Block box trading

Quote from Jimmy3:

Of course if you're in the position for 30 sec backtest will not work. My system is designed to catch intraday swings. It makes 6 points (2 lots ES) per day on the average usually on 4-5 trades. Max drawdown - about 3K. Since only market orders are used I really don't know how real life results can be different from those from the backtest
More...

Well, people are backtesting on such shorter time frames. You can get level 2 tick data nowadays. I have seen backtested systems with an average 6 sec trade time on the ES.

If you really believe in your system, I say just trade it with your own money. Or even start out trading a single car of the YM which trades similar to the ES, has a lower margin and smaller tick sizes. You will find out quickly how well the backtested system works in real life.

And with a good system you can talk to investors or just trade it yourself from the beach in Aruba.
 
Quote from Jimmy3:

Of course if you're in the position for 30 sec backtest will not work. My system is designed to catch intraday swings. It makes 6 points (2 lots ES) per day on the average usually on 4-5 trades. Max drawdown - about 3K. Since only market orders are used I really don't know how real life results can be different from those from the backtest
More...

Why aren't you running the system in real time? A months worth of daily real time profitable results would be more convincing than any backtest.

Do I understand correctly - daily profit of 6 points ($300) versus max drawdown of 60 points ($3K)? I know I don't have the stomach for that risk/reward ratio.
 
Sounds like just another incorrectly done over optimized backtested system on not enough data without any out of sample data (99% of the holygrails out there). I say that because you didn't provide any details. Maybe if you could provide us with some of your statistics along with how you tested your data we could give you a better answer. You might even stir up some interest from investors on this board. But most likely not....
 
BackTesting?? Try walking forward testing at a company with and excellant paper trading system like IB. BackTesting in most cases is not as effective as Walking Forward Optimization and testing.
 
To "prove" anything, you'll need both an extensive back-test, plus a live forward test and be able to explain why they deviate at times.

From personal experience, I can tell you that it's hard getting an aggressive intraday strategy to match backtest, no matter assumptions for slip, commission etc.
 
Quote from vikana:

To "prove" anything, you'll need both an extensive back-test, plus a live forward test and be able to explain why they deviate at times.

From personal experience, I can tell you that it's hard getting an aggressive intraday strategy to match backtest, no matter assumptions for slip, commission etc.
More...

What works very well for me is Walk forward Genetic Optimization of a diversified group of stock, futures and currencies (at IB)
 
You must log in or register to reply here.
Back
Top