Nope. My strategy doesn't hold position overnight so I could only get so much out of a day.
Absolute need for walk-forward testing? (If given enough data)
- Thread starter RStrauss
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As said, I trade HSI futures.yeah drawdown of course, how else are you going to average down? I have shown the math so no need for an algo to tell you that averaging down during a drawdown can maximize returns...short of a bankruptcy. You would need to add some other markers that would restrict trade size of course at your discretion.
Also, are you allowing for measured price swings to improve entry and exits?
What kinds of trades are these anyway, stocks options, spreads, premium????
Do those results come from the same size position the entire timeframe? Or did the system increase bet size as the account grew?
1 contract throughout.
Sounds like a lot of needless fees.
You should adjust it to trade a percentage of your account balance and see what it does. And report back.
Just thinking out loud - usually any strategy would go through irregular cycles of mini-series of gains and losses. if the decision to increase position sizing is based on account balance (which increases with series of gains and decreases by series of losses), the timing to adjust the position sizing upward has a high chance to coincide with the end of winning cycle and the beginning of a losing cycle - this would amplify the loss because of higher position sizing. What'd you think?
I’m a discretionary trader and never ran an automated system. But I’ve used autotrading on a SIM account. You are correct, the timing of the position size increase makes a huge difference in volatility and can increase drawdowns. But…every SIM I ran had long term returns that dwarfed constant position size. My theorized fix was to start the system trading as a very small percentage of the account equity. By the time it got to the point to increase position size it would be big enough to not go negative in a drawdown. I’ve never found an algorithm that would continue more than 6 months into the future though. And that 6 months never performed as well as when back tested. Long story short, increasing position size on a profitable system will raise your returns exponentially. That’s if the system performance doesn’t break down. It won’t take long to test it, report back to us.