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TTP Bot does back testing all the time since they started and has drawn the conclusion that back testing and optimization doesn't do much for trading in the future. You can buy their high performance back tester for around 250. I have not seen the data but they are constantly testing settings and data to build a better bot.
So is forward testing better?
If the markets are random, does forward or backward testing apply to what will happen in the future? These are questions I cannot answer but maybe someone will a lot more experience can. Thx for all input.
Any trader must identify and prove an edge
If you are discretionary then you have to prove it via your actual sim then live
Performance metrics
If your trading is systematic then
1 backtest
2 out of sample test
3 different out of sample test
4 forward test on sim
Then if results are ok go live
This process will weed out methods with no reliable edge
Still may not guarantee good results going forward
All the execution and psych variables come into play going live
I've been following this thread and put together an Indicator and Strat to test out a few ideas.
It's still a little rough yet, especially on the exit portion, but it does get you in the ballpark. Watching it run today on SIM gave me a few ideas worth trying. Have to do some more tinkering.
Since I'm using RJay's Renko bars for this experiment neither back testing nor market replay works very well at all for constructive feedback. I just have to watch it live to get a true feeling for entries and exits. The good news about these custom bars (such as RJay's Renko bars) is they sure do make indicators dance and sing really pretty.
Fugitive - This is some excellent work and exactly the direction we need to head on. Is there a way to attach a trailing stop, within the strategy to a indicator like the supertrend ?
I have been capturing some great trades on the 20-2 using the supertrend to keep me in the trade.
fugitive69, Your chart shows a great 10 handle trade.
Do you use the pink color line for additional filter for entry and/or for stop?
Or are you using transitional candle for stop?
Entries shown on third bar, is this an additional filter to avoid the 1-2 bar chops?
If the 1-2 bar chop can and be filtered this will really rock and roll.
Observation, The initial stop may be a bit large for small lot traders. Possible use mid point of transition candle +- a few tics for smaller stop? Also for aggressive traders the mid point of the transition candle and the super trend may be used for an add on first pullback to it. Or for smaller traders wait for pullback to mid of transition candle for entry but it misses trades. Great input. Keep the posts and charts coming. Thx everyone
Well I gave it a shot but the only SuperTrend I had on in my files was the anaSuperTrendM11. It didn't work out so great for these types of bars and a 20-2 setting (or a 12-2 setting either). Transition areas from one trend to the other caused big time issues.
Maybe a different SuperTrend version would work better.
Do you use the pink color line for additional filter for entry and/or for stop?
It is the halfway point between the upper and lower lines. I'm not really using it at all within the strategy supplied earlier. But my original intention was to use it to help mark a trend change. When the yellow line crosses above the pink line the trend changed to an uptrend.
Or are you using transitional candle for stop?
Right now, it's just set to a plain old trailing stop - default = 16. But you can edit that default setting when you load the strategy.
The exit is really the killer. When the trend changes from red bars to green bars you'll obviously give back a big chunk of profits. On the other hand you're hesitant to give up on a trade when it just might continue on in your favor.
With any Renko bars the difference between a red bar and a green bar is just one tick. If you're using a Renko setting of 20-2 the bar will remain in your favor all the way up to 19 ticks. It's that 20th tick that causes the bar to change color.
Seems with these bars a guy really needs some sort of long-term trend indicator, let's say a 120 SMA. It's a good idea anyway regardless of bar style. Wait for a pullback against the trend, then enter once the trend continues. I'm thinking that is really the lowest risk trade. Guess that really isn't news to anyone.
The indicator attached may help. The idea is to set the Bar Height on the indicator to whatever bar setting you decide to use.
If using 20 - 2, then the Bar Height on the indicator would be set to 20.
If using 12 - 2, then the Bar Height on the indicator would be set to 12.
This will work for starters just to get a feel for how the indicator works and if it might be beneficial to you.
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Now here's a twist.
If your bars are set to 12 - 2, instead of setting the Bar Height on the indicator to 12 try a setting of 16, and then try it again with a setting of 20. I have a hunch that by shifting the lines around you may identify a setting you'd like to use for a Trailing Stop.
Or even an entry point for the resumption of a Trend after it has retraced a bit.
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Also added an option to hide the lines until a confirmed trend appears.
