NexusFi: Find Your Edge


Home Menu

 





Strategy creating 95%-100% winning trades


Discussion in NinjaTrader

Updated
      Top Posters
    1. looks_one shodson with 13 posts (10 thanks)
    2. looks_two pakricard with 8 posts (1 thanks)
    3. looks_3 Big Mike with 7 posts (5 thanks)
    4. looks_4 gabga100 with 7 posts (1 thanks)
      Best Posters
    1. looks_one sefstrat with 2.3 thanks per post
    2. looks_two shodson with 0.8 thanks per post
    3. looks_3 Big Mike with 0.7 thanks per post
    4. looks_4 cunparis with 0.6 thanks per post
    1. trending_up 99,671 views
    2. thumb_up 41 thanks given
    3. group 41 followers
    1. forum 92 posts
    2. attach_file 8 attachments




 
Search this Thread

Strategy creating 95%-100% winning trades

  #1 (permalink)
 
shodson's Avatar
 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,709

I finally have a strategy that backtests very nicely. Ironically, over the last month or so I have programmed many strategies that I thought would work well, which kept failing miserably. I’ve spent many hours and late nights hacking away in NinjaTrader over the last few weeks coding different strategies to no avail. So yesterday, just out of desperate frustration I pulled a “George Costanza”

YouTube - The Opposite George

So when my algorithm says to buy, I make it sell instead of buy, and when it’s in the conditions I thought would be good to sell, I buy. And wouldn't you know it I started seeing profits. I added a few tweaks and played with different settings and now I have these results below.

This is on the ES Sept contract, Jun1 to now



I don't like losing that much money on just one trade, but the retracements can take a while and they need room to wiggle to achieve high success ratios.

This is on the June ES contract, Mar 1 – Jun 1




Works well on forex contracts too, here’s 10 contracts on the Sept 6E



That’s 87 winning trades and only 1 losing trade! I actually had it making more money in some cases, but at the cost of a lower winning percentage ratio (85-88%). I'd rather have a higher probability of success than more money with higher account volatility.

I’m looking for huge moves in price and, instead of chasing it like I normally would, quickly go in the opposite direction if the move is statistically irrational . It all lines up nicely with some of the things I picked up recently in “Fooled by Randomness”.

I’m going to keep backtesting farther back in time and with other instruments. If that goes well then later this month I’m going to start forward testing this and, if the testing goes well, plan to go live with this on small positions in August in full auto-trade mode (I don't even know how to do that in NT yet)

Sorry for not giving more details, you don't have to believe me if you think I'm full of it, making it up, or just trying to create hype so I can promote something (which I'm not), I just had to share my excitement with someone. I'll post updates as I proceed.

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
The following 8 users say Thank You to shodson for this post:

Can you help answer these questions
from other members on NexusFi?
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Request for MACD with option to use different MAs for fa …
NinjaTrader
ZombieSqueeze
Platforms and Indicators
NexusFi Journal Challenge - April 2024
Feedback and Announcements
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Retail Trading As An Industry
67 thanks
NexusFi site changelog and issues/problem reporting
47 thanks
Battlestations: Show us your trading desks!
43 thanks
GFIs1 1 DAX trade per day journal
32 thanks
What percentage per day is possible? [Poll]
31 thanks

  #2 (permalink)
BigDog
Chicago
 
Posts: 60 since Jun 2009
Thanks Given: 0
Thanks Received: 17

try it out in market replay and then post results...

similar?

Reply With Quote
  #3 (permalink)
 
shodson's Avatar
 shodson 
OC, California, USA
Quantoholic
 
Experience: Advanced
Platform: IB/TWS, NinjaTrader, ToS
Broker: IB, ToS, Kinetick
Trading: stocks, options, futures, VIX
Posts: 1,976 since Jun 2009
Thanks Given: 533
Thanks Received: 3,709


Got to figure out how to use market replay, will check it out. I've just used strategy analyzer so far.

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #4 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,322 since Jun 2009
Thanks Given: 33,143
Thanks Received: 101,476


BigDog View Post
try it out in market replay and then post results...

similar?

Exactly. Because experience tells me you've simply run into an NT order bug with the backtester and in reality your strategy is a bomb. Sorry to be the bearer of bad news. Hopefully I am wrong, but pretty sure I'm not.

I am taking a guess you are using limit orders and are either getting filed on the same bar, so the OHLC order is unknown, or it could be the SetProfitTarget bug, or any number of other bugs.

Use market replay and let us know. Be sure to test multiple days.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
  #5 (permalink)
 
jackyd's Avatar
 jackyd 
Calgary Canada
 
Experience: Intermediate
Platform: Ninja
Broker: IB/Kinetic
Trading: 6E, CL
Posts: 47 since Jun 2009
Thanks Given: 44
Thanks Received: 20


Big Mike View Post
or it could be the SetProfitTarget bug, or any number of other bugs.

Hey Mike, is it that the SetProfitTarget is generally unreliable with the strategy analyzer, or is there an actual bug?

Reply With Quote
The following user says Thank You to jackyd for this post:
  #6 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,322 since Jun 2009
Thanks Given: 33,143
Thanks Received: 101,476


jackyd View Post
Hey Mike, is it that the SetProfitTarget is generally unreliable with the strategy analyzer, or is there an actual bug?

If you set it based on CalculationMode.Ticks and the names of the entries are not unique then you can run into problems. Either name each entry with a unique name (like "long " + CurrentBar) or use CalculationMode.Price.

The more dangerous "issue" (not a bug, but a design limitation) is the entries and exits on the same bar, NT doesn't know the OHLC order and it doesn't assume the worst.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #7 (permalink)
 
jackyd's Avatar
 jackyd 
Calgary Canada
 
Experience: Intermediate
Platform: Ninja
Broker: IB/Kinetic
Trading: 6E, CL
Posts: 47 since Jun 2009
Thanks Given: 44
Thanks Received: 20

good, I've run into both of those issues and the entry/signal names can really mess you up if you don't get it right.

Reply With Quote
  #8 (permalink)
 
Velocity's Avatar
 Velocity 
Bloomfield Hills, MI
 
Experience: Master
Platform: NinjaTrader / Neoticker
Trading: ES
Posts: 16 since Jun 2009
Thanks Given: 0
Thanks Received: 7

This is dangerous!! Trading on something and not knowing why it works on the reverse. Good Luck!!

Reply With Quote
  #9 (permalink)
 dsherman 
Michigan
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Optimus/Vision & Stage5/Vision
Trading: Futures
Posts: 40 since Jul 2009
Thanks Given: 22
Thanks Received: 18

I have also found that using "Strategy Analyzer" for back testing and optimizer produces results that do not bear out in live or replay. I basically use back testing and optimizer to hone in on a strategy and then use replay to actually get the correct results. One other "KEY" is the data feed. As an example, I was running a strategy I am working on, on two PCs concurrently live today. Same strategy, on both. One was getting the feed from IB and the second from Zen-Fire. The IB feed triggered an ill timed trade and ended the day with a loss. Before starting, I even made sure that the IB pc was synced to atomic clock and the T&S sales were within a second of the Zen-Fire feed. (I guess IB sends out the tick data without a time stamp so the PC clock is used, and Zen-Fire includes the time stamp). Anyway, running the same strategy on two different feeds ended up with a huge difference in results. For back-testing purposes (replay), I think it is critical to have time-stamped data so realistic results can be found.

Reply With Quote
The following user says Thank You to dsherman for this post:
  #10 (permalink)
BigDog
Chicago
 
Posts: 60 since Jun 2009
Thanks Given: 0
Thanks Received: 17


not only that, but the replay will give you different results than running it in live sim...

Reply With Quote





Last Updated on January 30, 2020


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts