Deetee 

Backtest trades based on IB - part 2 The results per date for what it’s worth:

I see several -40/-35, your stop losses and few small winners. I don't see any big winners here. I understand your entry criteria and stop loss. Would you mind explaining your exit criteria and whether you have any process to maximize the gain from winners?

You probably know from GF1s' journal that he has several big winners and I think that's the essence of his success.

Thanks

HumbleTrader 

I see several -40/-35, your stop losses and few small winners. I don't see any big winners here. I understand your entry criteria and stop loss. Would you mind explaining your exit criteria and whether you have any process to maximize the gain from winners? You probably know from GF1s' journal that he has several big winners and I think that's the essence of his success. Thanks

Hi HumbleTrader,

Thanks for your message.

I'm only basing the trades on statistics. I'm entering conditions like prior day OC and the day before and IB direction and size (and other, see journal). These trades have a start time, end time, direction and a SL.
These statistics are based on 30m data from the last 14 years.
So I'm just following the time that the statistics are giving based on today's conditions.

I believe it's kind of random and unfortunately not succesful.

I'm considering to backtest April/May using the flow chart I shared some weeks ago, so I can confirm it doesn't make sense to continue this system.

Not sure what to do with this tool going forward. Based on my input a friend spend quite some time creating the tool and it would be a pity to discard it...

Deetee

Deetee 

I believe it's kind of random and unfortunately not succesful. I'm considering to backtest April/May using the flow chart I shared some weeks ago, so I can confirm it doesn't make sense to continue this system. Not sure what to do with this tool going forward. Based on my input a friend spend quite some time creating the tool and it would be a pity to discard it... Deetee

Thanks for explaining your system. I also read some of your earlier entries and it makes sense.

I wouldn't necessarily discard it yet. My data from 2002 has very similar win rate like yours. i.e around 45 to 55%. I believe that's true for most systems if you keep your profits and targets somewhat equal. However, mine has a profit factor of more than 1.6 and I'm pushing it further to make it closer to 2.

I optimized my system with 2 changes. First, I ensured that my targets are bigger than my stops. i.e RR >2. Second, which is more important in my opinion, is to add to winners. I know this is not how GF1s publicly traded here and it may feel very uncomfortable in the beginning but really makes a huge difference in any system. My journal has 1 such example from today. Despite 25% win rate, it was a profitable day.

HumbleTrader 

Thanks for explaining your system. I also read some of your earlier entries and it makes sense. I wouldn't necessarily discard it yet. My data from 2002 has very similar win rate like yours. i.e around 45 to 55%. I believe that's true for most systems if you keep your profits and targets somewhat equal. However, mine has a profit factor of more than 1.6 and I'm pushing it further to make it closer to 2. I optimized my system with 2 changes. First, I ensured that my targets are bigger than my stops. i.e RR >2. Second, which is more important in my opinion, is to add to winners. I know this is not how GF1s publicly traded here and it may feel very uncomfortable in the beginning but really makes a huge difference in any system. My journal has 1 such example from today. Despite 25% win rate, it was a profitable day.

Good morning HumbleTrader,

Good to hear you are making profit with historical data.

As the system is time based, I don't want to interfere with the trades. Interfering with the trades is kind of stepping away from the system.
Taking profit could be an option, but then, winners can't continue to run.

Indeed, the targets are low compared to the stops. The target is the SumR from the statistics, but it's not a limit target order, so even if price would get there, the position would not close.
Combined with the win rate it's a losing system.

So the idea is to only trade when there is a high enough win rate from the statistics, with enough profits and based on enough historical trades.
I don't know what is 'enough', but also with a historical >75% win rate, trades are lost (more then 25%).

Not giving up on it yet
But I also don't want to continue spending time on this system if the results are not good.

Lets'see

Thanks
Deetee

Tuesday

FDAX

Gap: Yes down 9 pts
Gap closed during IB: no (7)
Position price at 9:30: below prior day HL
IB direction: short 84 pts

System says long

DAX long (paper) trade
Entry 10:30
Exit 11:00
SL 49 pts
Result 14 pts profit

Historical results with this setup: See snapshot

Let’s see



(SumR translates to a relative (to current FDAX price) result of X points per trade
(Relative trade result = trade result in pts / 9am open price * 10000, and the SumR is the sum of the relative trade results))

Wednesday

FDAX

Gap: no
Gap closed during IB: x
Position price at 9:30: above prior day HL
IB direction: long

Had to exclude prior days OC range from the filters, as there were not sufficient occurrences (because at 9:30 price is above prior day high).
Looks like a good statistic for a trade.

DAX long (paper) trade
Entry 11:00
Exit 13:30
SL 31 pts
Result 61 pts

Historical results with this setup: See snapshot

Let’s see



(SumR translates to a relative (to current FDAX price) result of X points per trade
(Relative trade result = trade result in pts / 9am open price * 10000, and the SumR is the sum of the relative trade results))

Thursday

4ht of July – US Independence Day

FDAX

Gap: yes up 33 pts
Gap closed during IB: no 11 pts
Position price at 9:30: above prior day HL
IB direction: long

Filtered on US holiday, prior day HL and price at 9:30 above prior day HL. Not many occurrences.
Tried some things with the filters, but nothing consistent came out.

Tomorrow another day

Friday

Day after 4th of July – US Independence Day

FDAX

Gap: yes up 28 pts
Gap closed during IB: no 25pts
Position price at 9:30: above prior day HL
IB direction: long

With the not closed up gap, not many occurrences, even after releasing the prior days filters.
The result is also not good, with only 9 trades I can only accept 1 loss.

Monday another day

Monday

FDAX

Gap: no
Gap closed during IB: x
Position price at 9:30: inside prior day HL
IB direction: long

Looks like a good statistic for a trade.

DAX short (paper) trade
Entry 9:30
Exit 10:00
SL 25 pts
Result -25 pts loss

Historical results with this setup: See snapshot

Let’s see



(SumR translates to a relative (to current FDAX price) result of X points per trade
(Relative trade result = trade result in pts / 9am open price * 10000, and the SumR is the sum of the relative trade results))

Tuesday

FDAX

Gap: yes down
Gap closed during IB: no
Position price at 9:30: below prior day HL
IB direction: short

Because of the not closed gap, not many occurrences, so will have to release prior day filters.

DAX short (paper) trade
Entry 9:30
Exit 11:00
SL 37 pts (almost hit at time of posting )
Result -37 pts loss

Historical results with this setup: See snapshot

Let’s see




(SumR translates to a relative (to current FDAX price) result of X points per trade
(Relative trade result = trade result in pts / 9am open price * 10000, and the SumR is the sum of the relative trade results))