Backtesting Vs Trading Index Futures

[lindq]

I'd like to hear from others regarding experiences in backtesting index futures (ES, ER, etc.), versus the reality of trading them.

Have you put backtested systems into play? And if so, have your results matched your expectations from the backtesting?

For the sake of discussion, my experiences have been a mixed bag.

 

[VoodooMMI]

Which software do you use for backtesting? Over what time period(s) do you backtest? To what do you attribute the differences between your backtesting results and actual results?

 

[lindq]

Quote from VoodooMMI:

Which software do you use for backtesting? Over what time period(s) do you backtest? To what do you attribute the differences between your backtesting results and actual results?

I backtest with 1 min bars generally over a 12 month period. I use Investor/RT for all my backtesting and trading.

 

[hypostomus]

The system has to be extraordinarily simple or you will overoptimize it and get poor correlation in real trading. Be happy to discuss issues publicly as long as they stay away from my proprietary stuff.

 

[Spectra]

Quote from lindq:

I backtest with 1 min bars generally over a 12 month period. I use Investor/RT for all my backtesting and trading.

Great charting. I didn't know they had a BT. Will have to check it out. Thanks

 

[lindq]

Quote from hypostomus:

The system has to be extraordinarily simple or you will overoptimize it and get poor correlation in real trading. Be happy to discuss issues publicly as long as they stay away from my proprietary stuff.

Good response. That's been my experience trading any instruments.

So I take it that you have put backtested systems into play.

What timeframe, and what periodicity of data do you work with?

 

[hypostomus]

I'll start. I think 12 months is too long. I do 90 days. To capture the slow drift of the market's temperament.

 

[lindq]

Quote from hypostomus:

I'll start. I think 12 months is too long. I do 90 days. To capture the slow drift of the market's temperament.

Makes sense. Although, for example, comparing the past 5 days to the past 90 there is a radical departure in temperament and results, eh? The question then becomes, what world are we living in at the moment?

 

[hypostomus]

Example. Suppose you have defined some measure of volatility. Clearly that breathes with the times. As do many other characterizations of the market.

 

[MGJ]

I'm presently trading these Index futures: eMini S&P, eMini Nasdaq, eMini Russell, EOE (Amsterdam), All Shares (Johannesburg), CAC-40, Dax, Dow-30, FTSE-100, Hang Sing, Topix, Ibex-35 (Madrid), Nikkei, MSCI Singapore, MSCI Taiwan, DJ EuroSTOXX, DJ STOXX-50, Aussie SPI-200, Canadian S&P-60, and a few smaller ones. Standard same-system, same-parameters, many-markets kinds of stuff. Daily data "EOD", fewer than 10 round trips per year per market. Performance has been satisfying, correlation to backtesting in Blox has been quite nice.