NexusFi: Find Your Edge


Home Menu

 





TS Trend Strategy - Futures - Feedback


Discussion in TradeStation

Updated
      Top Posters
    1. looks_one FutureTrader112 with 14 posts (14 thanks)
    2. looks_two AllSeeker with 4 posts (3 thanks)
    3. looks_3 kevinkdog with 3 posts (12 thanks)
    4. looks_4 ABCTG with 2 posts (4 thanks)
      Best Posters
    1. looks_one kevinkdog with 4 thanks per post
    2. looks_two ABCTG with 2 thanks per post
    3. looks_3 FutureTrader112 with 1 thanks per post
    4. looks_4 AllSeeker with 0.8 thanks per post
    1. trending_up 8,895 views
    2. thumb_up 43 thanks given
    3. group 15 followers
    1. forum 30 posts
    2. attach_file 3 attachments




 
Search this Thread

TS Trend Strategy - Futures - Feedback

  #1 (permalink)
FutureTrader112
Amsterdam Netherlands
 
Posts: 34 since Aug 2020
Thanks Given: 10
Thanks Received: 16

Hi,

I developed an automated strategy from a custom indicator Iam working on now for a while. I did a backtest for the last 2 years and received a maybe to promising result and I would like to ask some of you for feedback.

At he moment it trades only DAX Futures on a 5min chart with long signals only. Is there any chance to put the strategy under more „pressure“ to see how it works? I already increased commission by 150% and slippage to 100% and I still get very good results. Beside that you probably need a min. account size of 100K to trade 1 DAX contract (25€ per point) and low latency.




Some details:
Profit Factor: 1,73
Total Number of Trades: 21 442 (Win 15 022/Loss 642) -> 70% profitable
Avg. Trade Net Profit: 31,94€
ROC: 684,95%
DD: 16,13% of Initial Capital

I attached the Performance report as a XLS file.

I appreciate any feedback!

Attached Files
Elite Membership required to download: PerformanceReport.xlsx
Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
NexusFi Journal Challenge - April 2024
Feedback and Announcements
Better Renko Gaps
The Elite Circle
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
38 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
GFIs1 1 DAX trade per day journal
19 thanks
The Program
18 thanks
  #2 (permalink)
 
AllSeeker's Avatar
 AllSeeker 
Mumbai, India
Legendary Pratik_4Clover
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: NIFTY, BANKNIFTY
Frequency: Daily
Duration: Minutes
Posts: 1,423 since Jan 2019
Thanks Given: 5,245
Thanks Received: 5,006

I'm a noob myself but generally I pay attention to the following if I feel "its doing too good"

1. Strategy needs to be tested over system that is taking actual OHLC, means no synthetic bars - like renko, heiken etc

2. Usually this can also happen when you are just configuring entries and exits and no SL or TSL. Be it % or point value, you need to define them.

3. If strategy is giving unbalanced results on bullish or bearish side, if that's the case it might be case of curve fitting.

4. Checking if strategy is performing on different volatility and if possible scripts. Robust strategy will give reasonably close results on different conditions, if its not doing so then it might be again case of curve fitting. I'm not saying you can't have script specific strategy, its just better to test it across different conditions and scripts before you go live.

Just my noob 2c, you can choose to give it less importance

I would also suggest to check out posts from Kevin and vemodus on this forums, they have posted some really helpful content on this subject. Kevin also has books after his name.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #3 (permalink)
FutureTrader112
Amsterdam Netherlands
 
Posts: 34 since Aug 2020
Thanks Given: 10
Thanks Received: 16



LastDino View Post
I'm a noob myself but generally I pay attention to the following if I feel "its doing too good"

1. Strategy needs to be tested over system that is taking actual OHLC, means no synthetic bars - like renko, heiken etc

2. Usually this can also happen when you are just configuring entries and exits and no SL or TSL. Be it % or point value, you need to define them.

3. If strategy is giving unbalanced results on bullish or bearish side, if that's the case it might be case of curve fitting.

4. Checking if strategy is performing on different volatility and if possible scripts. Robust strategy will give reasonably close results on different conditions, if its not doing so then it might be again case of curve fitting. I'm not saying you can't have script specific strategy, its just better to test it across different conditions and scripts before you go live.

Just my boob 2c, you can choose to give it less importance

I would also suggest to check out posts from Kevin and vemodus on this forums, they have posted some really helpful content on this subject. Kevin also has books after his name.

Hi LastDino,

thanks for your quick reply and feedback!

Iam not sure what you mean with your second point. Here Iam using a Trailing Stop in %?! And how I could avoid curvefitting?

What do you mean by "script specific strategy" and how would you test a strategy on different volatility? I think with the Corona imoact we had one of the biggest volatility peaks in the last couple of years?

Thanks,
FutureTrader112

Reply With Quote
Thanked by:
  #4 (permalink)
 
AllSeeker's Avatar
 AllSeeker 
Mumbai, India
Legendary Pratik_4Clover
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: NIFTY, BANKNIFTY
Frequency: Daily
Duration: Minutes
Posts: 1,423 since Jan 2019
Thanks Given: 5,245
Thanks Received: 5,006


FutureTrader112 View Post
Hi LastDino,

thanks for your quick reply and feedback!

Iam not sure what you mean with your second point. Here Iam using a Trailing Stop in %?! And how I could avoid curvefitting?

What do you mean by "script specific strategy" and how would you test a strategy on different volatility? I think with the Corona imoact we had one of the biggest volatility peaks in the last couple of years?

Thanks,
FutureTrader112


Those points are what I would check, if you have SL/TSL of some kind, its fine. What and how to use there is completely up to you.

As you have mentioned, you have tested this only on Dax, consider testing other instruments. Market conditions change quite often, like these days every quarter there is something different going on. In fact my personal view is that its not that worth to go back beyond 6 months to do back tests, unless there is special requirement for it, but of course each person will have different view on this. Also change in volatility doesn't mean just "high", it just means change, if tomorrow it drops to pre-corona time, how would your strategy handle it? I also notice in your excel it only has long trades, does that mean system only takes longs and no shorts? See the "possible" issue?

I would like to humbly suggest to read Kevins books, its a lengthy subject and its a fair start up guide.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #5 (permalink)
FutureTrader112
Amsterdam Netherlands
 
Posts: 34 since Aug 2020
Thanks Given: 10
Thanks Received: 16


LastDino View Post
Those points are what I would check, if you have SL/TSL of some kind, its fine. What and how to use there is completely up to you.

As you have mentioned, you have tested this only on Dax, consider testing other instruments. Market conditions change quite often, like these days every quarter there is something different going on. In fact my personal view is that its not that worth to go back beyond 6 months to do back tests, unless there is special requirement for it, but of course each person will have different view on this. Also change in volatility doesn't mean just "high", it just means change, if tomorrow it drops to pre-corona time, how would your strategy handle it? I also notice in your excel it only has long trades, does that mean system only takes longs and no shorts? See the "possible" issue?

I would like to humbly suggest to read Kevins books, its a lengthy subject and its a fair start up guide.

I dont agree with you here. I think it doesnt make sense to test the strategy with other instruments like FX or Commodities, because every market even every stock has it own specifications, participants and supply/demand function. The best way to test a strategy is to put a lot of pressure on it, you need to try to "break" the strategy. WHen it still works you are good to go.

Thanks for your feedback!

Reply With Quote
Thanked by:
  #6 (permalink)
 
AllSeeker's Avatar
 AllSeeker 
Mumbai, India
Legendary Pratik_4Clover
 
Experience: Beginner
Platform: TradingView & ZerodhaKite
Trading: NIFTY, BANKNIFTY
Frequency: Daily
Duration: Minutes
Posts: 1,423 since Jan 2019
Thanks Given: 5,245
Thanks Received: 5,006


FutureTrader112 View Post
I dont agree with you here. I think it doesnt make sense to test the strategy with other instruments like FX or Commodities, because every market even every stock has it own specifications, participants and supply/demand function. The best way to test a strategy is to put a lot of pressure on it, you need to try to "break" the strategy. WHen it still works you are good to go.

Thanks for your feedback!

Depends on strategy, also testing on multiple instruments = "putting pressure on strategy"

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #7 (permalink)
 
Schnook's Avatar
 Schnook 
Munich, Germany
 
Experience: Advanced
Platform: Sierra Chart
Broker: Interactive Brokers
Trading: liquid products
Posts: 570 since Jul 2016
Thanks Given: 1,166
Thanks Received: 1,917

That's a beautiful equity curve. I can understand your skepticism

I would, at this point, observe signals from the model in real-time and compare your model's execution assumptions to actual market conditions.

What about trade frequency? That is, roughly how many signals does the strategy generate on a daily / monthly / annual basis? Have you compared the model's performance during bull markets in the DAX to its performance during pullbacks?

Reply With Quote
Thanked by:
  #8 (permalink)
FutureTrader112
Amsterdam Netherlands
 
Posts: 34 since Aug 2020
Thanks Given: 10
Thanks Received: 16


Schnook View Post
That's a beautiful equity curve. I can understand your skepticism

I would, at this point, observe signals from the model in real-time and compare your model's execution assumptions to actual market conditions.

What about trade frequency? That is, roughly how many signals does the strategy generate on a daily / monthly / annual basis? Have you compared the model's performance during bull markets in the DAX to its performance during pullbacks?

Hi Schnook,

thanks for your feedback!

As you can see in the Performance Report the strategy opened 21 442 Trades (1000 Trades/Month +-). The strategy only trades during short term Bull markets (only Buy signals, see below the screenshot from the last couple of days). Sell signals are working as well but with less profitability and effciency.


I backtested it with a small account and trade size, but it didnt work, because of the high slippage and commission. I assume it would only make sense to try it with a 100K account, 1 Dax contract (25€/Point) and low latency server.

Maybe you have another idea how to backtest it in another way?


Reply With Quote
Thanked by:
  #9 (permalink)
 ABCTG   is a Vendor
 
Posts: 2,431 since Apr 2013
Thanks Given: 481
Thanks Received: 1,623

FutureTrader112,

from your screenshot it appears your code might be using the SetPercentTrailing reserved word. If that is the case I would suggest using the look inside bar backtesting feature with 1 tick resolution in case you don't do that already. As you might not be able to access more than six month of tick data start with testing the most recent months and compare results between using 1 tick resolution, 1 minute resolution, and with look inside bar backtesting disabled.

Is this Tradestation data or 3rd party data and in the latter case is this for the future or the index?

Regards,

ABCTG



FutureTrader112 View Post
Hi Schnook,

thanks for your feedback!

As you can see in the Performance Report the strategy opened 21 442 Trades (1000 Trades/Month +-). The strategy only trades during short term Bull markets (only Buy signals, see below the screenshot from the last couple of days). Sell signals are working as well but with less profitability and effciency.


I backtested it with a small account and trade size, but it didnt work, because of the high slippage and commission. I assume it would only make sense to try it with a 100K account, 1 Dax contract (25€/Point) and low latency server.

Maybe you have another idea how to backtest it in another way?



Follow me on Twitter Reply With Quote
Thanked by:
  #10 (permalink)
FutureTrader112
Amsterdam Netherlands
 
Posts: 34 since Aug 2020
Thanks Given: 10
Thanks Received: 16



ABCTG View Post
FutureTrader112,

from your screenshot it appears your code might be using the SetPercentTrailing reserved word. If that is the case I would suggest using the look inside bar backtesting feature with 1 tick resolution in case you don't do that already. As you might not be able to access more than six month of tick data start with testing the most recent months and compare results between using 1 tick resolution, 1 minute resolution, and with look inside bar backtesting disabled.

Is this Tradestation data or 3rd party data and in the latter case is this for the future or the index?

Regards,

ABCTG

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

Reply With Quote
Thanked by:




Last Updated on April 15, 2021


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts