Inconsistent performance w/ different range of data - TradeStation | futures io social day trading
futures io futures trading


Inconsistent performance w/ different range of data
Updated: Views / Replies:370 / 3
Created: by asobi Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Inconsistent performance w/ different range of data

  #1 (permalink)
Elite Member
Taipei City, Taiwan
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: ES, TF
 
Posts: 8 since Aug 2015
Thanks: 3 given, 5 received

Inconsistent performance w/ different range of data

Hi there,

I'm new to TS and got a backtest issue to seek for help here.
When I apply different range of data, I got inconsistent returns and signals.
Here is the case for instance. I use 2 different range of data on the same symbol.
1. 2 years back
2. more than 2 years back, say from 1/1/2005
then I got inconsistent annual returns, say P/L in 2015 YTD is different in the 2 cases above.
Also, it's visibly clear on the chart that some (not all) signals are different.

My strategy is not a always-in-the-market one, so the 1st signal should not matter how it plays as time goes by.

Any one has similar experience with such situation?

Thanks!!

Reply With Quote
 
  #2 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 854 received
Forum Reputation: Legendary

asobi,

this is possible, but there can be several reasons causing this.
Assuming you are using the same inputs in both cases I am guessing that
there is something in your code that causes the differences.
When you load a standard, built in strategy to a chart and check both
situations, do you see the same difference then?

Regards,
ABCTG

Reply With Quote
The following user says Thank You to ABCTG for this post:
 
  #3 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,388 since Jul 2012
Thanks: 1,139 given, 4,387 received
Forum Reputation: Legendary



asobi View Post
Hi there,

I'm new to TS and got a backtest issue to seek for help here.
When I apply different range of data, I got inconsistent returns and signals.
Here is the case for instance. I use 2 different range of data on the same symbol.
1. 2 years back
2. more than 2 years back, say from 1/1/2005
then I got inconsistent annual returns, say P/L in 2015 YTD is different in the 2 cases above.
Also, it's visibly clear on the chart that some (not all) signals are different.

My strategy is not a always-in-the-market one, so the 1st signal should not matter how it plays as time goes by.

Any one has similar experience with such situation?

Thanks!!

If you are using something like exponential averages, you will get different results because such calculations are starting point dependent.

If you are testing backadjusted continuous contracts, you could have differences if you are using percentage type calculations (close/close[1]).

Without more info, it is tough to say what is wrong...

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to kevinkdog for this post:
 
  #4 (permalink)
Elite Member
Taipei City, Taiwan
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: ES, TF
 
Posts: 8 since Aug 2015
Thanks: 3 given, 5 received

Thanks @ABCTG and @kevinkdog for giving clues!!

Yes, I use EMAs, and that's exactly what the problem is!
This is tricky as the P/L drastically changes when different range of data being applied.
My initial idea to use shorter range of data is to save some memory usage when automation.
Now it seems not a good idea to do so.

Reply With Quote
The following user says Thank You to asobi for this post:

Reply



futures io > > > > Inconsistent performance w/ different range of data

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Will trading multiple pairs make my trading results inconsistent ?? sharpshoota Currency Futures 10 August 11th, 2015 10:54 AM
Is it possible a backtest performance data indicator on the chart? Astrogirl NinjaTrader 3 August 5th, 2015 10:17 AM
Need high performance computer for back testing on historical data jsk123 Trading Reviews and Vendors 10 June 4th, 2015 10:05 PM
Different signals with different data range jjsshh MultiCharts 4 March 20th, 2014 04:04 AM
Custom data range runner NinjaTrader Programming 9 February 22nd, 2011 11:07 AM


All times are GMT -4. The time now is 05:13 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-14 in 0.09 seconds with 19 queries on phoenix via your IP 54.221.73.186