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Taking a Trading System Live
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Taking a Trading System Live

  #331 (permalink)
Elite Member
madrid spain
 
Futures Experience: Beginner
Platform: nt
Favorite Futures: None.
 
alejo's Avatar
 
Posts: 1,311 since Apr 2013
Thanks: 16,557 given, 643 received

montecarlo analisys question

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"?

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thanks

alejo

La lucha es de igual a igual contra uno mismo
The fight is fair against oneself
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  #332 (permalink)
Elite Member
madrid spain
 
Futures Experience: Beginner
Platform: nt
Favorite Futures: None.
 
alejo's Avatar
 
Posts: 1,311 since Apr 2013
Thanks: 16,557 given, 643 received

t test


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:

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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

La lucha es de igual a igual contra uno mismo
The fight is fair against oneself
Reply With Quote
 
  #333 (permalink)
Elite Member
madrid spain
 
Futures Experience: Beginner
Platform: nt
Favorite Futures: None.
 
alejo's Avatar
 
Posts: 1,311 since Apr 2013
Thanks: 16,557 given, 643 received

question about montecarlo


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

La lucha es de igual a igual contra uno mismo
The fight is fair against oneself
Reply With Quote
 
  #334 (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
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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.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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The following user says Thank You to kevinkdog for this post:
 
  #335 (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


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"?

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


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.

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:
 
  #336 (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


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.

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:
 
  #337 (permalink)
Elite Member
madrid spain
 
Futures Experience: Beginner
Platform: nt
Favorite Futures: None.
 
alejo's Avatar
 
Posts: 1,311 since Apr 2013
Thanks: 16,557 given, 643 received

system comparison


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?

https://futures.io/elite-trading-journals/27399-alejo-s-trading-journal-13.html#post370942

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
Reply With Quote
 
  #338 (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

Lots of Little Winners

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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If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #339 (permalink)
Site Administrator
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Platform: My own custom solution
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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:

https://futures.io/elite-automated-trading/29726-webinar-algorithmic-challenge-w...rectly-build-system.html

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 3 users say Thank You to Big Mike for this post:
 
  #340 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,353 given, 83,234 received



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:

https://futures.io/elite-automated-trading/29726-webinar-algorithmic-challenge-w...rectly-build-system.html

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...

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 3 users say Thank You to Big Mike for this post:

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