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Taking a Trading System Live


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Taking a Trading System Live

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  #331 (permalink)
madrid spain
 
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Hi, Kevindog
i was trying to use your excell to make montecarlo test, and i paste the 136 trades results i made from 31/10/2013 to 20/11/2013
and i was wondering what happens with
amount in " trades in 1 year"?



thanks

alejo

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  #332 (permalink)
madrid spain
 
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kevinkdog View Post
I entered the historical data, and the live data, into the T test calculator here:
Student's t-test: Results


Results are here:





If the result was 0, I believe that indicates that the 2 samples (historical backtest and live testing) are definitely different (ie, the system has changed). If the result was 1, then the 2 samples are definitely the same.

Just for kicks, I took some random groups of 25 historical trades, and put them as sample #2. These are obviously from the historical sample, but the null hypothesis result varied from .09 to 0.82, with a mean of 0.51.

Based on these results, and assuming I did this right and that the analysis is appropriate in the first place, it looks like the two samples are leaning towards being different, but it is not conclusive.

One other interesting tidbit: If I add one $1000 winning trade to my actual results, the null hypothesis test jumps from 0.26 to 0.47. This tells me that the one big winning trade I have been waiting for will move actual results much closer to backtest (which I kind of knew anyhow)...

kevindog
could you tell us the url of t test please,
the link it looks missing for the t-test
thanks


alejo

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The fight is fair against oneself
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  #333 (permalink)
madrid spain
 
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Thanks: 16,557 given, 643 received


i have an strategy, that use as block, a minimun starting pack of 3 lots in 1 entry, this is the minimum risk, and in the future i can multiply xn

i managing the trade and i can get several results combining this initials possibilities:
target1 2l at 1tick exit1
target2 1l at 2tick exit2
sl -3 and if goes bad i can close it quickly before-3
theres several possibilities according if I reach or not t1 ,t2 and if the left if close it between -3,-2,-1,0,+1

i made 68 trades
i running on tradestation and tradestation consideres a trade each exit(t1and t2, or t1 and stop)), then i have
136 trades according to tradestation

i want to apply montecarlo analisys to my system, then i have 2 possibilities

my initial list of trades, or the tradestation list of trades

my questions are:
1)is correct the hypotesis to apply montecarlo with this samples, if always i use the 3lot as a block

2)which is better approach: initial list or tradestation list?

3)if i made the trades between 31/10/2013 and 20/11/2013 how can i get annual results?

thank you very much

alejo

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The fight is fair against oneself
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  #334 (permalink)
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alejo View Post
kevindog
could you tell us the url of t test please,
the link it looks missing for the t-test
thanks


alejo


Looks like the website changed location of file. You might try google to see if you can find one.

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  #335 (permalink)
Legendary Market Wizard
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alejo View Post
Hi, Kevindog
i was trying to use your excell to make montecarlo test, and i paste the 136 trades results i made from 31/10/2013 to 20/11/2013
and i was wondering what happens with
amount in " trades in 1 year"?



thanks

alejo

If you have 136 trades in one month, multiply by 12 to get number of trades on 1 year.

I would not rely on results from just 1 month, though.

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  #336 (permalink)
Legendary Market Wizard
Cleveland Ohio/United States
 
Experience: Advanced
Platform: Tradestation
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alejo View Post
i have an strategy, that use as block, a minimun starting pack of 3 lots in 1 entry, this is the minimum risk, and in the future i can multiply xn

i managing the trade and i can get several results combining this initials possibilities:
target1 2l at 1tick exit1
target2 1l at 2tick exit2
sl -3 and if goes bad i can close it quickly before-3
theres several possibilities according if I reach or not t1 ,t2 and if the left if close it between -3,-2,-1,0,+1

i made 68 trades
i running on tradestation and tradestation consideres a trade each exit(t1and t2, or t1 and stop)), then i have
136 trades according to tradestation

i want to apply montecarlo analisys to my system, then i have 2 possibilities

my initial list of trades, or the tradestation list of trades

my questions are:
1)is correct the hypotesis to apply montecarlo with this samples, if always i use the 3lot as a block

2)which is better approach: initial list or tradestation list?

3)if i made the trades between 31/10/2013 and 20/11/2013 how can i get annual results?

thank you very much

alejo

I would use the block approach, with the initial list. I would use one month of results to draw any conclsuions. Just not enough data.

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  #337 (permalink)
madrid spain
 
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Platform: nt
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Posts: 1,311 since Apr 2013
Thanks: 16,557 given, 643 received


kevinkdog View Post
I would use the block approach, with the initial list. I would use one month of results to draw any conclsuions. Just not enough data.

thanks kevin

what do you think about this comparison between different possibilities strategies?



what could be better?, or what i need to do to found that?

thanks


alejo

La lucha es de igual a igual contra uno mismo
The fight is fair against oneself
Visit my futures io Trade Journal Reply With Quote
 
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  #338 (permalink)
Legendary Market Wizard
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Posts: 2,847 since Jul 2012
Thanks: 1,490 given, 5,558 received

No big winners in the past week or 2, but a half dozen small winners have propelled the strategy to new equity highs - and semi-respectable performance.

Let's hope it lasts...


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Just a quick note that @kevinkdog will be presenting a webinar on futures.io (formerly BMT) Wednesday, December 4th @ 4:30 PM Eastern. The topic of the webinar is "Algorithmic Trading System Challenge: 5 Ways to incorrectly build a system".

You can find more info here:



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Big Mike View Post
Just a quick note that @kevinkdog will be presenting a webinar on futures.io (formerly BMT) Wednesday, December 4th @ 4:30 PM Eastern. The topic of the webinar is "Algorithmic Trading System Challenge: 5 Ways to incorrectly build a system".

You can find more info here:



Mike

Excellent webinar as usual, you can find recording here:

https://futures.io/webinars/dec4_2013/algorithmic_trading_challenge_kevin_davey/

I liked the Q&A the most, but I always do...

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