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Good trades, bad trades, winning trades & losing trades
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Good trades, bad trades, winning trades & losing trades

  #21 (permalink)
Elite Member
Tokyo, Japan
 
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Horror Show

The pain trade, NKD cover @ 16,490 and HG @ 2.1665 for position max losses. HG is most painful because it was a big winner 3 days ago and like a slow motion car wreck the pain started and then yesterday all day long just watch my profit disappear. Maddening beyond belief but that's how trading goes, 2 steps forward and 1 step back.

ZS is performing nicely so happy make up some of those losses.

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  #22 (permalink)
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Grausch, great call on TradingBlox. I downloaded the trial version and started testing out the Turtle strategy over 30 years. Naturally in the wonderful world of back tests in 30 years I will have millions of dollars and be a very successful trader, even factoring in 5% quarterly withdrawals. I really to see those types of back tests in a week like this one when the whip saw bugaboos have got me.

CT dropped down out of nowhere and hit my 1 day move limit @ 60.41. ZN stopped out at 130'09.5 so closed for a loss. Opened 1 new position long AD @ 0.7678.

Now ZS profits are slipping away just like HG. I'm not eager to see that happen again so may just close the position and wait for new trends to start.

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  #23 (permalink)
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AsymOlly View Post
Grausch, great call on TradingBlox. I downloaded the trial version and started testing out the Turtle strategy over 30 years. Naturally in the wonderful world of back tests in 30 years I will have millions of dollars and be a very successful trader, even factoring in 5% quarterly withdrawals. I really to see those types of back tests in a week like this one when the whip saw bugaboos have got me.

I'd also suggest running the backtests over various periods, not only so that you get a better picture over several periods, but also so that you have some out-of-sample data left. The system did extremely well in the 80s, but thereafter performance degraded significantly and while this is correctly shown in the backtest, most people will gloss over this fact after seeing how they could have made millions.

You can probably break the data down into 5 year periods, and then perhaps get a better feel for how it has performed during several periods in history. Also, if you are going to optimise, always ensure you have some out-of-sample data left so that the optimised system can run on that.

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  #24 (permalink)
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Yes, in the world of backtest we are all rich. I understand not only that the future and the past aren't similar enough to bet the bank on it but also that I am not a computer and my trading isn't fully automated so will not have exactly the same results. Emotions play a large factor, I'm struggling right now through a rough draw down.

There are years of flat performance and continuous years of negative performance follow by great triple digit return years. Can't be predicted so must just keep going with the system even when the market is kicking you down. The system automatically reduces trading size when losses build up so capital preservation is built in.

Thanks for all your advice. It helps when I feel like every trade is destined to fail. I'm just reducing my risk and letting them fly. If I don't then I may not catch the next trend that could have made all the difference.

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  #25 (permalink)
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Hey Olly,

Just curious if you're still selling options? I've been selling for the last two years and just moved over to Futures this year. It's been the most consistent strategy for me so far.

I've been working on a swing trading setup for the last 5 months and currently testing Ichimoku w/ RSI for confirmation. I'm still playing around with the timeframes but it make be worth a peak. There are some great videos on here.

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  #26 (permalink)
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hazlewood View Post
Hey Olly,



Just curious if you're still selling options? I've been selling for the last two years and just moved over to Futures this year. It's been the most consistent strategy for me so far.



I've been working on a swing trading setup for the last 5 months and currently testing Ichimoku w/ RSI for confirmation. I'm still playing around with the timeframes but it make be worth a peak. There are some great videos on here.



Hi Hazelwood,

I don't trade options anymore as I prefer the leverage and trading hours that commodity futures offers.

Based on everything I've read, seen and experienced I feel like being profitable in trading is all about risk management. That can be a broad term so I define it as position sizing, stop losses and profit taking exits. Timeframes for entry and more importantly exits play a large role.

I'm not familiar with Ichimoku but RSI has the mean reversion assumption built into it which doesn't fit my beliefs about the market. There may be a mean for each market out there but I don't believe I'm smart enough to figure it out so I don't try.

I'd be interested to hear more about your trading style for swing trades.

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  #27 (permalink)
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A weekend can be just what you need sometimes. I spent some quality time with the wife and kids, spent some quality time at the gym and had a few laughs with the boys and now it's back to trading.

I traded out of ZS @ 948 and went long ZC @ 3.7925. I rolled into July ZC @ 3.8350 having realized the last day of trading is next week. AD had a great big scare this morning Asia time but has come all the way back to where it left off on Friday.

I did quite a bit of back testing over the weekend running 32,000+ tests of the turtle strategy using trading blox over different time periods and with different entry / exit parameters. The graph below is the best looking equity curve for 2005 to 2015.

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I found when I tested further back I was making upwards of 1bn USD but performance was not great after 2005 so I did tests from 2005 and some test from 2010. Even this wonderful looking performance has a 50% loss in 2015 and it was one of the least volatile results. The win percentage for all of the Turtle simulations were around 15% - 20%. I also found that different starting capital provided very different results so being under capitalized is a problem. Trading blox is a great tool although I haven't purchased it yet it seems very easy to use not only for backtesting but to generate trades using current data.

Parameters for the backtest were 1.5% capital at risk per position, 84 day break out entry and 32 day retrace exit.

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  #28 (permalink)
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Initiated long on CT @ .6228. CT has proven to be an extremely volatile market. I'm not eager to hold this position so may break plan to take an opportunistic profit soon.

ZN has jumped as well as AD but ZN seems to be running out of steam. I hope this trend continues for quite a bit so I can earn back some of those losses from last week. No revenge trading, just following the trend but would be happy to see it go my way.

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  #29 (permalink)
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AsymOlly View Post
I did quite a bit of back testing over the weekend running 32,000+ tests of the turtle strategy using trading blox over different time periods and with different entry / exit parameters. The graph below is the best looking equity curve for 2005 to 2015.

TradingBlox makes it quite easy to test systems like this. Compared to my excel backtests, it is lightning-fast. Only "downside" is that it is too easy in that you may just end up testing systems with the hope of finding something that works (at least that is what happened to me). While it does not look like you have done so, always remember that before a system is backtested, it needs to have a sound and well thought-out idea behind it. A backtest should provide comfort that a system works - it should not be used to try and find systems.


AsymOlly View Post
I found when I tested further back I was making upwards of 1bn USD but performance was not great after 2005 so I did tests from 2005 and some test from 2010. Even this wonderful looking performance has a 50% loss in 2015 and it was one of the least volatile results. The win percentage for all of the Turtle simulations were around 15% - 20%. I also found that different starting capital provided very different results so being under capitalized is a problem. Trading blox is a great tool although I haven't purchased it yet it seems very easy to use not only for backtesting but to generate trades using current data.

Since you mention this being one of the least volatile results, just be aware that should a system's results fluctuate wildly when using different parameters, i.e. n-day breakouts / exits, then the system itself may not be that sound. With regards to you other observations, i.e. 50% drawdown & low win-rate, I do not think that Richard Dennis cared too much for that. He was aiming for home-runs and mentions in Market Wizards that single trades could double his equity. With regards to the capitalisation issue, Trading Blox rejects trades when the account can not handle the risk (not sure if it can be disabled). With a lot of the normal instruments an account of less than $1 million won't place all of its trades during a backtest.


AsymOlly View Post
Parameters for the backtest were 1.5% capital at risk per position, 84 day break out entry and 32 day retrace exit.

As noted above, see how the results fluctuate whenever you modify these entry and exit parameters. Try to stay within the same theme, i.e. medium-term or long-term, but analyse how the performance varies. Wildly varying performance will mean the backtested results are most likely not reproducible. Sometimes it is due to being curve-fit, other times the system is just not as good as we hope for.

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  #30 (permalink)
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Futures Experience: Intermediate
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grausch View Post
TradingBlox makes it quite easy to test systems like this. Compared to my excel backtests, it is lightning-fast. Only "downside" is that it is too easy in that you may just end up testing systems with the hope of finding something that works (at least that is what happened to me). While it does not look like you have done so, always remember that before a system is backtested, it needs to have a sound and well thought-out idea behind it. A backtest should provide comfort that a system works - it should not be used to try and find systems.







Since you mention this being one of the least volatile results, just be aware that should a system's results fluctuate wildly when using different parameters, i.e. n-day breakouts / exits, then the system itself may not be that sound. With regards to you other observations, i.e. 50% drawdown & low win-rate, I do not think that Richard Dennis cared too much for that. He was aiming for home-runs and mentions in Market Wizards that single trades could double his equity. With regards to the capitalisation issue, Trading Blox rejects trades when the account can not handle the risk (not sure if it can be disabled). With a lot of the normal instruments an account of less than $1 million won't place all of its trades during a backtest.







As noted above, see how the results fluctuate whenever you modify these entry and exit parameters. Try to stay within the same theme, i.e. medium-term or long-term, but analyse how the performance varies. Wildly varying performance will mean the backtested results are most likely not reproducible. Sometimes it is due to being curve-fit, other times the system is just not as good as we hope for.



Grausch, your comments are spot on. The test results informed me that short breakouts have been historically less profitable than longer breakouts. Roughly 1/3 retracement seems to work so it's a starting point. I'm wary of curve fitting so the longer time frame working for a small account like mine was one of my key takeaways. The exact day breakout is less important than the ratio for me.

Based on my experience so far I don't know if I could handle consecutive years of double digits losses so the win percentage might make this system a nonstarter for me.

Now my win percentage is around 40% and making 20 - 30% a year so when the trend is with me I feel invincible and when against me I feel like a loser. I don't know if a trader can ever or should ever feel comfortable trading so until I can build up enough capital to go full time this will just be a wonderful hobby.

As always, thank you for you're advice and guidance.

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