70% winning break out system for ES

es175,

Regarding question 1, "High[1]" refers to the previous bar's high. "HighD(1)" refers to yesterday's high. My comment in the code was not accurate. Thanks for pointing it out.
 
Quote from HispaTrader:

es175,

Regarding question 1, "High[1]" refers to the previous bar's high. "HighD(1)" refers to yesterday's high. My comment in the code was not accurate. Thanks for pointing it out.
More...

Many thanks for the reply on this.
 
Quote from austinp:

Having written a number of very similar systems myself, I image the following to be highly probable:

#1: Any attempt to use stops and/or trailed stops will diminish overall results. The "always in" aspect is designed to catch & hold big winners... many of which emerge from deep in the hole against initial entry.

#2: It will have deep historical drawdowns. The sideways periods of chop tend to kill such systems... large strings of small losses (and a few big ones) equal very painful drawdowns.

Be very careful if/when working with systems like that. Use at least three years of data backward, and running monte carlo risk of ruin projections is critical, too. Mix up the sequence of trades that history recorded per the system parameters, you might find it totally falls apart.

Hope this helps
Austin
More...

Thanks for the post Austin. I'm still not clear on how the code as posted by piggie closes out a trade for a loss. Could you explain it for a non TradeStation user?

Cheers,
es175
 
Might be worth mentioning that this is a counter-trend system and not a break-out system. It relies on mean-reversion in the S&P futures.

Systems of this type tend to have high% win and low win/loss and the results from this code are nothing out of the ordinary.

As far as I can see it takes the other side of the trade to trend followers.
 
Quote from es175:

Bump.

Anyone able to explain how this system closes out a trade for a loss?
More...

If the system is long and triggers a short sell ( sell 1 contract next bar at hh limit;) or vice versa, then it does a stop and reverse - in other words closes the existing position and opens the new one in the other direction. These are almost always losses.

Steve
 
<b>Steve</b> is exactly right :>)

Trying to catch the inevitable breakout has such systems "always in". Long - short - long - short... one trade is closed as another opens while markets go sideways and appear to break one way or the other in sideways fashion.

Eventually, one direction will prevail and it holds the trade for some distance... either a profit target or the next reversal signal, whichever is programmed in.

Using stops will degenerate overall profits and per-trade profit size. Using profit targets will curve-fit the system to historical price behavior, degrading it over time when walked forward.

No stops or profit targets leave the system exposed to outsized losses on extreme moves against open positions before the reversal signal issues.

From this general core approach, any number of system rules (including stops, profit targets) can be written to give a healthy backtest curve. Such efforts create results that worked great in the past thru a specific sequence of market action never to be repeated again.

That type of optimization makes the trader feel confident, but in reality they just created a curve-fitted approach which cannot ever yield similar results in real-time with real money.

Which of course, is the only place where data really counts :>)

Hope this voice of experience helps save you hundreds of manhours research that I've already done back in 2003 ~ 2004.

Best Trading Wishes
Austin
 
You must log in or register to reply here.
Back
Top