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Who thinks this is a good strategy?
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Who thinks this is a good strategy?

  #11 (permalink)
Administrator: Retired Backtester
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sefstrat View Post
Wow, that Ensign guy is either completely naive or really malicious.

Usually when people discuss pyramiding with respect to MM they refer to profit pyramiding (also known as anti-martingale) where you are more risky with your profits, adding to your winning positions or increasing position size after a winning trade. This can be very powerful if you design your strategy around it.

What this bozo is recommending is loss pyramiding or martingale strategy where you increase position size after every losing trade, this is a very well documented way to blow up your account (unless you have infinite money, in that case it is the perfect strategy).

The guy is malicious, for sure, the Martingale exists since the 18th century, and everybody gambler/game player know that this is not working in real life.
It's one of the fastest way to blow an account.

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  #12 (permalink)
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sefstrat View Post
It is the perfect strategy).

I agree 100%!...

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  #13 (permalink)
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if it seems too good to be true.... it probably is.... automation is to do things to compelx to do manually. i think automation for simple things like moving averages and etc will never work.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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  #14 (permalink)
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How about this one?

- 90 days of tick-level data
- uses tick (not minute) data for chart type
- all entries are market orders
- 1700 trades
- 40k over 90 days with 1 contract

As a side note, there are no traditional indicators in this strategy. No moving averages, no cci, no rsi, nothing like that at all.

See attachments.

Mike

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Who thinks this is a good strategy?-2009-10-04_1513.png   Who thinks this is a good strategy?-2009-10-04_1513_001.png   Who thinks this is a good strategy?-2009-10-04_1513_002.png   Who thinks this is a good strategy?-2009-10-04_1514.png   Who thinks this is a good strategy?-2009-10-04_1516.png  
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  #15 (permalink)
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Big Mike View Post
How about this one?

- 90 days of tick-level data
- uses tick (not minute) data for chart type
- all entries are market orders
- 1700 trades
- 40k over 90 days with 1 contract

As a side note, there are no traditional indicators in this strategy. No moving averages, no cci, no rsi, nothing like that at all.

See attachments.

Mike


This one looks very, very, very good.
Only 3 months, but 1700 trades, so this is fine.
Good Sharpe ratio, similar results for Long and Short trades, no 99.9% of winning trades , etc, all results looks good and consistent.
The only small point, is the 8 consecutive losers in a row. If these 8 happens during your first day with this strat, hmm...

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  #16 (permalink)
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sam028 View Post
The only small point, is the 8 consecutive losers in a row. If these 8 happens during your first day with this strat, hmm...

I said the same thing to him, but odds of this are pretty slim. Let's see how it does on SIM during live this week. I am anxious. Looks good.

And...

Gary

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  #17 (permalink)
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That one does look promising.. the only worrisome signs are the occasional loser streaks that show up in the equity curve and the MAE/Efficiency could be improved upon.

Overall looks pretty solid though. If its not a ninja backtesting bug I'd say that one will definitely be profitable even if perhaps not as profitable as the backtest says it might be.

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  #18 (permalink)
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The last one looks very promising, but I would be concerned about the exit efficiency graph.

I have never seen one like this. Lot of data points, but no points between 80 and 100 %. I would want to be sure there is no hidden NT/code issue.

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  #19 (permalink)
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Big Mike View Post
How about this one?



Mike

May I interest you in a boat, sir?

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  #20 (permalink)
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Peter View Post
The last one looks very promising, but I would be concerned about the exit efficiency graph.

I have never seen one like this. Lot of data points, but no points between 80 and 100 %. I would want to be sure there is no hidden NT/code issue.

Yes me too, but I know that it is not an NT issue. It is happening because of the exit strategy code in the strategy. There are a few different kinds of exit strategy, all based on candle stick OHLC patterns.

I will be running it on sim this week. I've already conducted several market replay tests with excellent results.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

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