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Crude strategy shows massive difference in drawdown values and what should be expected going forwards.

No problem GMST. I think many people are underestimating how big of an effect this can have on drawdown expectation going forwards. I will not even waste my time looking at the drawdown reports that Multicharts produce until i have adjusted data to mark price to current market price.

Hi Mushin, there are many threads if you search through Strategy Design on this topic. I just want to keep this thread relevant and on topic. Would love for more successful system traders to come in and guide us in right direction.

Basically i am just saying when looking at your backtest results just be weary of your implied drawdown. As the chart shows a % loss in 2008 will have much different dollar value to the same % loss in 2014. So backtest might have showed largest losing trade as e.g. -$900. Which might be 3%...

Here is an example of massive difference if we take each trade as percentage gain/loss based on the relative market price at time of trade. Then take the % gain/loss on each trade and convert to a dollar value based on current market price (NQ today at 3687). This chart on right is a truer...

I am just giving examples for people who backtest with set tick/point stops and how many errors with this kind of backtesting. Lets say i was backtesting a strategy for CL then lets say i test with set 2 point stop. In 2007 with CL trading at 57 this amounts to a 3.5% set stop. At highs...

I think you are missing my point. I understand drawdown as an important metric, what i am trying to demonstrate is that for intraday trading systems should measure profit and loss relative to the instrument price being traded. Otherwise the drawdown amount will always be inaccurate and have...

If you are running backtests then most system software provides details such as percentage drawdown and dollar drawdown and so forth. Also, informs you on minimum account size required to trade the strategy. I find this massively misleading. E.g. I have one strategy - i have run the...

I have been testing my system live and at the same time running parallel testing in Sim to see if entries, exits and slippage all line up. 99% of the time things are in line with back-testing. What makes me doubt my methods are back-testing and my testing process. I still think its too easy...

Have you tried testing the 7 patterns individually with different stops and targets? If they are 7 different patterns which you have backtested results for then i would think it would be best to have different stops and targets for each pattern. I presume each one of the patterns is...

So would you say essentially you are running 7 different strategies all tied together on this one symbol. Can you only trade one pattern at a time? Also, do all the patterns therefore have same set stop??

Dom, is the system intraday only or is it more of a swing system. Do you think your entry has any positive expectancy considering it requires such large stops? Does this not mean your entry could be somewhat random and the system expectancy is due to exits? Do you not find it frustrating...

Dom can you tell me where the slippage total is calculated on Ninja. Can't see slippage total on your screenshot?

Thanks bwolinsky. I also run Esignal - Multicharts - Interactive brokers. Why don't you use IB as your broker and therefore there will be zero problem with complete automation. Couple of questions if you would be so kind to answer them: 1. Do you use Inter Order Generation on/off with...

Thanks Sergio. I will have a look at blogs posted. I like the Qusma blog - i find the guy has similar approach to mine but i must say my strategies are probably alot more complicated in many aspects to his. Maybe mine are more curve fitted then? Only time will tell. Keep posting guys.

Thanks. Would you say your strategy is simple or very complicated. Does it involve heavy math and statistics and very complex algorithmic models? Or is it simply following trend based methods with good money management. Why i am asking these questions is because i often favor common sense...

So far we have one successful automated trader help us out. Surely there must be more out there, come on guys please reply to this thread. It would really help the rest of us losers out. :D

Thanks for your response. Would you say that your strategies are anything extraordinarily different to anything that has ever been posted on this site? Or would you say that most of the ideas are already out there but just need to be combined with sound money management and automated so...

You can't just go ahead and change stop price after being stopped one time. That means your strategy for stops was useless and not backtested thoroughly or you had no faith in it. Also, seems like you have a fixed stop amount which will probably fail because i find most dynamic stops are...

Why don't you just trade it automated and then keep note of live fills vs what the sim fills would be?? Also, you have to expect slippage unless it is a limit order. You could try entering a market order 10 seconds before last bar end of day closes, still you will eat 1 tick slippage. So...