Mechanical ES system
- Thread starter jboydston
- Start date
I realize that 5-10K is possibly too small an account to trade this system. But, is a backtested system feasible in real life?
Are backtested systems purely opportunistic?
Those who say it can't be done, have you tried it and failed? I don't mean to be smug, I am very direct and purposeful.
Are backtested systems purely opportunistic?
Those who say it can't be done, have you tried it and failed? I don't mean to be smug, I am very direct and purposeful.
I am NOT trying to rip on you. I am assuming that you entered your position on 4/9 at 8:00 (PDT?) because your 6EMA crossed up over your 63EMA. If this is the case then the following are my observations:
a) By my charts, crossover would have actually occurred sometime after 8:00 PDT. Entry would be at the open of the 9:30 PDT bar. For clarityâs sake, it would be nice to post a time zone in your posts.
b) In my opinion, for your system, entering and exiting on the open of a bar is a bad idea. If crossover occurs on the last bar of the day, you would hold a position overnight (or the weekend!) just to reverse on the first bar the next trading day. This is virtually guaranteed to be a diff price point. For BT purposes, I think it is much simpler to enter/exit on the close of the bar AND use the closing price.
c) I did a quick look back and if you had started on 4/8, a day earlier, you'd have already made 4 trades, all losers, and be down ~18.25 ES points plus commissions. If you had started on 4/2 you would have added one more trade, a 4 day, 4.25 point winner that âignoredâ a run-up of 32 points in the process.
d) I have done some limited backtesting with eSignal and the samples seem to encourage confusion (entries âon openâ, based on closing price of current bar, boy, I wish I could do that live!). Your BT software may be set up in a similar fashion. You could send your BT code to someone to check it out. Lots of guys here are willing to look at it.
e) If you include your MA numbers in your posts, that also helps us to follow along.
Ain't this fun?
a) By my charts, crossover would have actually occurred sometime after 8:00 PDT. Entry would be at the open of the 9:30 PDT bar. For clarityâs sake, it would be nice to post a time zone in your posts.
b) In my opinion, for your system, entering and exiting on the open of a bar is a bad idea. If crossover occurs on the last bar of the day, you would hold a position overnight (or the weekend!) just to reverse on the first bar the next trading day. This is virtually guaranteed to be a diff price point. For BT purposes, I think it is much simpler to enter/exit on the close of the bar AND use the closing price.
c) I did a quick look back and if you had started on 4/8, a day earlier, you'd have already made 4 trades, all losers, and be down ~18.25 ES points plus commissions. If you had started on 4/2 you would have added one more trade, a 4 day, 4.25 point winner that âignoredâ a run-up of 32 points in the process.
d) I have done some limited backtesting with eSignal and the samples seem to encourage confusion (entries âon openâ, based on closing price of current bar, boy, I wish I could do that live!). Your BT software may be set up in a similar fashion. You could send your BT code to someone to check it out. Lots of guys here are willing to look at it.
e) If you include your MA numbers in your posts, that also helps us to follow along.
Ain't this fun?
Thank you for correcting your original post as you did. You may want to rewrite it at this point for your persona; convenience.
I'll expand on my comments part by part.
When i read you post and duped up your MA's I could see that you would always be entering on gap ups. The 63 duration guarantees this. you then will always be taking a loss on that entry as the gap retrace usually occurs.
The long to short ratio I noted was the day you missed classas you suggest. longs take longer than shorts to complete. The Schwabb ratio of 27:8 is commonly proferred in investment circles.
By using he ratio you use 63:6, what you do is invert or reverse the historical phenomena. This means you have short (loosing usually) duration entries for long trends ( you enter usually well after the mid point because of the "bridging" you settings force you To. Others have commented on your MA long duration and they are correct; your duration is to long.
You stay in short trades well after their bottoms and reversal because you cannot make an appropriate long entry.
Lets go back to your beginnings.
You chose the 30 bar chart. Do not do that. Let the market tell you what bar duration to trade upon. Do this in two steps:
1. find out he cycle durations on the various charts for different bar durations.
2. Find out the potential profits for those cycle durations.
3. Consider the efficiency of he mechanical system that will be applied to those trades. Most people use descretion in some manner so if you decide to (by overrideing screw ups as pointe out to you elsewhere) then apply an efficiency to that too.
4. Compare results of each duration and pick the one with the highest money velocity by plugging in the values in the compound interest formula.
The above will do several things:
1. get you off the 30 min bars.
2. Reverse the ratio of long to short if you insist on using such.
3. Begin to lead you away from using MA's as signal generators because they inherently, because of lag cost you a great portion of the front end of trend profits.
4. get you to recognize the third trend that you left out of your system; namely the lateral trend. During lateral trends, your indicators are entwined and therefore in all cases of BO's (Break Outs) on lateral trends, you will miss that entry and have to wait for a reverse on the trend.
5. You will discover that the faster the pace of the trend (not measured by your system currently) that when a fast pace trend ends it usually goes into congestion (chop) This you will find is at the support and resistance current values. Then at S or R, your system, for large chop, sets you into a whipsaw condition of continuous losses one after another until the indicators "entwine at the end of the chop to prevent you from entering on BO.
6. Youwill find out a major aspect of your work as you go through this. You do not know how to back test. In order of importance for your present system, your failures are:
1. Bridging trends on the 30 min fractal.
2. trading durations for trends are reversed.
3. You miss all BO's out of lateral trends.
4. Failure to consider only two of three trends is devistating.
I'll get into the details later, once you show how you relate to these starter major comments.
Quote from bassocat5:
I am NOT trying to rip on you. I am assuming that you entered your position on 4/9 at 8:00 (PDT?) because your 6EMA crossed up over your 63EMA. If this is the case then the following are my observations:
a) By my charts, crossover would have actually occurred sometime after 8:00 PDT. Entry would be at the open of the 9:30 PDT bar. For clarityâs sake, it would be nice to post a time zone in your posts.
b) In my opinion, for your system, entering and exiting on the open of a bar is a bad idea. If crossover occurs on the last bar of the day, you would hold a position overnight (or the weekend!) just to reverse on the first bar the next trading day. This is virtually guaranteed to be a diff price point. For BT purposes, I think it is much simpler to enter/exit on the close of the bar AND use the closing price.
c) I did a quick look back and if you had started on 4/8, a day earlier, you'd have already made 4 trades, all losers, and be down ~18.25 ES points plus commissions. If you had started on 4/2 you would have added one more trade, a 4 day, 4.25 point winner that âignoredâ a run-up of 32 points in the process.
d) I have done some limited backtesting with eSignal and the samples seem to encourage confusion (entries âon openâ, based on closing price of current bar, boy, I wish I could do that live!). Your BT software may be set up in a similar fashion. You could send your BT code to someone to check it out. Lots of guys here are willing to look at it.
e) If you include your MA numbers in your posts, that also helps us to follow along.
Ain't this fun?
I am trading from California, so maybe this accounts for the discrepancy?