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PuristScalper
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Created: by Zoethecus Attachments:6

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PuristScalper

  #11 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received

Yes, I run 6-8 ATS on NT7 fairly smoothly. But I also have a powerful computer with lots of RAM and RAID.

 
  #12 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received

Took one trade today and LOST $40.00

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  #13 (permalink)
Elite Member
Singapore
 
Futures Experience: Beginner
Platform: Multicharts, R
Favorite Futures: EUR / USD
 
Posts: 185 since Feb 2010
Thanks: 106 given, 98 received


In your previous posts, you discuss how have developed these strategies; by starting with a solid concept and if that proves successful enhancing with additional rules, tweaks, money management. Have I got it correct?

I have just started developing using NT, prior to that I used Amibroker for Shares / CFDs. Using Amibroker I successfully developed systems which are profitable mechanically for end of day trading.

I guess I am having trouble making the switch from CFD / Amibroker to NT / FX and not sure where the issues are. The ideas I have appear to be solid when I look back at the charts, but cannot get them to perform in back testing with NT. So am not sure whether this is NT's fault (bugs) or my programming or that I haven't "tweaked" the system enough.

Any thoughts or pointers would be very much appreciated.

 
  #14 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received

diverdan, it's hard for me to give you a straight answer not having access to your NT strats. I can say that backtesting should be done on the latest version of NT7 64 bit, Kinetick feed. If you're using Renko bars or any of it's cousins, the results are artificial, whether good or bad.

If you care to share more information so that I can assist more productively, PM or email me.


Last edited by Zoethecus; July 3rd, 2010 at 07:39 PM.
 
  #15 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received

No trades today.

This thread will solely track CL.

New threads will be started for other instruments which appear to have merit.

 
  #16 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received

No trades today.

 
  #17 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received

The strategy took two trades today for a split decision and WON $40.

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  #18 (permalink)
 Vendor: www.probabletrades.com 
OC, California, USA
 
Futures Experience: Advanced
Platform: IB/TWS, NinjaTrader, thinkorswim
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,860 since Jun 2009
Thanks: 480 given, 3,255 received


Zoethecus View Post
I'm conflicted over scalping. On the one hand I enjoy the short term burst of taking quick profits with minimal time in the market, and on the other hand I deplore the RR most systems use to achieve those profits. What's more, finding an instrument that behaves properly is challenging.

I always have a few systems in the fire that I test and trade. (A bad obsession.) BruteForceScalper-CL with its large PT wasn't really a scalper. I think that was an effort to bridge the gap between really large PT and small SL so I could feel better about a low win ratio. Sorta like getting half pregnant.

So, here is PuristScalper. It was conceived about a year ago and, traded for 6 months with results that met my idealistic expectations of what an ATS scalper should look like. I've tried to duplicate this on other instruments with little success. I imagine in time, CL will act differently and the party will be over since I have no interest in tweaking this. Frankly, I can't imagine getting better results and statistics. Now comes the fun part--increasing the contracts and pyramiding the profits.

Profit Target: 9
Stop Loss:5

I like your RR and your results look promising.

You might want to include commissions too though, as the cost of doing business scalping is a larger percentage of your profits than if you trade for larger targets. With these backtested results that would take your profit down to $7,985 after $5 per RT on 173 trades.

 
  #19 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received

I've always been ambivalent about scalping and it is imperative to have a high RR to make it work. Frankly, I'm still not sold on it despite the initial results of the PuristScalper algo.

For my money, Paradigm is the way to go. I could care less about the win percentage.

Regretably, new traders are generally undercapitalized and seek systems with small gains and slightly larger stops with a high win percentage. That is their pathos and ultimate demise.

 
  #20 (permalink)
Membership Revoked
United States of America
 
Futures Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009
Thanks: 262 given, 471 received


No trades today. It's real slow and I stopped the strat.


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