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TS Trend Strategy - Futures - Feedback


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TS Trend Strategy - Futures - Feedback

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  #11 (permalink)
JBroex
Istanbul
 
 
Posts: 35 since Sep 2020
Thanks: 24 given, 19 received

That looks indeed like a nice equity curve
Have you done any Walk Forward testing?
How have you approached the testing process?
Did you optimize on the total data set or just a small portion (in vs out of sample)?

Thanks!

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  #12 (permalink)
FutureTrader112
Amsterdam Netherlands
 
 
Posts: 28 since Aug 2020
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JBroex View Post
That looks indeed like a nice equity curve
Have you done any Walk Forward testing?
How have you approached the testing process?
Did you optimize on the total data set or just a small portion (in vs out of sample)?

Thanks!


I didnt optimize the strategy per se, because the indicator values are the same. I only adjusted the risk management.

At the moment I just compare the trades made by the strategy with realtime data and so far it looks quite good. So far >90% of the trades are like the trades from the backtest with ca. 3,5K profit for the last 2 weeks.

I hope that answers your questions

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  #13 (permalink)
 AllSeeker 
Legendary Pratik_4Clover
Mumbai, India
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
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Alright, since you are ready to go in your opinion, I'll be looking forward to your journal based on this system.

You have my best wishes to have similar or better equity curve there too, good luck

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  #14 (permalink)
FutureTrader112
Amsterdam Netherlands
 
 
Posts: 28 since Aug 2020
Thanks: 8 given, 15 received


LastDino View Post
Alright, since you are ready to go in your opinion, I'll be looking forward to your journal based on this system.

You have my best wishes to have similar or better equity curve there too, good luck

thanks a lot! I really appreciate it!

I will try to post monthly updates, as long as I work from home have the time to compare it

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  #15 (permalink)
 Rajob 
Munich, Germany
 
Experience: Intermediate
Platform: cTrader, Own c#, MC.Net
Trading: Forex
 
Posts: 12 since Jan 2011
Thanks: 23 given, 9 received

Just a couple of thoughts:
- The more trades, the more important it is to have tickdata/intrabar info for the backtest. With 1000 trades per month, especially in the FDAX a tick here or there can make or break any system. FDAX often times is not liquid or gaps a few ticks in between.
- You don't necessarily need to trade the FDAX contract itself. The cfd liquidity pools have improved the past years to the point where you get really good executions with some brokers (sometimes even better than FDAX) with Micro-Contracts.
- Some brokers offer free CFD tickdata for the past years (e.g. with the cTrader Software)

Looks very impressive, good luck to you!

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  #16 (permalink)
 kevinkdog   is a Vendor
 
 
Posts: 3,096 since Jul 2012
Thanks: 1,649 given, 6,149 received

The use of SetPercentTrailing without the use of 1 tick data for Look Inside Bar Backtesting totally invalidates the results in my experience.

5 euro per side for slippage is also way too low. Real life slippage will gobble up a lot of your 32 euro avg profit per trade.

10 euro per round turn for commission seems high, I use $5 per round turn (in and out)

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  #17 (permalink)
jkepha
San Antonio, TX
 
 
Posts: 30 since Apr 2020
Thanks: 8 given, 6 received

Do you have the minimum account size required to trade this? If no, I wouldn't waste too much time on it TBH if your goal is to make money.



FutureTrader112 View Post
Thanks for your helpful feedback!

ATM I dont have access to Tick Data, because I use TS via Interactive Brokers. The report I attached in my 1st post is already with the 1min Intraday Bar backtest. Without the look Inside Bar the results are obviously better, but the strategy has the same profitability of circa 70% and nearly same amount of trades with circa 950 to 1000 trade per month.

Overall e.g. the Net Profit is lower, but still like >100% ROI for the last couple of months. I hope TS could fix the issue with the Tick Data and Interactive ASAP to confirm the results on the "hightest" level (speaking of backtesting).

Thanks for your effort,
FutureTrader112


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  #18 (permalink)
FutureTrader112
Amsterdam Netherlands
 
 
Posts: 28 since Aug 2020
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jkepha View Post
Do you have the minimum account size required to trade this? If no, I wouldn't waste too much time on it TBH if your goal is to make money.

It is not a problem with the account size. I had a chat with TS Global and they told me atm the dont get Tickdata from Interactive for backtesting

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  #19 (permalink)
FutureTrader112
Amsterdam Netherlands
 
 
Posts: 28 since Aug 2020
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Rajob View Post
Just a couple of thoughts:
- The more trades, the more important it is to have tickdata/intrabar info for the backtest. With 1000 trades per month, especially in the FDAX a tick here or there can make or break any system. FDAX often times is not liquid or gaps a few ticks in between.
- You don't necessarily need to trade the FDAX contract itself. The cfd liquidity pools have improved the past years to the point where you get really good executions with some brokers (sometimes even better than FDAX) with Micro-Contracts.
- Some brokers offer free CFD tickdata for the past years (e.g. with the cTrader Software)

Looks very impressive, good luck to you!

I totally understand your point and Iam with you regarding the amount of trades, but the problem I see here is with the CFD Brokers. You are right they provide free Tickdata, but most of the time it doesnt match with the "real" Future data. I think I just need to continue with the real life test and see how it goes

I really appreciate your feedback!

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  #20 (permalink)
FutureTrader112
Amsterdam Netherlands
 
 
Posts: 28 since Aug 2020
Thanks: 8 given, 15 received



kevinkdog View Post
The use of SetPercentTrailing without the use of 1 tick data for Look Inside Bar Backtesting totally invalidates the results in my experience.

5 euro per side for slippage is also way too low. Real life slippage will gobble up a lot of your 32 euro avg profit per trade.

10 euro per round turn for commission seems high, I use $5 per round turn (in and out)

Any suggestions how to avoid that? Should I use a "normal" TP?

Atm its a floating riskmanagement and without it I would think the efficiency of the strategy would decrease significally

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