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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)
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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)

  #371 (permalink)
Elite Member
Reno, Nevada
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ZN, ZB, FDAX
 
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Posts: 173 since May 2011
Thanks: 15 given, 239 received


kevinkdog View Post
Thanks for the question.

Hopefully by "live" you mean real money trading, I will assume that is the case.

I am a bit confused by what you are doing, maybe you can explain with an example. Here is an example of how I'd calculate it:

1 trade

Backtest Report says I bought at 163 19/32 and sold at 163 25/32

Actual real money account says I bought at 163 19/32 and sold at 163 24/32

I would have 0 ticks slippage on entry, 1 tick slippage on exit.

Thanks for the prompt reply. I trade Jigsaw DOM and order flow but I'm experimenting with strategy development in Ninja.

When I said "Live", what I meant was letting the strategy run in real time to see what the difference was between live data and backtest data. I also test it in replay. The replay data matches the real time data very well. I understand that this doesn't take into account fills, etc. The strategy executes at market and exits on a limit order.

My goal for doing this exercise was to normalize the backtest data so that I know where I have to make adjustments for real time trading. The backtest engine in Ninja has a lot of inherent problems making the results unreliable. IMO it's really useless. But my thought was that if I could normalize the data the same way you do in simple normalization statistics, I could factor in the adjusted values when I run a test in replay. Then do manual walk forward testing every week to see how the real time data holds up to the replay data where the strategy would include the factor as slippage.

I've attached a couple of jpgs as examples. The first one has two charts: The one on top is backtest from a chart - not Strategy Analyzer - for today's ZB session. The chart below is the replay data for the same. The second jpg is replay data for the strategy with a 2 tick slippage included which turns out to match the replay data, at least for today.

After testing different sets of profit targets/stop losses, the results suggested that 4/4 were the best inputs to use - i.e. most probable successful profit target with a matching stop loss.

I just don't trust the backtest engine. That's why I came up with this scheme to see if I could come up with a valid, reliable factor to use with an inaccurate backtesting engine. I still have to calculate the number of outliers over the range of available data.

I'm really just trying to work with a defective backtest engine to get reasonably reliable results.

I know you use TradeStation. I can program in EL. I switched to Ninja because I liked the graphics. I'm not that great at programming in Ninja though. Trading order flow I really didn't need TradeStation any more.

Anyway, just wanted your opinion on this. I don't want to waste a lot of time with Ninja programming if I can't acquire reliable results.

Attached Thumbnails
KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)-backtest.jpg   KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)-slip.jpg  
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  #372 (permalink)
Elite Member
Sydney, NSW, Australia
 
Futures Experience: Beginner
Platform: Sierra Chart, Python, C#
Broker/Data: Interactive Brokers
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phantomtrader View Post
Thanks for the prompt reply. I trade Jigsaw DOM and order flow but I'm experimenting with strategy development in Ninja.
.........

Not to hijack Kevin's response, I would be very careful using any renko bar for reliable backtesting (probably best not to at all). If you have a look at your two images you can see a part of the reason, the backtested entries are at prices that were never available, then look at the replay, all entries are different. This is not slippage but because renko bars falsely report the opening price of the bar.

If you are using Ninja and want to use renko bars, grab the Better Renko bar from the downloads section on this site, it uses the correct bar opening.

If you are using Ninja 8, you can also try enabling Tick Replay on your backtests (needs to be enabled from the Tools menu).

I found the better option was to break down my strategy logic so I could replicate it on any bar types within reason.

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  #373 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: Tradestation, DeCarley, others
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Posts: 2,503 since Jul 2012
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phantomtrader View Post
Thanks for the prompt reply. I trade Jigsaw DOM and order flow but I'm experimenting with strategy development in Ninja.

When I said "Live", what I meant was letting the strategy run in real time to see what the difference was between live data and backtest data. I also test it in replay. The replay data matches the real time data very well. I understand that this doesn't take into account fills, etc. The strategy executes at market and exits on a limit order.

My goal for doing this exercise was to normalize the backtest data so that I know where I have to make adjustments for real time trading. The backtest engine in Ninja has a lot of inherent problems making the results unreliable. IMO it's really useless. But my thought was that if I could normalize the data the same way you do in simple normalization statistics, I could factor in the adjusted values when I run a test in replay. Then do manual walk forward testing every week to see how the real time data holds up to the replay data where the strategy would include the factor as slippage.

I've attached a couple of jpgs as examples. The first one has two charts: The one on top is backtest from a chart - not Strategy Analyzer - for today's ZB session. The chart below is the replay data for the same. The second jpg is replay data for the strategy with a 2 tick slippage included which turns out to match the replay data, at least for today.

After testing different sets of profit targets/stop losses, the results suggested that 4/4 were the best inputs to use - i.e. most probable successful profit target with a matching stop loss.

I just don't trust the backtest engine. That's why I came up with this scheme to see if I could come up with a valid, reliable factor to use with an inaccurate backtesting engine. I still have to calculate the number of outliers over the range of available data.

I'm really just trying to work with a defective backtest engine to get reasonably reliable results.

I know you use TradeStation. I can program in EL. I switched to Ninja because I liked the graphics. I'm not that great at programming in Ninja though. Trading order flow I really didn't need TradeStation any more.

Anyway, just wanted your opinion on this. I don't want to waste a lot of time with Ninja programming if I can't acquire reliable results.

Thanks for the explanation. You mentioned earlier that you are using Renko bars. I know Ninja is not good with backtesting this, and I never test these bars with Tradestation either. I only test time based bars.

One concern I'd have with what you are doing is that you are going to have very short backtests - I like having 5-10 years if I can.

It seems like what you are doing makes sense, at least at a high level, but I'd have to spend a lot of time looking at the details of this to make sure you are doing it correctly.

The best test is to proceed with what you are doing, and at some point verify it with a real money test. YTou should quickly see if your approach is correct.

Sorry I can;t be of more help, but you are delving into waters I have never stuck a tow in.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #374 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: Tradestation, DeCarley, others
Favorite Futures: futures
 
Posts: 2,503 since Jul 2012
Thanks: 1,241 given, 4,638 received
Forum Reputation: Legendary


amoeba View Post
Not to hijack Kevin's response, I would be very careful using any renko bar for reliable backtesting (probably best not to at all). If you have a look at your two images you can see a part of the reason, the backtested entries are at prices that were never available, then look at the replay, all entries are different. This is not slippage but because renko bars falsely report the opening price of the bar.

If you are using Ninja and want to use renko bars, grab the Better Renko bar from the downloads section on this site, it uses the correct bar opening.

If you are using Ninja 8, you can also try enabling Tick Replay on your backtests (needs to be enabled from the Tools menu).

I found the better option was to break down my strategy logic so I could replicate it on any bar types within reason.

Beat me to it, good advice!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #375 (permalink)
Elite Member
Reno, Nevada
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ZN, ZB, FDAX
 
phantomtrader's Avatar
 
Posts: 173 since May 2011
Thanks: 15 given, 239 received


amoeba View Post
Not to hijack Kevin's response, I would be very careful using any renko bar for reliable backtesting (probably best not to at all). If you have a look at your two images you can see a part of the reason, the backtested entries are at prices that were never available, then look at the replay, all entries are different. This is not slippage but because renko bars falsely report the opening price of the bar.

If you are using Ninja and want to use renko bars, grab the Better Renko bar from the downloads section on this site, it uses the correct bar opening.

If you are using Ninja 8, you can also try enabling Tick Replay on your backtests (needs to be enabled from the Tools menu).

I found the better option was to break down my strategy logic so I could replicate it on any bar types within reason.

Thanks for the input. Yes, you're right about testing with renko bars. I'm not looking to automate the strategy. I simply wanted to see if there was a way to calculate an error factor that would work with this set. The problem with Better Renko is that the bars pack too much price action in a single bar. Doesn't work with the strategy I wrote. But thanks - I appreciate your thoughts.

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  #376 (permalink)
Elite Member
Reno, Nevada
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ZN, ZB, FDAX
 
phantomtrader's Avatar
 
Posts: 173 since May 2011
Thanks: 15 given, 239 received


kevinkdog View Post
Thanks for the explanation. You mentioned earlier that you are using Renko bars. I know Ninja is not good with backtesting this, and I never test these bars with Tradestation either. I only test time based bars.

One concern I'd have with what you are doing is that you are going to have very short backtests - I like having 5-10 years if I can.

It seems like what you are doing makes sense, at least at a high level, but I'd have to spend a lot of time looking at the details of this to make sure you are doing it correctly.

The best test is to proceed with what you are doing, and at some point verify it with a real money test. YTou should quickly see if your approach is correct.

Sorry I can;t be of more help, but you are delving into waters I have never stuck a tow in.

No problem - I appreciate your input. As I mentioned in response to Amoeba, the better renko bars pack too much price action into a single bar. I use the smallest setting on the renko bar, the rationale being that the strategy could capitalize on the "smoothness" of renko, but not have so much price action in a single bar to deal with. Since the strategy only looks at 2 parameters, it made sense to put as little information in a single bar as possible.

Actually, as for real money test, it turns out that many of my Jigsaw setups execute about the same way as the strategy. But that's not a reliable metric for testing as I would have to take every single trade to do even a minimal calculation. In any case, it could be useful as an ancillary indicator for order flow trading.

Thanks again for your input - greatly appreciated.

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  #377 (permalink)
Elite Member
Hong Kong
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: Stocks
 
Posts: 32 since Jul 2012
Thanks: 24 given, 4 received

Hello Kevin, I had watched some of your webinar and know that you self learn the programming code and build the algo yourselve.

Have you have any working exp as a pro trader in the past? Do you think someone who didnt worked aa trader can also win the market?

How do you think the programming is important in nowaday market? If I can trade well, does it mean I can giveup the programming skill? The reason I am asking, I try to understand where should I put the priority.

(I had 10years trading exp in stock market but didnt lose and didnt make profit....)

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  #378 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: Tradestation, DeCarley, others
Favorite Futures: futures
 
Posts: 2,503 since Jul 2012
Thanks: 1,241 given, 4,638 received
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g94expy View Post
Hello Kevin, I had watched some of your webinar and know that you self learn the programming code and build the algo yourselve.

Have you have any working exp as a pro trader in the past? Do you think someone who didnt worked aa trader can also win the market?

How do you think the programming is important in nowaday market? If I can trade well, does it mean I can giveup the programming skill? The reason I am asking, I try to understand where should I put the priority.

(I had 10years trading exp in stock market but didnt lose and didnt make profit....)

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Hi, thanks for the question.

I have never worked for a trading firm, I do think people who did not work as traders can win in the market.

I think programming is important if you are going to be creating strategies, especially to run automated. If you can trade well without programming - maybe by watching the screen for 10 hours per day - if that works I say go for it.

I can't tell you where to put the priority, because a lot of that depends on you. I have seen fail at algo trading, and people fail at screen trading. And vice versa. There is no set way to succeed.

Hope this helps!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #379 (permalink)
Elite Member
Hong Kong
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: Stocks
 
Posts: 32 since Jul 2012
Thanks: 24 given, 4 received

Thanks. So you will mainly based on computer signal to make trading decision? Or more on price action or any other trading indicator such as RSI MACD ?

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  #380 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: Tradestation, DeCarley, others
Favorite Futures: futures
 
Posts: 2,503 since Jul 2012
Thanks: 1,241 given, 4,638 received
Forum Reputation: Legendary



g94expy View Post
Thanks. So you will mainly based on computer signal to make trading decision? Or more on price action or any other trading indicator such as RSI MACD ?

我從使用 Tapatalk 的 MI MAX 發送

I test patterns, indicators, statistical things, combinations of all these. Doesn't really matter to me. What DOES matter is that I evaluate the results based on an objective set of criteria to say if the strategy is good or not.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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