this algo effort (at least they were things I've done that cost me money, so I consider them "mistakes"), and I've replied and identified most of them. But you do seem offended by that, so I will stop commenting.

Good Luck!

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  #43 (permalink)
rocketstock
Denver CO
 
 
Posts: 40 since Dec 2021
Thanks: 6 given, 7 received



kevinkdog View Post
You are obviously not a newbie with manual trading, but you are a newbie with algo trading, so sorry for trying to help you out.

Your other thread asked about profit factors, and people posted responses (not always screenshots though). Not sure what more you want in that area.

I've counted about a half dozen mistakes you are making on this algo effort (at least they were things I've done that cost me money, so I consider them "mistakes"), and I've replied and identified most of them. But you do seem offended by that, so I will stop commenting.

Good Luck!

I'm not offended man. i am new to algo trading, youre right. im just not getting actual market algo success data from people while im in the midst of programming stuff. Just a handful you're right. I was looking for more. thats all. Its' better to learn from other people's mistakes so Ive been reading your and others posts intently. My phase right now is in programming. so hence the focus on that. but thanks for taking time.

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  #44 (permalink)
 romus 
Melbourne, VIC, Australia
 
Experience: Intermediate
Platform: NinjaTrader
Trading: SPI
 
Posts: 455 since Dec 2010
Thanks: 1,231 given, 1,674 received


kevinkdog View Post
You are obviously not a newbie with manual trading, but you are a newbie with algo trading, so sorry for trying to help you out.

Your other thread asked about profit factors, and people posted responses (not always screenshots though). Not sure what more you want in that area.

I've counted about a half dozen mistakes you are making on this algo effort (at least they were things I've done that cost me money, so I consider them "mistakes"), and I've replied and identified most of them. But you do seem offended by that, so I will stop commenting.

Good Luck!

Thank you for your valuable responses. I hope most of members, now or later, will benefit from them.
I have found out that it may be very tricky to get all metrics the way we like them to get in synch - and in any instrument.
It is never ending learning process.
And it may be frustrating when someone argues with valuable advise.

Oh, BTW, @rocketstock, you asked for highest win rate - not the screenshot of it or other metrics.

When nothing goes right... go left
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  #45 (permalink)
rocketstock
Denver CO
 
 
Posts: 40 since Dec 2021
Thanks: 6 given, 7 received


romus View Post
Thank you for your valuable responses. I hope most of members, now or later, will benefit from them.
I have found out that it may be very tricky to get all metrics the way we like them to get in synch - and in any instrument.
It is never ending learning process.
And it may be frustrating when someone argues with valuable advise.

Oh, BTW, @rocketstock, you asked for highest win rate - not the screenshot of it or other metrics.

I am not sure what advice you are getting. I started the first post with a really positive approach to hear perspectives and real data. So far I have only seen why pretty much everything you say will not work. Haha. Or buy a book from amazon. As for metrics let me provide some. These attached pictures are bullish and bearish strategies run on market play for over a month. When run on real time they're similar but I don't have much data on that other than 2 days I ran it on real time. This is on 1 ES contract.

It's not that hard to provide a screenshot if one has been trading for years. It's especially needed when after 30 messages, the only advice is nothing will work and buy a book. But you what I value that too. Just a change of scenery with positive actionable ideas and some data would be nice too. All this other stuff gets tiring. I am in the midst of heavy programming. That was my focus for this thread. So if you have those ideas please share. Don't take this post negatively.


jan 9th


jan 11 sell

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  #46 (permalink)
 romus 
Melbourne, VIC, Australia
 
Experience: Intermediate
Platform: NinjaTrader
Trading: SPI
 
Posts: 455 since Dec 2010
Thanks: 1,231 given, 1,674 received


rocketstock View Post
I am not sure what advice you are getting. I started the first post with a really positive approach to hear perspectives and real data. So far I have only seen why pretty much everything you say will not work. Haha. Or buy a book from amazon. As for metrics let me provide some. These attached pictures are bullish and bearish strategies run on market play for over a month. When run on real time they're similar but I don't have much data on that other than 2 days I ran it on real time. This is on 1 ES contract.

It's not that hard to provide a screenshot if one has been trading for years. It's especially needed when after 30 messages, the only advice is nothing will work and buy a book. But you what I value that too. Just a change of scenery with positive actionable ideas and some data would be nice too. All this other stuff gets tiring. I am in the midst of heavy programming. That was my focus for this thread. So if you have those ideas please share. Don't take this post negatively.


jan 9th


jan 11 sell

These results are excellent.
You will be rich in no time - if the performance continues...

When nothing goes right... go left
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  #47 (permalink)
rocketstock
Denver CO
 
 
Posts: 40 since Dec 2021
Thanks: 6 given, 7 received


romus View Post
These results are excellent.
You will be rich in no time - if the performance continues...

Thank you. I'm still wanting to run more days in market. Life is unpredictable and markets are worse haha. Wish you the best too. Share any tips along the way.

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  #48 (permalink)
deezee
Richmond VA
 
 
Posts: 5 since Jan 2022
Thanks: 0 given, 2 received

The profitability rate for both of my ES and NQ bots are around 60% with a few years of data. I would add slippage in your backtesting results, and would try to include 2020 data, at least. I would also run the trading bot with market replay for a few days, and compare how close it is with the backtested data. The entries from my bot matched with the indicators/conditions that they are based on.

Here's my tip for market replay, NT8 only has about the last 3 months worth of market replay data. You can focus on those worse performing days, best days, no trading days scenarios for market replay. I would probably compare today's market replay with the same live testing that you did so you can address the question on how different is your bot when it runs with real data. Mine turned out to be very close, whatever discrepancy was addressed with the slippage. I even put 2 slippage with mine so I can "budget" for the real drawdown.

If you trade with 2 or more contracts, try to exit 1 contract where you'll end up break-even or with some profit even if the last contract (runner) goes against you. This was a game changer for my results.

All the best!

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  #49 (permalink)
deezee
Richmond VA
 
 
Posts: 5 since Jan 2022
Thanks: 0 given, 2 received

If you use tick replay with NT8's backtesting, it can be very close with live data. I can't use it because most of my bots look up other charts. Tick replay backtesting requires high CPU performance though.

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  #50 (permalink)
rocketstock
Denver CO
 
 
Posts: 40 since Dec 2021
Thanks: 6 given, 7 received



deezee View Post
The profitability rate for both of my ES and NQ bots are around 60% with a few years of data. I would add slippage in your backtesting results, and would try to include 2020 data, at least. I would also run the trading bot with market replay for a few days, and compare how close it is with the backtested data. The entries from my bot matched with the indicators/conditions that they are based on.

Here's my tip for market replay, NT8 only has about the last 3 months worth of market replay data. You can focus on those worse performing days, best days, no trading days scenarios for market replay. I would probably compare today's market replay with the same live testing that you did so you can address the question on how different is your bot when it runs with real data. Mine turned out to be very close, whatever discrepancy was addressed with the slippage. I even put 2 slippage with mine so I can "budget" for the real drawdown.

If you trade with 2 or more contracts, try to exit 1 contract where you'll end up break-even or with some profit even if the last contract (runner) goes against you. This was a game changer for my results.

All the best!

Great ideas. Thanks. 2 points slippage is good. I should add that. I am exiting in some scenarios before tops and bottom so it will be fun to see if it adds or deducts. I don't use back test in NT. its not accurate like you said. 3 months is a limit and not enough like you said. Good idea on comparing today's real market data with market reply. Awesome on the 2 contract idea.

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