Building and sharing a profitable strategy

[frostengine]

Quote from nonlinear5:

There is an assumption here is that to build a profitable strategy, one "must" start with a large number of trades and subsequently filter them. First, that's not how I build my systems. Second, in can be demonstrated that starting with a system that generates trades randomly gives better results than your starting system. So, what's the value of that first step?

To build a profitable strategy you start with as MANY entries that have a statistical edge. The entries were picked in a way to ensure that the results could not be generated randomly. Random results can yield very strong equity curves but are nothing more than random.

You will not find a randomly generated entry system trading this setup that produces results similar to this system. With nearly 14k trades the strategy has a 57.32% winning percentage when exiting after 5 bars.

A random entry strategy for this data set and exit constraints will average 54% profitable for 15k trades. If we walk out 5 standard deviations we get 56.1% profitable. Which essentially means, a strategy producing 57.32% winning percentage such as the strategy presented here has a true and definable edge that is not due to random chance.

This serves as the foundation on which a profitable strategy will be built through filtering and then finally fine tuning the exit system.

 

[frostengine]

After spending a while filtering out trades using patterns discovered through my pattern searching software, I realized I was going about this the wrong way.

The patterns being discovered were not only great at filtering out losing trades, but were in-fact better than the underlying strategy for which they were filtering.

With this epiphany, I have decided to abandon this particular strategy and start anew. This time based 100% on patterns that are discovered through the software.

Because the premise of this thread has changed, I will be creating a new thread to continue.