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Who thinks this is a good strategy?


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Who thinks this is a good strategy?

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  #1 (permalink)
 Big Mike 
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Who thinks this is a good strategy?

Tested against ES. Tested on 1 minute data back to Jan 2007 to Sep 9th 2009 (end of last contract). 1 contract only.

Here is the summary page.



Ok lets see. 800+ trades, 47% win rate, 1.2 profit factor. Win/loss dollar of 1.37. Not bad. But the drawdown is at 20%, pretty high. Although per the equity graph you never actually took much heat, the drawdown from top earnings of 20% is a bit much. Ok lets keep going -- somewhat even number of longs and shorts on the # of trades, but very disproportionate on winners on each side.

Here is the equity curve.



Looks interesting. High volatility areas are showing a jump in profit, and non volatile times are not very good (ie 2007).

Ok, now lets look at a few more graphs. Here is entry and exit efficiency.





Hmm. About 53% avg on entry, but only 43% on exit. Not real great.

Ok lets look over some periods.



The annual report seems a little wonky. We're 3/4 of the way through 2009 yet it's only taken roughly the same number of trades as it did in 2007. 2009 is much, much more volatile, so it's odd it isn't taking a lot more trades - like double the trades -of 2007.

And here is the monthly report:



Uh oh, this is where I stop and look to a new direction. The monthlys don't look good. Very unbalanced. Look at the last 6 months, 130 trades or so yet down over $1,000. Not good. If you can't make money in 130 trades that is bad news.

So another strategy for the shelf. BTW, this one was based on HOD and LOD pivots.

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  #2 (permalink)
 keepdchange 
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You got it Mike...it is not a very good one. I have a question for you. I have tried to save my account performance page, but the only option I get is to save as "CSV" file. The email option is not working also (I checked with Ninja, they said on some computers emails don't function properly. Anyways, could you tell me how can I save them as an image (just like what you have done here...

Thanks in advance
-Keep

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  #3 (permalink)
 Big Mike 
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  #4 (permalink)
 AynRandFan 
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One of my personal "key" metrics is net profit divided by draw-down -- it's an old poker-simulation metric, it certainly isn't original with me. I optimize for minimum draw-down for a whole array of reasons, yet getting a result where net profit is 5 to 7 times your absolute max draw-down during a sim is about the best one can hope for (a few underlying assumptions, here, about tolerable risk levels) -- (poker is different, of course... in poker, the quality of opposing play will skew everything). By the way, my 5-7 times number comes from /ES back-tests that go back 3 months -- I'm still not at at the point of being able to merge data.

The point of my net profit divided by draw-down is essentially that my risk is substantially less than my reward. In other words, finishing up $6K in a 3-month period while never being down more than -$900 is far superior to being up $10K while having suffered a draw-down of -$9K. Anybody who doesn't grasp this would be well-advised to get familiar with the work of Van Tharpe.

Answering any question on whether something is a "good investment" pre-supposes an answer to another question, and that question, of course, is the old Warren Buffett saw, "...well, compared to what?"

I'm assuming here, Mike, that you've got better strats in your personal toolbox -- all investments need to be viewed within a context of alternatives. The answer to your question depends entirely upon what other strats you have.

I feel pretty confident saying that I can beat your 11-quarter strategy in 6 months or so, and extremely confident in saying that I can beat it over a 9 month period. I also feel pretty confident in saying that you probably have me thumped by a significant degree -- I'm relatively new with NinjaTrader -- your head-start over me is massive.

It all comes down to one's decision-making process, in any case.

Ultimately, we're all competing against the risk-free rate, which is generally the 10-year Treasury (although many institutions use the 30-year -- either is fine, and sophisticated fund managers have solid arguments for either of them). Any of us can grab the risk-free rate at any time, of course, simply by buying Treasuries -- the point of taking risk is obtaining a higher reward.

In other words, your first task is to beat the risk-free rate.

Don't laugh: Lehman couldn't do it, Merrill couldn't do it, Fannie Mae & Freddie Mac couldn't do it, and today's news makes it pretty clear that Salomon wasn't doing it, either.

I'm not trying to be a smart-ass here, by the way.

The game is far trickier than almost everybody thinks.

Beating the risk-free rate is far harder than almost anybody knows -- in fact, let me say this: only one man in ten thousand has any idea that the task itself is almost -- not quite, but almost -- impossible.

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  #5 (permalink)
 Big Mike 
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ARF, (can I call you arf? lol)

Have you programmed your optimization into a Type so you can actually optimize against it, or are you dumping to Excel and doing it manually? You should consider making it a Type. There are some other good optimizer types on the forum, I like the SQN method personally but have written several custom types that weigh my personal favorites in my own formulas.

Yes this strategy is no good, wasn't trying to say otherwise. You should know I write about 20 strategies a week and just tinker and play with them over time, ever-evolving. I have some that are real nice, and some that suck ass. But I constantly wrestle with curve fitting. I've seen strategies that trade 1,000 times be curve fitted more than you could believe. I have several threads on curve fitting.

Nice post, btw.

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  #6 (permalink)
 sefstrat 
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RandFan, I think you are neglecting to consider the effects of leverage (which you usually don't get on a risk free investment, unless you count statistical arbitrage)

I think it is rather easy to beat the risk free rate using leverage and discretionary trading if you have patience to wait for good setups. Of course, you can easily drain yourself using leverage if you are inexperienced, impatient, trading noise, etc..

Automated trading is much more difficult, but nowhere near impossible. The same rules apply pretty much, good money management, only take high probability setups, etc. The hardest part getting started is defining when not to trade.


Mike, regarding the strategy in question, the equity curve doesn't look very good to me. I would shoot for a more linear curve. Linear curve implies stability, you can't be sure that the conditions which caused the few really big winners in that equity curve will occur again any time soon.

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  #7 (permalink)
 sam028 
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How about this one ?

Only a 3 months backtest, I don't have all my data here, just to play with Snagit .

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  #8 (permalink)
Jugador
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Mike...are you trading the same # of contracts every time? I couldn't really tell from the screenies. Anyway, if you are, have you tried some sort of position sizing strategy? The reason I ask is I noticed on Ensigns site that the owner (Howard) had given his subscribers a trading method. Here's the results I get from 09-23-09. The first result is 2 contracts (ES) for every trade, The 2nd result is the same method with a pyramiding position sizing strategy, As you can see, it can make a hell of a difference.

(The reason the time stamps aren't exactly the same is because the templates don't both start at exactly the same time. I'm not a programmer, so I don't know how to fix it.)

But, the method for entry and exit is the same for both results, and of course the same day. Anyway, I don't know if you can do that with NInja, but if you can, you might get some interesting results.

Here's a link to Howards web page if you want to read it. Pyramiding A Position

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  #9 (permalink)
 Poocher 
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Is there a moderator on this thread?

We got someone calling the beautiful AynRandFan...ARF...oh the nerve!

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  #10 (permalink)
 sefstrat 
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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).


Jugador View Post
Mike...are you trading the same # of contracts every time? I couldn't really tell from the screenies. Anyway, if you are, have you tried some sort of position sizing strategy? The reason I ask is I noticed on Ensigns site that the owner (Howard) had given his subscribers a trading method. Here's the results I get from 09-23-09. The first result is 2 contracts (ES) for every trade, The 2nd result is the same method with a pyramiding position sizing strategy, As you can see, it can make a hell of a difference.

(The reason the time stamps aren't exactly the same is because the templates don't both start at exactly the same time. I'm not a programmer, so I don't know how to fix it.)

But, the method for entry and exit is the same for both results, and of course the same day. Anyway, I don't know if you can do that with NInja, but if you can, you might get some interesting results.

Here's a link to Howards web page if you want to read it. Pyramiding A Position


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  #11 (permalink)
 sam028 
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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)
Jugador
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sefstrat View Post
It is the perfect strategy).

I agree 100%!...

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  #13 (permalink)
 caprica 
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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)
 Big Mike 
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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.

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  #15 (permalink)
 sam028 
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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)
 Gary 
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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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 sefstrat 
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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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 Peter 
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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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Jugador
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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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 Big Mike 
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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

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 sharp2be 
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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)
 Big Mike 
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Commissions were included, it is part of the backtest report image shown.

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 keepdchange 
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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)
 Big Mike 
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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.

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  #25 (permalink)
 Trader.Jon 
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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)
Autobot
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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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