Hello Everyone, Im downloading 5 yrs of bars to do a longer
backtest right now so while I'm waiting I thought I might join this conversation and share what I've been working on with crude today. I do all my trading and
backtesting through Sierra charts, currently using the spreadsheets as I only know some python and they generally meet my needs. Something I've been doing lately with intraday
momentum strategies is trying to forecast future
volatility as one of my filters. Volatility tends to cluster as the staticians say and since I know I'm writing systems that benefit from market volatility I've tried different ways of forecasting using ema's of
vol over different time periods. My results across the board have been much better than before filtering for vol and coupling that with a trend filter and a few other params like entry and exit I've found multiple ways to put something profitable together.
These are the results from my last test with CL today
Trade StatisticsFirst FillLast FillDaily Date
[Sim]All SymbolsNum Fills Filtered: 02022-06-01 08:20:592022-09-14 10:01:592022-09-14
All Accounts
Currency Value (C)
All TradesLong TradesShort TradesDaily Trades
Closed Trades Profit/Loss9590.004100.005490.00690.00
Closed Trades Total Profit26140.006010.0020130.00710.00
Closed Trades Total Loss-16550.00-1910.00-14640.00-20.00
Profit Factor1.583.151.3835.50
Equity Peak11240.005130.006970.00710.00
Equity Valley8260.003410.004040.00690.00
Maximum Runup8330.005130.007620.00710.00
Maximum
Drawdown-2980.00-1720.00-2890.00-20.00
Maximum FlatToFlat Trade Open Profit3660.001580.003660.001060.00
Maximum FlatToFlat Trade Open Loss-1140.00-730.00-1140.00-250.00
Average Trade Open Profit664.94642.11671.52805.00
Average Trade Open Loss-313.88-203.16-345.76-145.00
Average Winning Trade Open Profit1208.16917.271326.671060.00
Average Winning Trade Open Loss-189.47-151.82-204.81-250.00
Average Losing Trade Open Profit225.74263.75217.95550.00
Average Losing Trade Open Loss-414.47-273.75-443.33-40.00
Maximum Trade Open Profit3660.001580.003660.001060.00
Maximum Trade Open Loss-1140.00-730.00-1140.00-250.00
Highest Price During Positions0.000.000.000.00
Lowest Price During Positions0.000.000.000.00
Total Commissions0.000.000.000.00
Total Trades8519662
Total FlatToFlat Trades8519662
Total Filled Quantity170381324
Total Buys x Sells-47 x -4719 x 19-66 x -662 x 2
Percent Profitable44.71%57.89%40.91%50.00%
FlatToFlat Percent Profitable44.71%57.89%40.91%50.00%
Winning Trades3811271
Winning FlatToFlat Trades3811271
Losing Trades478391
Losing FlatToFlat Trades478391
Long Trades191902
Long FlatToFlat Trades191902
Short Trades660660
Short FlatToFlat Trades660660
Average Trade Profit/Loss112.82215.7983.18345.00
Average FlatToFlat Trade Profit/Loss112.82215.7983.18345.00
Average Winning Trade687.89546.36745.56710.00
Average FlatToFlat Winning Trade687.89546.36745.56710.00
Average Losing Trade-352.13-238.75-375.38-20.00
Average FlatToFlat Losing Trade-352.13-238.75-375.38-20.00
Average Profit Factor1.952.291.9935.50
Average FlatToFlat Profit Factor1.952.291.9935.50
Largest Winning Trade2690.001160.002690.00710.00
Largest FlatToFlat Winning Trade2690.001160.002690.00710.00
Largest Losing Trade-1070.00-720.00-1070.00-20.00
Largest FlatToFlat Losing Trade-1070.00-720.00-1070.00-20.00
Largest Winner % of Profit10.29%19.30%13.36%100.00%
Largest FlatToFlat Winner % of Profit10.29%19.30%13.36%100.00%
Largest Loser % of Loss6.47%37.70%7.31%100.00%
Largest FlatToFlat Loser % of Loss6.47%37.70%7.31%100.00%
Max Consecutive Winners9941
Max Consecutive Losers7470
Average Time In Trades21:4324:0521:0231:00
Average Time In Winning Trades32:1531:1032:4138:00
Average Time In Losing Trades13:1314:2212:5924:00
Longest Held Winning Trade1:26:0051:591:26:0038:00
Longest Held Losing Trade46:5924:0046:5924:00
Total Quantity8519662
Winning Quantity3811271
Losing Quantity478391
Avg Quantity Per Trade1.001.001.001.00
Avg Quantity Per FlatToFlat Trade1.001.001.001.00
Avg Quantity Per Winning Trade1.001.001.001.00
Avg Quantity Per FlatToFlat Winning Trade1.001.001.001.00
Avg Quantity Per Losing Trade1.001.001.001.00
Avg Quantity Per FlatToFlat Losing Trade1.001.001.001.00
Largest Trade Quantity1111
Largest FlatToFlat Trade Quantity1111
Maximum Open Position Quantity1111
Last Trade Profit / Loss-20.00-20.00-620.00-20.00
Last FlatToFlat Trade Profit / Loss-20.00-20.00-620.00-20.00
Expectancy112.820.000.000.00
Number of Open Trades0
Open Trades: Open Quantity0
Open Trades: Average Entry Price0.00
Consecutive WinnersFrequencyAverage Profit/LossAvg Next Trade
1 Winners14711.43-337.14
2 Winners41125.00-267.50
3 Winners12350.00-550.00
4 Winners14200.00-190.00
9 Winners15130.00-260.00
FrequencyAverage Profit/LossAvg Next Trade
Consecutive LosersFrequencyAverage Profit/LossAvg Next Trade
1 Losers10-327.00515.00
2 Losers3-793.33470.00
3 Losers3-1123.33760.00
4 Losers1-1930.002640.00
5 Losers2-1570.00380.00
7 Losers1-2440.00230.00