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300% Annual Return -- Fully Automated
- Thread starter frostengine
- Start date
Quote from DT-waw:
i've tested thousands of different systems. 6,000 trades in 10 years? such systems always, always produce negative equity curves, going straight down. if properly tested.
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That's a fairly bold statement. My experience has actually been quite different. I've been trading an automated intraday system live for about 2 years now that generates 1000 trades/year with a positive expectation both live and simed. I reconcile my trades every day and my live executions match my sim executions 99% of the time.
Edited to add:
But I agree, Frosty's results look a little too perfect. His expectation of 4 ticks is slim enough that any slippage beyond his simulated slippage will degrade his results quite a bit (one tick additional slippage will reduce his expectation by 25%).
But what he's trying to do is certainly not impossible.
Quote from jazzguysoca:
1) What does your expectation/trade look like on ES? (Using your stats, I'm getting about $50/trade or about 4 ticks net).
2) Any execution assumptions that might give you issues in sim vs live environments? Do you enter at market at the open of a 1min bar or do you use limit orders that execute within the range a 1min bar?
I'm curious about your NN topology; I've played with quite a few in my research. Are your 20 NNs essentially 20 different strategies or are they more of a consensus (ie: are they wired in an OR configuration or an AND configuration?). Based on your equity curves, I'm assuming they are wired as multiple strategies.
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For ES it is about 4 ticks net after the 1 tick slippage and commission. For CL as you can see it has a much higher average trade.
All entries/exits are market orders. This ensures that there will be no missed trades. I have learned my lesson with fills on limit orders in the past. I give up more slippage, but I can be sure the trades will happen...
The NN's are independent strategies, however there is a sort of "consensus" used among them.
Quote from Mike805:
I agree....
I really don't want to be a detractor here, but, those backtests are a huge red flag... intraday systems with proper fill and slippage assumptions AND with a profit factor > 2 are very rare. Anything over 3 is generally subject to very poor fill ratios.
Frosty, I hate to say this, but, your testing process is flawed. You either assumed frictionless entry/exit and/or perfect fill ratios.
How are you testing fills? Are your entries/exits limits? Did you simulate full-tick trade through for every transaction?
All orders are market orders and 1 tick slippage is assumed on ES for each trade. Its possible I could be underestimating slippage slightly... That is one thing I can not be sure about until it goes live.
I figured there would be some doubts once the equity curve was shown. I have sat here thinking "too good to be true" for a while now myself. However, after checking and rechecking it seems solid.
Good news is because its profitable 99 out of 100 weeks, it will only take a few weeks to determine if this strategy is meeting expectations.
I can greatly increase average per trade if needed, however I have to filter out a lot of trades. So if I determine I underestimated slippage I can easily re-adjust the strategy.
Having traded ES quite a bit in the past, I feel somewhat confident the 1 tick slippage is sufficient. The market is generally tight enough and its not like I am trading huge size. If anything 1 tick more may be required, which still leaves the strategy insanely profitable...
For CL and 6E however I am new to those markets. What are the spreads generally like? How many ticks are needed to realistically represent the likely slippage?
For CL and 6E however I am new to those markets. What are the spreads generally like? How many ticks are needed to realistically represent the likely slippage?
Quote from frostengine:
Having traded ES quite a bit in the past, I feel somewhat confident the 1 tick slippage is sufficient. The market is generally tight enough and its not like I am trading huge size. If anything 1 tick more may be required, which still leaves the strategy insanely profitable...
For CL and 6E however I am new to those markets. What are the spreads generally like? How many ticks are needed to realistically represent the likely slippage?
In going live I would recommend either the 6E or CL over the ES anyday.
Depending on the number of contracts you are trading, either of those should yield very small slippage.
Frost engine,
How are you building NNs in Ninjatrader? Are you using a third party application then plugging them in to Ninja via the C# interface or are you doing something else?
Runningbear
How are you building NNs in Ninjatrader? Are you using a third party application then plugging them in to Ninja via the C# interface or are you doing something else?
Runningbear
What type of third party NN software are you using?
Runningbear
Runningbear