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Taking a Trading System Live


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Taking a Trading System Live

  #321 (permalink)
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Big Mike View Post
@kevinkdog,

Have you considered any type of volatility comparison to go along with your strategies performance? And then to compare recent volatility (live) to historical periods to see if there is a pattern?

In other words, have these last 12 weeks been unusual or do they fit with prior data (like another segment with similar volatility and similar results)?

Mike

There are a couple of ways to answer it:

First, just looking at the number of trades in the last 12 weeks, compared to the 4 years of history:

Night strategy: should have had 21 trades in the last 12 weeks, and it actually had 30 = +9 more trades than "normal"

Day strategy: should have had 25 trades in the last 12 weeks, and it actually had 14 = -11 less trades than "normal"

Overall, then it is close to normal.



Another method:

I charted the 5 period average true range vs. bar number. When there is a position initiated, those are marked pink.

The charts are below, and my comments are:

1. On both charts, the volatility (as shown by average true range) has been declining.

2. For the night strategy, note that the trades usually are in the upper part of the local average true range. This tells me that this strategy looks for entries that have high volatility, relative to very recent history. So, declining volatility over the years doesn't really decrease the number of trades (it is all relative to recent volatility).

3. For the day strategy, no noticeable trend emerges of volatility versus when trades are taken.



Comments and questions are welcome!






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  #322 (permalink)
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New Equity High

Well, it only took a few months, but after today I am back in positive territory with the real money account that trades this strategy.

Maybe I should just stop right now, and declare the strategy a winner! Nah, that violates the plan...




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  #323 (permalink)
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Considering the equity curve generated in your testing phases, after each drawdown or period of flat returns, you generally saw an expansion in equity. That makes me think that you're likely to see a continuation of the recent equity trend.

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  #324 (permalink)
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mu2pilot View Post
Considering the equity curve generated in your testing phases, after each drawdown or period of flat returns, you generally saw an expansion in equity. That makes me think that you're likely to see a continuation of the recent equity trend.

Dude, that would be sweet! Any performance close to what I expect would certainly be welcomed. It has been more than a little frustrating so far.

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  #325 (permalink)
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Week 13 Results








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  #326 (permalink)
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Nice @kevinkdog, I hope things continuing performing well!

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  #327 (permalink)
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Survey Update


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  #328 (permalink)
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Week 14 Update

In positive territory, so that is a start. This is a real money account.

Still waiting for the big winning trade to come along...








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  #329 (permalink)
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could you help me please ?


gulabv View Post
Hi @kevinkdog,

Thanks for starting this thread. Would you mind sharing the R:R ratio for the 2 strategies?

Hi, i need your help, i saw you trade zn, and i am planning to go live with my scalping system

here are the details

hi, i would appreciatte your help, i am planning to go live and i see you trade zn,

you can check my strategy details here:

thanks a lot

alejo

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  #330 (permalink)
madrid spain
 
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limit orders give us innacurate results?



Big Mike View Post
You make good points and I agree completely.

I see the same stuff vendors are selling, and the worse thing is -- people are buying it. The other real problem with NinjaTrader's summary page is there is no position sizing anywhere. So you can make a system look great by just adding a few zero's to the position size, and it shows more trades, more profit. People then think it is not curve fitted because it has so many more trades.

The other big one is when people use limit orders. That's an easy way to make NT reports inaccurate.

I generally prefer systems that trade 1,000 times a year or more on 1 contract. If I start dipping below 500 trades a year, I get worried about over fitting. Obviously you take a very different approach, and this is just one of many ways we make a market together

I prefer systems that have very few input parameters, like 1 or 2 ideally, where everything else is dynamic and based on volatility and such in the market. That way I can optimize for my best score, and that golden looking equity curve we are all after, by combining that system along with many more into a portfolio and looking at how it benefits or balances the portfolio as a whole.

As for keeping track of the system, I wish I had fixed the code I was using to automatically post charts and trade results into a futures.io (formerly BMT) thread via the futures.io (formerly BMT) API. I just never had time to fix it, and certainly don't want to start now (I am preparing for vacation mode...). So I can't do any kind of live test. Closest I could do would be to shelf it and come back in two months and just run a new report to see how that out of sample data looks, but it would still be historical sim not live.

Mike

sorry for my interruption, why is this?
thanks

alejo

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