Who thinks this is a good strategy?

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Updated November 9, 2009

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Who thinks this is a good strategy?

October 24th, 2009, 09:21 PM	#21 (permalink)
sharp2be Canada Elite Member Experience: Advanced Platform: NT, TS Broker: Amp Trading: ES Posts: 57 since Sep 2009 Thanks Given: 1 Thanks Received: 69	Mike - possibly a dumb question: Are you accounting for comissions? Asking because today I was happy with some backtesting results just to find out I had forgotten the comissh... :-) argh... back to the drawing board.

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October 24th, 2009, 09:37 PM

#22 (permalink)

Big Mike

Manta, Ecuador

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Commissions were included, it is part of the backtest report image shown.

Mike

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October 24th, 2009, 10:55 PM

#23 (permalink)

keepdchange

California

Experience: Intermediate

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Trading: ES, Currency Futures (6E)

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Hey Mike,

So were you able to run it on Simm. What were the results?

-Keep

Big Mike

Yes me too, but I know that it is not an NT issue. It is happening because of the exit strategy code in the strategy. There are a few different kinds of exit strategy, all based on candle stick OHLC patterns.

I will be running it on sim this week. I've already conducted several market replay tests with excellent results.

Mike

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October 26th, 2009, 06:19 PM

#24 (permalink)

Big Mike

Manta, Ecuador

Site Administrator
Developer
Swing Trader
R.I.P. 1977-2026

Experience: Advanced

Platform: Custom solution

Broker: IBKR

Trading: Stocks & Futures

Frequency: Every few days

Duration: Weeks

Posts: 50,669 since Jun 2009

Thanks Given: 33,669

Thanks Received: 102,599

keepdchange

Hey Mike,

So were you able to run it on Simm. What were the results?

-Keep

Nope it is shelved for the moment. I've had too much going on lately, have barely even been trading.

Mike

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November 7th, 2009, 03:40 PM	#25 (permalink)
Trader.Jon Near the BEuTiFULL Horse Shoe Elite Member Experience: Beginner Platform: NinjaTrader Broker: MBTrading Dukascopy ZenFire Trading: $EURUSD when it is trending Posts: 473 since Jul 2009 Thanks Given: 401 Thanks Received: 184	Mike, Nice back test result, especially since it includes allowance for trading costs. I personally would have concerns with the large number of consecutive losers: lose 7 .. win a couple .. then lose 8 ... and so on. If the average win were larger (say ratio of over 2.2:1) then I would live with that large stretch of losers. But thats just me and my comfort level !! TJ

November 9th, 2009, 04:23 PM

#26 (permalink)

Autobot

Ottawa, Canada

Posts: 22 since Nov 2009

Thanks Given: 4

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Big Mike

Yes me too, but I know that it is not an NT issue. It is happening because of the exit strategy code in the strategy. There are a few different kinds of exit strategy, all based on candle stick OHLC patterns.

I will be running it on sim this week. I've already conducted several market replay tests with excellent results.

Mike

So, any updates on the Sim performance?

Also, having read this thread, I would like to add that I would never trust a backtest run on anything less that 3 years of data. Personally, I backtest on 11 years of tick-level ES data. Also, a thorough test of any system absolutely requires forward testing as well as Monte Carlo analysis.

Having said that, the system results look incredible! If you'd like me to backtest & Monte Carlo the system, I'd be more than happy to, just send me the strategy...(Yeah, I know, no chance in hell! )

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