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Who thinks this is a good strategy?
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Created: by Big Mike Attachments:15

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Who thinks this is a good strategy?

  #21 (permalink)
Elite Member
Canada
 
Futures Experience: Advanced
Platform: NT, TS
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Favorite Futures: ES
 
sharp2be's Avatar
 
Posts: 57 since Sep 2009
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Mike - possibly a dumb question: Are you accounting for comissions? Asking because today I was happy with some backtesting results just to find out I had forgotten the comissh... :-) argh... back to the drawing board.

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  #22 (permalink)
Site Administrator
Manta, Ecuador
 
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Big Mike's Avatar
 
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Commissions were included, it is part of the backtest report image shown.

Mike

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  #23 (permalink)
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Hey Mike,

So were you able to run it on Simm. What were the results?

-Keep


Big Mike View Post
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


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  #24 (permalink)
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keepdchange View Post
Hey Mike,

So were you able to run it on Simm. What were the results?

-Keep

Nope it is shelved for the moment. I've had too much going on lately, have barely even been trading.

Mike

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

Need help?
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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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6)
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  #25 (permalink)
Elite Member
Near the BEuTiFULL Horse Shoe
 
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Mike,

Nice back test result, especially since it includes allowance for trading costs.

I personally would have concerns with the large number of consecutive losers:
lose 7 .. win a couple .. then lose 8 ... and so on.

If the average win were larger (say ratio of over 2.2:1) then I would live with that large stretch of losers.

But thats just me and my comfort level !!
TJ

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  #26 (permalink)
Just starting out...
Ottawa, Canada
 
Futures Experience: Intermediate
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Posts: 22 since Nov 2009
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Big Mike View Post
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

So, any updates on the Sim performance?

Also, having read this thread, I would like to add that I would never trust a backtest run on anything less that 3 years of data. Personally, I backtest on 11 years of tick-level ES data. Also, a thorough test of any system absolutely requires forward testing as well as Monte Carlo analysis.

Having said that, the system results look incredible! If you'd like me to backtest & Monte Carlo the system, I'd be more than happy to, just send me the strategy...(Yeah, I know, no chance in hell! )

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