Assess my strategy, please

It seems like you've got good number of trades to make it statistically significant.

My guess is slippage assumptions will be your main culprit. You absolutely will have slippage on your stop loss orders. Likely on entry too, depends how you enter. If LMT - test with price going slightly below your entry, at least couple of cents. If STP or MKT - you will 100% see slippage.

If your model breaks on 0.1% slippage per side I would recommend to run it life on a small size to get some real numbers and incorporate into your test to get more precise results.

PS. If you hold overnight - 20% account size position seem to be too risky. Intraday on SP500 might be alright.

Good luck!

Val
 
Many thanks for all opinions.

I have not started paper trading yet (had some time-consuming trouble in other fronts). I hope to paper trade from some date in September to the end of this year. Will post results.
 
doublewobble said:
Dear All,

I have formulated my first strategy that looks anywhere near promising in backtests. Could you please give your opinion?

Software: Amibroker.

Frequency: hourly.

Data: SP500 stocks 1.04.2004-1.04.2021 (obtained from the FirstRateData, KMI omitted). 761 symbols traded (probably more because some are recycled).

Method: technical, no fundamentals included.

General rules:
* no leverage;
* no fixed annual interest for the money out of the market;
* long only;
* commission 0.005 per share;
* trade during market hours;
* trade at Open prices;
* 2% max loss stops executed immediately with "Exit intraday at stop" option (at the low price of the bar);
* position size not exceeding 1% volume of the -7th bar (hourly volume is heavily dependent on time), set as the following: SetPositionSize( round(Ref(Volume, -7)*0.01), spsShares );;
* position size not exceeding 20% of the Portfolio Equity;
* do not enter if not listed in SP500;
* exit when delisted from the SP500.

Profitability:
Initial capital: 100 000;
Ending capital: 3 469 965.70;
Exposure %: 30.71%;
Annual Return %: 22.84%;
Risk Adjusted Return %: 74.38%;
Transaction costs: 141 479.47.

Trades:
All trades: 5744;
Average bars held (Winners): 11.98;
Average bars held (Losers): 11.66;
Max. Consecutive (Winners): 23;
Max Consecutive (Losers): 14.

In that thread , somebody listed his set of rules (long & short):


My results (long only):

1. Yes.
2. I do not know how to include slippage into the calculations. However, the 1% vol rule applied to the position size should avoid most of the trouble, yes?
3. CAR / MAX DD 3.50. Better than his.
4. CAR 22.01%.
5. Pay Off Ratio 1.38. Not filled.
6. Max DD 6.53%. Better than his.
7. Winners 59.05%, Losers 40.95%. Better than his.
8. Sharp ratio 2.20. Better than his. Calculated with 5% Risk Free rate that has become nonsense in the recent years anyway.
9. I am not sure what he means by the QoQ (not included to the Amibroker standard report) but the strategy does not lose money any year and the average results are positive for all months. The profit table:
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Yr%
2004 0.0% 0.0% 0.0% 1.4% 2.1% 5.6% 2.1% -2.9% 0.0% 1.7% 4.1% 0.5% 15.4%
2005 0.1% 0.0% 0.3% 0.0% 0.0% 0.2% 2.9% -0.1% 0.0% 0.0% -0.6% 1.6% 4.4%
2006 -0.2% 6.0% 2.7% 0.7% -1.4% 3.0% -0.1% 0.0% 3.8% -0.4% 2.1% 1.5% 18.8%
2007 0.0% -0.4% 0.0% 4.5% 3.6% -0.6% 2.4% 2.7% 0.3% 5.9% -0.4% 0.0% 19.2%
2008 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
2009 0.0% 0.5% 0.0% -1.0% 4.7% -2.9% 7.9% 2.0% 4.2% 3.0% 0.0% -0.6% 18.6%
2010 -0.7% 1.2% 8.3% 7.3% 0.0% 0.0% 0.0% -1.8% 1.6% 3.3% 1.1% 0.0% 21.8%
2011 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1% 2.3% 2.3%
2012 3.1% 5.5% 2.7% 0.5% -1.6% -0.8% 0.5% 0.6% -0.5% 0.2% -0.6% 0.0% 9.9%
2013 5.4% 3.5% 2.6% 12.7% 7.0% 0.0% 4.5% 2.6% 0.0% -0.9% 1.7% 2.9% 50.2%
2014 0.3% 2.7% 1.4% 2.8% -1.0% 3.6% 1.8% 0.4% -0.5% 4.6% 8.4% 0.4% 27.5%
2015 0.0% 3.3% 3.1% -2.3% -0.2% 1.2% -0.8% 0.0% -1.1% 3.2% 3.3% 2.7% 13.1%
2016 -0.6% 0.0% 3.5% -0.4% 1.4% 3.2% 1.8% 0.0% -0.1% 1.4% 7.6% 3.6% 23.2%
2017 1.9% 9.1% 1.6% -0.6% 1.6% 0.4% 6.1% 1.5% 6.2% 3.3% 3.4% 0.9% 41.3%
2018 6.0% -3.6% 1.5% 0.5% 1.5% 4.1% 6.1% 2.5% 0.1% -0.9% 1.1% 2.2% 22.9%
2019 4.7% 7.7% 3.8% 1.3% -0.6% 1.3% 6.9% 0.0% 5.9% 2.4% 4.1% 1.1% 45.7%
2020 0.6% -0.8% 0.0% 5.4% 14.2% 2.2% 4.0% 5.1% -2.7% 7.0% 17.4% 4.2% 70.9%
2021 5.8% -0.8% 3.4% N/A N/A N/A N/A N/A N/A N/A N/A N/A 8.5%
Avg 1.5% 1.9% 1.9% 1.9% 1.8% 1.2% 2.7% 0.7% 1.0% 2.0% 3.1% 1.4%
10. The 5th rule not filled as well.
11. Good.
12. 0.46%. Better than his.

The Monte Carlo table:
Percentile Final Equity Annual Return Max. Drawdown $ Max. Drawdown % Lowest Eq.
1% 2798247 21.32% -103593 -52.36% 49745
5% 2988408 21.78% -89118 -37.42% 71963
10% 3082482 22.00% -78860 -31.14% 78631
25% 3264393 22.41% -67363 -23.28% 88798
50% 3453929 22.81% -57843 -16.66% 96531
75% 3650861 23.20% -50478 -11.84% 99838
90% 3856601 23.60% -44613 -9.39% 100000
95% 3987112 23.83% -42360 -8.16% 100000
99% 4199208 24.21% -38126 -6.75% 100000

Thanks in advance.
More...

what is the core logic of the trades? if it's only quantitative then they are just fixed rule based trades, and backtests mean nothing for many reasons. How can they be assessed? i had traders with much "better" backtest stats, and then only to find out exactly why they wont make money going forward once i was told the rules.
 
I have reworked the strategy, correcting a bug in the sizing algorithm and somewhat altering the rules.

Most importantly, I plotted the trade amounts and did not like what I saw at all. As the maximum amount was 20% of the portfolio value at the moment (position sizes are not adjusted later), often 4 positions left little room for others, resulting in numerous little trades sometimes as small as a fraction of the percent. 20% was actually reached only in a small minority of trades. This certainly introduced an element of random luck and made slippage much more likely. In the new version, the maximum amount is just 5% and the 37141 trades are made instead of 5744. Consequently, the position size histogram looks much healthier: https://ibb.co/r41j5Sc

This simple metric should be one of the core stats IMHO.

The performance stats of the new version: https://ibb.co/bWhcSL5

They are somewhat lower than those of the first version but I am much more confident in the results. As expected, the new version tolerates leverage better. Changing 100 -> 50 in the Account Margin field (2x leverage, 50% money borrowed) results in a fairly modest increase of the maximum DD from 10.29% to 14.89% (the Net Profit raises 4.2 times). I believe that this is due to decreased variance of the trade results.

Paper trading will start tomorrow.
 
Out of curiosity, as i understand you are using AB, how are you going to execute this large multisymbol intraday strategy with AB since it has no autotrading engine?
 
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