How would you challenge this algo?

[Drawdown Addict]

Read my previous post. I did it. And it works. But the system was not build on ten years of data. It just works on any lenght of data. So the test is only useful to see how flexible the system is. Development does indeed not need ten years of data. At least not in daytrading.
It also works on futures, forex, stocks...
It works on anaything taht uses numbers as data. It is purely mathematical.

I asked you a simple question before : "how do you measure the strength of a trend?", you did not answer it and started hitting around the bushes, Mickey and Mark had to answer it for you.

Now I ask you another simple question: "Define the market conditions that you apply to your infallible system"

When you say "Read my previous post": Don't like yourself that much boy, you talk a lot but give nothing concrete.

 

[themickey]

I asked you a simple question before : "how do you measure the strength of a trend?", you did not answer it and started hitting around the bushes, Mickey and Mark had to answer it for you.

Now I ask you another simple question: "Define the market conditions that you apply to your infallible system"

When you say "Read my previous post": Don't like yourself that much boy, you talk a lot but give nothing concrete.

Maybe I'll try to answer...
Virtusa said he's tuned his system to operate dynamically.
From that I understand what he's saying, as trend accelerates and deaccelerates, his model adjusts.
Hence why he mentioned earlier, "You are missing the most important ingredient, trend speed".
Did I get that right virtusa?

 

[SimpleMeLike]

Market conditions change and in order to use ten years of data, you have to account for those conditions. I don't think that any of you, that claim to use years of data, do that. So your back-test is useless.

Good Morning Drawdown Addict,
How much data do you use when back testing?

 

[Drawdown Addict]

Good Morning Drawdown Addict,
How much data do you use when back testing?

For this particular case the dataset is attached to the initial post. About 6 months.
For a stock that has been swinging in a range I would probably use a year, but that's about it. Anything longer than a year won't serve me much.
Maybe you could use five years onwards for bonds and bills, but that is not a ground I play with.

 

[virtusa]

When you say "Read my previous post": Don't like yourself that much boy, you talk a lot but give nothing concrete.

I don't want to give anything concrete. Too many trolls on ET.
I just gave my pov on what is posted here.
If you read it good it is concrete. I tell what does not work and what works. Most people don't even know the difference between what works and what does not.
The fact that you did not see anything concrete does not mean there isn't. It only confirms that you don't see anything.

Mickey and Mark had to answer it for you.

They did not answer it for me. They gave their own opinion.

 

[SimpleMeLike]

For this particular case the dataset is attached to the initial post. About 6 months.
For a stock that has been swinging in a range I would probably use a year, but that's about it. Anything longer than a year won't serve me much.
Maybe you could use five years onwards for bonds and bills, but that is not a ground I play with.

Good Morning Drawdown Addict,

Just to make sure I understand you,

1. You have the freedom to use nearly 20 years of back testing data to find "Edge", but you are only using 6 months of back testing data to find "Edge"? This Edge is going to make you rick in the next X-XX years.

2. You have the freedom to use nearly 20 years of back testing data to find "Edge" with possibly over +1000 trades, but you are only using 6 months of back testing data to find "Edge" with just a few trades? This Edge is going to make you rick in the next X-XX years.

Am I understanding you correctly?

If I am correct, it would seems to me just thinking Simple in logic, I would bet on 20 years of back testing data vs 6 months.

 

[Drawdown Addict]

I don't want to give anything concrete. Too many trolls on ET.
I just gave my pov on what is posted here.
If you read it good it is concrete. I tell what does not work and what works. Most people don't even know the difference between what works and what does not.
The fact that you did not see anything concrete does not mean there isn't. It only confirms that you don't see anything.


They did not answer it for me. They gave their own opinion.

Another post that doesn't add any value to the thread.

 

[Drawdown Addict]

Good Morning Drawdown Addict,

Just to make sure I understand you,

1. You have the freedom to use nearly 20 years of back testing data to find "Edge", but you are only using 6 months of back testing data to find "Edge"? This Edge is going to make you rick in the next X-XX years.

2. You have the freedom to use nearly 20 years of back testing data to find "Edge" with possibly over +1000 trades, but you are only using 6 months of back testing data to find "Edge" with just a few trades? This Edge is going to make you rick in the next X-XX years.

Am I understanding you correctly?

If I am correct, it would seems to me just thinking Simple in logic, I would bet on 20 years of back testing data vs 6 months.

I don't think that we need to argue on this, the point if to challenge the algo, not to go around and around the same topic again and again. You want to use 20 years of data, go ahead. No one is stopping you.

 

[SimpleMeLike]

I've been trading this algo for a while, needless to say that it does not perform as well as it is on paper but still can scratch a good winning ratio, as opposed to the great score of 4.81 that is shown on the picture.

Trades attached. (trades.csv)
Input data attached. (MNQ.txt) JSON format.

Result:

View attachment 320281

I tried with several time frames and periods, the results are more or less the same.
I fail to believe that I hit the nail on the head and I am expecting it to break at some point. Do you have some data at hand that I could run the algo on?

For the ones that want to replicate it, it is fairly simple. It is a trend following algo with a few simple rules:
- Only one trade at a time. 5 contracts.
- Enter on a clear trend, noted by at least four candles in the same direction.
- Exit on the next candle close either if it increases o decreases 50 points.

Hello Drawdown Addict,

Your spreadsheet only shows about 50 trades.

Do you think that is enough to keep you invested in the algo in the next X years when a XX% drawdown comes?

 

[SimpleMeLike]

I don't think that we need to argue on this, the point if to challenge the algo, not to go around and around the same topic again and again. You want to use 20 years of data, go ahead. No one is stopping you.

Hello Drawdown Addict,

Why did you create the thread, if you do not want to be challenged with your algo and the performance results you posted?

I am simply asking you, why use 6 months of data, when you can use 20 years of data if not more? What is so special about 6 months of data vs 20 years of data?

I would think if I wanted to bet my house and life savings on an algo, I would want to use 20 years of data and as many trades as possible, right?