1% a day consistently: possible?

1% a day consistently, no down weeks: possible?

  • Yes

    Votes: 58 47.9%

  • No

    Votes: 63 52.1%
  • Total voters
    121
  • Poll closed .
If the model breaks down today, I can re-estimate it at the end of the day and be ready to trade again tomorrow.

There are ways I can adapt to the conditions in real time but the majority of the time the conditions are changing very very slowly so there is a balance.. if the model adapts too quickly it is just curve fitting, if it adapts too slowly then it is not profitible. There are techniques to find structural break-points and such but right now I haven't found that it is necessary.

During testing I tried several combinations.. e..g estimate the model with 1 day of data and trade it on 5 days, forward and backward in time, estimate with all 5 days and then trade on all 5 days, etc. You might think 5 days is a very small amount of time but I'm working on a small time scale.

I am careful to check the results relative to the return of the entire market that day.

Quote from OddTrader:

How much lead time (Hours, days or months? ) do you need to modify the system due to this kind of fundamental changes?

How many times did you modify your (Dynamic/ Constantly Updated) system during your backtesting?
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Quote from stephencrowley:



Basically, I won't get stopped out many times in a row because the 1st time I'm stopped out the model will be reestimated with data from the day that I got stopped out, and also with data from when the model worked fine.
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Perhaps you might have had a very consistent performance from (optimised) backtesting, but it looks like you don't have very consistent stataments.


Quote from stephencrowley:

My stop loss has never been hit at testing and its only set at 1% drawdown from entry.
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Please explain.

Quote from OddTrader:

Perhaps you might have had a very consistent performance from (optimised) backtesting, but it looks like you don't have very consistent stataments.
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Quote from stephencrowley:


During testing I tried several combinations.. e..g estimate the model with 1 day of data and trade it on 5 days, forward and backward in time, estimate with all 5 days and then trade on all 5 days, etc. You might think 5 days is a very small amount of time but I'm working on a small time scale.
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When you feel you need to test and/or paper-trade a much longer period of time, perhaps you should actually do so.
 
I don't feel I need to or I would have done so. Since the model is recalculated every day (and possibly realtime) then the distant past has no effect on today.

Quote from OddTrader:

When you feel you need to test and/or paper-trade a much longer period of time, perhaps you should actually do so.
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Quote from stephencrowley:

I don't feel I need to or I would have done so. Since the model is recalculated every day (and possibly realtime) then the distant past has no effect on today.
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Then why not trade a small capital to start your journey. Good luck!
 
I don't trade trends.. more of a contrarian strategy. The "bigger trend" equivalent in my model is the slow drift in re-esimated parameters each day and I don't want to trade that because it happens on the timescale of weeks or months.

Quote from ElectricSavant:

When trading micro-trends, shouldn't you consider the bigger trend for important parameters?
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