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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)

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  #71 (permalink)
San Fransisco Ca
 
Experience: Intermediate
Platform: Ninjatrader
Broker: IB
Trading: forex
 
Posts: 17 since Jan 2014
Thanks: 5 given, 1 received

Hello Kevin,

Thank you for your reply.

Recently the volatility is catching up and you already mentioned it has a major influence on the strategy (like many others).

Is it not better to choose the new parameters for the next period based on an optimization period that has the same volatility as now?

In other words ATR is around 0.02 now. Would it be correct to optimize from may till now to find the new parameters starting in January 2015?
Maybe better to use an optimization period starting at 10/4/2013?

Please your feedback from a statistical and experiential point of view

regards

ps is everything ok with Big Mike?


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  #72 (permalink)
Cleveland Ohio/United States
 
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yeshe View Post
Hello Kevin,

Thank you for your reply.

Recently the volatility is catching up and you already mentioned it has a major influence on the strategy (like many others).

Is it not better to choose the new parameters for the next period based on an optimization period that has the same volatility as now?

In other words ATR is around 0.02 now. Would it be correct to optimize from may till now to find the new parameters starting in January 2015?
Maybe better to use an optimization period starting at 10/4/2013?

Please your feedback from a statistical and experiential point of view

regards

ps is everything ok with Big Mike?


When I do walkforward optimization, the reoptimization times are set in advance. So, for instance, the reopt may be every 1 year. In that case, I will redo the opt 1 year from the last time I did it.

I have never tried reoptimizing based on the method you suggest. I think if you adequately tested such method, it might yield good results. But for me it would be a radical change.

Kevin

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  #73 (permalink)
San Fransisco Ca
 
Experience: Intermediate
Platform: Ninjatrader
Broker: IB
Trading: forex
 
Posts: 17 since Jan 2014
Thanks: 5 given, 1 received



kevinkdog View Post
When I do walkforward optimization, the reoptimization times are set in advance. So, for instance, the reopt may be every 1 year. In that case, I will redo the opt 1 year from the last time I did it.

I have never tried reoptimizing based on the method you suggest. I think if you adequately tested such method, it might yield good results. But for me it would be a radical change.

Kevin

Was just flabbergasting if you optimize on a period that had unusual behavior and at the same time is based on something that makes the strategy perform bad (low volatility), this will probably end up with parameters for the next period that will not do very well.... iff volatility is back to "normal" in the next period...
On the other hand who can predict the future and maybe volatility will be bad next year too....

When reading your book i was wondering through what process and reasoning you went to come to the 105 minute chart for the euronight strategy. Did you initially optimize on different time frames first or look at different timeframes to find the patterns or.....

 
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  #74 (permalink)
Cleveland Ohio/United States
 
Experience: Advanced
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yeshe View Post
Was just flabbergasting if you optimize on a period that had unusual behavior and at the same time is based on something that makes the strategy perform bad (low volatility), this will probably end up with parameters for the next period that will not do very well.... iff volatility is back to "normal" in the next period...
On the other hand who can predict the future and maybe volatility will be bad next year too....

When reading your book i was wondering through what process and reasoning you went to come to the 105 minute chart for the euronight strategy. Did you initially optimize on different time frames first or look at different timeframes to find the patterns or.....

I'd have to go back and look at my notes, but I believe that the 105 came about primarily because I wanted equal size bars through the night session. It did not come about from trying a bunch of different timeframes, and then picking the best one (that would have been optimizing).

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  #75 (permalink)
Sydney Australia
 
Experience: Beginner
Platform: Ninja Trader
Trading: CL, ES, AUD/USD
 
Posts: 51 since Apr 2013
Thanks: 27 given, 31 received

Hi Kevin,
Would you have any recommendation on historical market data?
I am half way through your book and start realizing the importance of good backtest data.
I'll be happy with 1mins charts for CL, ES, NQ, E6 (and maybe a few others) pair dating back 5 to 10 years.

Backtest Data sell a future package for $1300 but it's tick data and contain way more than I need.
Any thoughts on cheaper or better alternatives would be appreciated.

Cheers,
Chris

 
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  #76 (permalink)
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Christophe View Post
Hi Kevin,
Would you have any recommendation on historical market data?
I am half way through your book and start realizing the importance of good backtest data.
I'll be happy with 1mins charts for CL, ES, NQ, E6 (and maybe a few others) pair dating back 5 to 10 years.

Backtest Data sell a future package for $1300 but it's tick data and contain way more than I need.
Any thoughts on cheaper or better alternatives would be appreciated.

Cheers,
Chris

There is ES tick data for the last 12 years on futures.io (formerly BMT), CL, NQ for at least many many many years.

Mike

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  #77 (permalink)
Sydney Australia
 
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Big Mike View Post
There is ES tick data for the last 12 years on futures.io (formerly BMT), CL, NQ for at least many many many years.

Mike

Thanks Mike
All I could find is 1 min historical from 2000 to 20009.
Still pretty good tho.

https://futures.io/local_links_sort.php?catid=12&filter=&sort=d&page=1&pp=10&keyid=205

 
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  #78 (permalink)
Site Administrator
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Christophe View Post
Thanks Mike
All I could find is 1 min historical from 2000 to 20009.
Still pretty good tho.

https://futures.io/local_links_sort.php?catid=12&filter=&sort=d&page=1&pp=10&keyid=205





etc
etc

Mike

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  #79 (permalink)
Cleveland Ohio/United States
 
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Christophe View Post
Hi Kevin,
Would you have any recommendation on historical market data?
I am half way through your book and start realizing the importance of good backtest data.
I'll be happy with 1mins charts for CL, ES, NQ, E6 (and maybe a few others) pair dating back 5 to 10 years.

Backtest Data sell a future package for $1300 but it's tick data and contain way more than I need.
Any thoughts on cheaper or better alternatives would be appreciated.

Cheers,
Chris


I would recommend that for any data you buy, purchase, download, etc. --- make sure the data source you backtest with is the same data you trade live with. Otherwise, you run the risk of data differences leading to invalid results. A tick or 2 here and there could make a big difference. And then, if your use a continuous contract, different rollover dates can have a huge impact.

You are on the right path though with questioning data. Too many people use data without a second thought, and that can be dangerous.

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  #80 (permalink)
Sydney Australia
 
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Big Mike View Post

Mike

Thanks Mike for the reply.
I have been struggling to get the GOM data to load. I made a post about it in the above thread.

We are actually two traders with with the exact same issue.
I know you aren't using NT anymore but if by any chance you could spot something obvious that would be awesome.


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