Backtesting: My trading strategy works too well

[i am nobody]

This is exactly I expect this "NoBody" will response, he will try to twist the divert away from the main questions:

"As usual, Nobody never make any real time call (with sufficient number of trades to prove it is statistical significant) to prove what he claim in his trade records."

Highly suspicious

If you pay me money I will show you. Just showing it for free is useless for me. Nobody works for free.
Payment should cover for risc of losing my anonimity, risc of reverse engineering my trades, risc of contacting my broker to get info about me or my system.... So the payment should be significantly enough to compensate for the risc I take. Probably you cannot afford that, because the amount should be linked to the performance I will show.

 

[galvinlee888]

If you pay me money I will show you. Just showing it for free is useless for me. Nobody works for free.
Payment should cover for risc of losing my anonimity, risc of reverse engineering my trades, risc of contacting my broker to get info about me or my system.... So the payment should be significantly enough to compensate for the risc I take. Probably you cannot afford that, because the amount should be linked to the performance I will show.

LOL, more excuse.
You only need to make live calls with clear SL and PT (the number of the calls that meet the statistical significant) and not even need to explain "why" you make those calls. This actions will not reveal any of your trade secret.

There is no difference from you with the the desperate guy that submit a fake CV (or most of the fake trading mentor/guru in internet) that using the fake trade result to woo more followers or look for customers

Highly suspicious

I recalled previously we have one young guy claimed his has similar trading result (technically his P/L is almost a linear line to north as written in his CV). The management decided to give this guy an exception for the interview for a trader position (This guy is only a science graduate from one of the community college. The company policy guideline is we will never interview any traders without any "proven" trade record or a solid education background- e.g. he has to been recommended by others in industry or good education background, e.g. PhD or equivalent). The only request from the firm is he has to prove this type of trade records in real time, the result is - he lost more than 70% in the paper account in less than a week, obviously he never get hired.

As usual, Nobody never make any real time call (with sufficient number of trades to prove it is statistical significant) to prove what he claim in his trade records.

.

 

[Victory5]

The system actually seems to work best when vol is higher. I do hedge my positions so being directionally wrong is not the end of the world. What really kills is being entirely long theta so flat markets or low vol markets screw things up.

I also found a reconstructed vxx dataset that goes back to 2004 so I will take a look at that and see if everything holds.

Also if anyone has data on Vix futures going back that far as well it would be helpful as well.

 

[jl1575]

View attachment 155107

I know that not everything that is posted here is true and real. But I can confirm that making 300$ a day on a 3K account is possible. I don't know the OP, so I don't know if he can, but it can be done CONSISTENTLY.
The only bad news fo you is that people who can do this don't need your creditcard. In fact they don't need money from anybody. They take it in the market.

Exactly.
When somebody can reach this kind of level, they would just scale up, say from 5 contract to 50, 100 or even more (depending on the scalping time interval), they wouldn't have any interest to interact with anyone else and endure the hassles.

 

[i am nobody]

LOL, more excuse.
You only need to make live calls with clear SL and PT (the number of the calls that meet the statistical significant) and not even need to explain "why" you make those calls. This actions will not reveal any of your trade secret.

There is no difference from you with the the desperate guy that submit a fake CV (or most of the fake trading mentor/guru in internet) that using the fake trade result to woo more followers or look for customers

Highly suspicious

Put your money where your mouth is or shut up.
The only one trying to find excuses is YOU.
I clearly said I will not run away from a bet. We can make a bet that I cannot run up an account from $2500 to $250000 in one year. If I can you lose, if I cannot you win. But not for pocket money, only for substantial money. We are grown up boys, not children.

You are a zero, unable to trade, and afraid to back up what you are telling with money.
Your mask fell off. Like most bashers you are frustrated. If you are a loser everybody should be a loser. Pathetic we call this.

"the number of the calls that meet the statistical significant" means that these numbers are also statistically significant enough to reverse engineering things. And like usual you will find new excuses why it did not succeed even if I would succeed.

 

[galvinlee888]

I recalled previously we have one young guy claimed his has similar trading result (technically his P/L is almost a linear line to north as written in his CV). The management decided to give this guy an exception for the interview for a trader position (This guy is only a science graduate from one of the community college. The company policy guideline is we will never interview any traders without any "proven" trade record or a solid education background- e.g. he has to been recommended by others in industry or good education background, e.g. PhD or equivalent). The only request from the firm is he has to prove this type of trade records in real time, the result is - he lost more than 70% in the paper account in less than a week, obviously he never get hired.

As usual, Nobody never make any real time call (with sufficient number of trades to prove it is statistical significant) to prove what he claim in his trade records.

.

You are a zero, unable to trade, and afraid to back up what you are telling with money.
Your mask fell off. Like most bashers you are frustrated. If you are a loser everybody should be a loser. Pathetic we call this.

"the number of the calls that meet the statistical significant" means that these numbers are also statistically significant enough to reverse engineering things. And like usual you will find new excuses why it did not succeed even if I would succeed.

LOL, more excuse. A simple few live calls will valid/invalid your claim of your trade record, obviously you won't and can't make it.

Talk without any backup is cheap

 

[AAAintheBeltway]

Well VXX options are pretty liquid and there is always good volume on the strikes I am planning on buying (part of the adjustment I made was due to the lack of volume on some of the deep ITM puts/calls having next to no volume).

I decided on going with the last rather than the ask.

Im buying at the close, the ask price given from the dataset I have, like any ask you could find online is the last quote of the day, which includes after hours. So if the underlying moves, even a bit after hours, the lack of volume and wide spreads will not actually represent the option price at close.

Even if volume is low, the higher volume around the close makes it more likely that the last price was sometime around 4, even though its not perfect, it seemed to be the best way to go about things.

I do admit there is likely some slippage with either course you follow and I tried to account for that by lowballing things if I was given the chance too, but I would agree that the point you raised is probably the most significant issue facing me atm.

I would be suspicious of results from a system that assumed I would always get filled at the close price. Of course, how significant that is depends on the duration of your trades. I think it is better to assume you have to give up the edge. You also realize I assume that your system cannot use closing prices to generate a signal and then assume a fill on the close. If you use closing prices, you have to get your fill the next session.

 

[galvinlee888]

Too*


Seems like a weird problem to have but here is a brief summary of where I am at.

I have been trading for about 3 years now. I recently got tired of losing on emotional, baseless trading (blew out multiple accounts) and decided to put pen to paper and organize a few of my trading systems I had kicking around in my head.

I am currently finishing up a swing trading system that leverages a very basic technical pattern with a few option plays. I went out a got historical option data for as far back as I could and started to manually run through the numbers. The signal I use hits about once every 5 weeks and there have been 75 entries since 1/09. Most importantly, I did not cherry pick my data when backtesting. I came in with a set idea and although I changed around a few specifics with my option strikes for example, I did not try to make random rules to isolate the best results and enhance my returns.

Now, I have data back to 2009 (I am using VXX, the ETN was issued first in January of '09) so its only 6 years, but over that time period if you put 3k into the system, you would have somewhere between 100-300k today based on how aggressive you were reinvesting profits. Furthermore, there appears to be little correlation between market performance and my strategies performance. For example, 2011 was my 2nd year when backtesting, but this was obviously the worst year for the market since 09. At the same time, 2013 was the markets best year, but also my worst.

I have gone through and double checked my math. I have actual option data (not guessing vol, etc). I have accounted for commission using Interactive Brokers pricing, which I plan to use, as well.

Obviously slippage may come into play, but what else am I doing wrong? I have faith in my strategies, but it seems like all of this is too good to be true? I know backtesting does not guarantee future profits/results so does anyone else have any experience with things seeing 'too good to be true'?

Not sure what is your setup, but if you are back test VXX since 2009, and we all know VXX is in a long term down trend since then, any strategy (such as sell at the pop) that short VXX will be profitable. It is aka you long any US indices using any simple strategy (such as BTFD) since 2009 will be profitable.

Market conditions will change in future and your strategy will not work that time.

 

[i am nobody]

LOL, more excuse. A simple few live calls will valid/invalid your claim of your trade record, obviously you won't and can't make it.

Talk without any backup is cheap

You are sure it is impossible to make 10% every day. This would result in running $3000 up to $62500. I propose even to run it up to $250000 which is FOUR TIMES what is already impossible according to you. But you are still afraid? Maybe you are not so sure about your own statements anymore? I offer you free money... unless I would really reach $250000 of course, because would that would cost you a lot of money.

My proposal was very clear:
We can make a bet that I cannot run up an account from $2500 to $250000 in one year. If I can you lose, if I cannot you win. But not for pocket money, only for substantial money. We are grown up boys, not children.

 

[galvinlee888]

You are sure it is impossible to make 10% every day. This would result in running $3000 up to $62500. I propose even to run it up to $250000 which is FOUR TIMES what is already impossible according to you. But you are still afraid? Maybe you are not so sure about your own statements anymore? I offer you free money... unless I would really reach $250000 of course, because would that would cost you a lot of money.

My proposal was very clear:
We can make a bet that I cannot run up an account from $2500 to $250000 in one year. If I can you lose, if I cannot you win. But not for pocket money, only for substantial money. We are grown up boys, not children.

LOL, more excuse to avoid what you claim.

If you can show the real time calls with clear SL and PT. Example, if you claim you have the 90% winning trade with risk/reward = 3/9, you only need to show 10 trades with this type performance (without revealing "why" you take the trade and your trade secret), then you can prove what you claim. I am more than happy to link you to the firm that will interest in your "edge".

Before any "prelim" solid proof, you are not any difference than any system vendor , fake trading mentor or any trading website that sell signal or system that promise 1000% return in 10 days.