I look at robustness as more a matter of not blowing up over time. Systems that are curve-fitted or overly optimized tend to have significantly worse real time performance than their backtested results. a common way to evaluate a system for robustness is to run a sensitivity analysis of its parameters. It really shouldn't make that much difference if your moving average is 12 days or 15 or if your stochastic lookback period is 7 periods or 10.
Chronicles of an Idiot
- Thread starter VisionTrader
- Start date
This may or may not work out. You need to know what MFE and MAE your method has and optimize both stops and targets knowing these parameters. Tightening the stops is not always a good idea. In fact, with a 6 pt stop loss you are more likely to get 2 pts than with a 2 pt stop loss. Breakout's method tries to save single ticks, this may work, but if you want to go for 3-4 pts you cannot be that conservative about the stops. No pain, no gain. Of course, if you use the 1 min time frame 1 to 1.5 pt stops are probably good, but then you also should not expect to hit 3-4 pts very often.
You can achieve 70% wins with 2 indicators over a week or so but to get consistently over 70 + % of wins you need to have more complex system. Higher win % doesnot mean that system will make more money though.
This method is very good as it is now and when you get more comfortable with it , it can be easily improved as far as % of wins.
Walter
Thanks for the positive comment on the thread. I appreciate it. It is not easy to keep this up,but I feel everyone is sharing ideas with me in a way that is helpful to me, "The Idiot" and anyone else that is interested.
for some reason is not getting bashed by any whiners.....
I believe at heart, people want to help. I think this is the first time the word whiner has been used in my journal and I am sad but hopeful that it will not be used again. End.
any stats on how robust this is? I saw earlier a post about 70% wins, anyone else back this up?
Try to understand that this is a living, breathing work. I hope I did not type the number 70% somewhere. If I did it is most likely a mistake and I am sorry. I am not going to read back thru all these pages to find it.
If you follow the journal, you will understand that you are a part of the development of the official stats of my method. Go back a few pages and you will see how I back tested what I have done to date. This is a very subjective approach and can't be back tested other than recreating the one minute charts over the past several years. This is what I have done. . I AM HEAVILY DISCOUNTING THE SUCCESS RATE I ACHIEVED DUE TO THE NATURE OF THE BACKTESTING METHOD. I scrolled to the "right edge' in my TradeStaion program. On top of all this, the help I deemed worthwhile from my fellow e-friends here, has changed my method to add some filtering of the numerous 1M signals and I have only been able to backtest about 4 months of data, plus the three days from last week.
So don't take anything for granted, watch what happens with the numbers as the days tick by here at the Chronicles.
You'all come back, ya here.
Wally- This is a point well taken. If you have the ambition to follow what happened on Friday the one trade that I got stopped on, touched my stop and then performed as I had hoped. In my old backtested method, I used 2 points. If I had done this, the trade would have b/e worst case. Problem is, I know my risk/reward is out of whack. I am still dealing with this and I will keep my eye on it and try to add some comment when I can.
I would like to share some thoughts running around in the old noggin on this...tell me what you think.
Although I have no concete numbers to back this up, it seems that with my entry method (try to enter on a green candle) if I make the right call on a trade it generally moves up quickly. If I am wrong, down it goes. Price does not seem to move sideways too often, of course this does happen. When it was pointed out that I should try to move my stop one tick below an identified short term low or high....this seemed to make sense based on my method and the quick reaction of price. I guess I need to go back and poor over the data again minute by minute and compare the stop settings.
I'm glad you brought it up. This is a tough one for me.
The Head Idiot who is a very simple man is afraid to ask this, but what the hell is an MFE and MAE. Please be gentle in the explanation. Lay terms if possible.
"You need to know what MFE and MAE your method has and optimize both stops and targets knowing these parameters."
"You need to know what MFE and MAE your method has and optimize both stops and targets knowing these parameters."
Can we please not degrade the TIMES method in any way. Let's respect them, we are all in this for the love of Trading. I would appreciate it.
The "Master Mind" - Coordination of knowledge and effort, in a spirit of perfect harmony, between two or more people, for the attainment of a definite purpose.
