Could it be this easy?

Snuskpelle said:
On a positive note: Current market conditions are volatile and unusually trendy (compared to past decades). Certain simple algos can work (for now).

On a negative note: Poorly made backtests lie (and unfortunately quite a few vendors do it poorly on purpose) w.r.t. to transaction overhead. A lot of algos look great if you get to buy instantly on the midpoint price in sim but rapidly lose money IRL...
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I wonder if it's possible to account for all those errors and get the real results.
 
farmerjohn1324 said:
How do you know that the owner does or doesn't succeed in reality?
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I could link you to his website, but don't want to advertise him.

He's been keeping a running PnL this year, down almost a $1 mil this year. Yet sells Systems with up to 60% win rates from memory.
 
farmerjohn1324 said:
The results were a profit of $30,950 on 1 ES contract ($13,000 maintenance margin, I believe). This is a return of 138%.
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Not enough information to tell you if this was an outlier year for a system that is only slightly profitable over the long run.

You need to back test it over the last 10 years, not just one year. How much did it average over the last 10 years. What was the biggest drawdown in the last 10 years.

Also make sure the backtests account for fees/slippage and limit order fills correctly (if it uses limit orders).
 
farmerjohn1324 said:
I'm not even going to go into the details of the script because it was one of the preloaded MA scripts that comes included as a sample.

The results were a profit of $30,950 on 1 ES contract ($13,000 maintenance margin, I believe). This is a return of 138%.

Now the obvious answer of "if it was that easy, everyone would do it," I think applies here so I must be missing something.

But I'm not really talking about the details of this particular algorithm. I've seen countless algorithms that backtest

QUOTE]
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Why is it people only discuss percentages and profits of a system that is not well tested? You have no stats based on tick data, have no idea of commissions, if limit orders used, how many fills actual take place, what is drawdowns, how did it do over last five years. Often commissions take first 100% of yearly costs on scalping/day trading. Too many traders doing a system stops working pretty quick.

When I backtest, I require 20,000 sample size min, I see trading as a real business, I don't look at how much I can make but how low losing percentages are.

Need to work on this much more IMHO.

Happy New Year all
 
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Handle123 said:
Why is it people only discuss percentages and profits of a system that is not well tested? You have no stats based on tick data, have no idea of commissions, if limit orders used, how many fills actual take place, what is drawdowns, how did it do over last five years. Often commissions take first 100% of yearly costs on scalping/day trading. Too many traders doing a system stops working pretty quick.

When I backtest, I require 20,000 sample size min, I see trading as a real business, I don't look at how much I can make but how low losing percentages are.

Need to work on this much more IMHO.

Happy New Year all
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Have you been able to find systems that work? Or have you came to the conclusion that algo trading is not the way to go.
 
Sekiyo said:
Don’t forget to include fees.
Commission and slippage.

Past 12 months on 1 minute is plenty of data.

Also make sure there is no error in logic.
I mean stuff that aren’t realistic.

Check if there is no margin call in between.

Not sure how NT backtesting engine works,
But I am suspicious that a built in strategy is returning 100% P.A

I don’t know how many parameters there are,
But don’t cherry pick based on performance.

If MA(50) returns 22k
If MA(49) returns 122k
If MA(48) returns 18K

Then MA(49) is simply over fitting,
You won’t be able to reproduce the same.
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This is a very good, simple explanation written in plain English that even I can understand. Sekyio is a saint among all you heathens!!!
 
Sekiyo said:
Don’t forget to include fees.
Commission and slippage.

Past 12 months on 1 minute is plenty of data.

Also make sure there is no error in logic.
I mean stuff that aren’t realistic.

Check if there is no margin call in between.

Not sure how NT backtesting engine works,
But I am suspicious that a built in strategy is returning 100% P.A

I don’t know how many parameters there are,
But don’t cherry pick based on performance.

If MA(50) returns 22k
If MA(49) returns 122k
If MA(48) returns 18K

Then MA(49) is simply over fitting,
You won’t be able to reproduce the same.
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I am not replying the post/thread, just bookmarking the good post for future reference.
 
schizo said:
As they say, "When it's too good to be true, it's usually a fake." I personally heed that advice for everything in life, even with backtests.
Hope that helps.
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I marked the most important word from your statement.What you said is true, but to know if this one is indeed fake or not you have to manually analyze all the trades one by one.You have to understand what happens and check the evolution of the quote's on stoplosses, drawdowns and slippage.When I checked my strategy I did this manually on about 1,000 intraday trades.The results did not give what NT strategy tester gave, my manually checked trades did much better.I still have to discover the first reliable strategy testing software.
 
virtusa said:
I marked the most important word from your statement.What you said is true, but to know if this one is indeed fake or not you have to manually analyze all the trades one by one.You have to understand what happens and check the evolution of the quote's on stoplosses, drawdowns and slippage.When I checked my strategy I did this manually on about 1,000 intraday trades.The results did not give what NT strategy tester gave, my manually checked trades did much better.I still have to discover the first reliable strategy testing software.
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Do you use your script profitably?
 
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