My Automated Trading Strategy (3Years+ of Historical Data) Please Critique!

Quote from julian0625:

SO with commision the emini strategy made $55k or so.
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What about slippage? If you are using limit orders, you can't always count on a fill and if using market, be sure to add slippage.
 
Quote from nonlinear5:

You never explained what needs to happen for your order to be "filled". Does the market have to touch your limit price, or to exceed it?
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Exceed it in the simulator. In live it can be touched if the level depleted before going the other way.

The times an order in the simulator gets touched, it does not get filled. This prevents any abnormal results in the live version.
 
Julian, we understand that when your trade is triggered you send a limit order to enter. If the limit order is not filled (after a certain amount of time? or maybe conditions change?), you cancel the trade.
I assume your backtester assumes that when your entry price is breached, you are filled. Meaning, if your bid is put at 1200, you're IN the trade when 1199.75 is touched.

We get that.

We are talking about exits.

If your program puts a sell limit order out at 1200.50, and 1200.75 is touched, you have been executed.

We get that.

**If your program is counting a touch of your bid / offer as an execution, your results are flawed.***

Then we get to stops. A stop price does not guarantee your exit at your stop price. This is known as SLIPPAGE. You have a stop at 1199. Your executed exit price is 1198.75 or even 1198.50. This is known as SLIPPAGE.

You need to enter slippage into your system to account for situations where you do not get your ideal stop price.


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You have shown a system with a 60+% win rate. However the Reward:Risk is 1:2.
When you include commissions and slippage, you won't be AS pleased, though you MAY still be profitable.
 
Quote from ksmetana:

Julian, we understand that when your trade is triggered you send a limit order to enter. If the limit order is not filled, you cancel the trade.
I assume your backtester assumes that when your entry price is breached, you are filled. Meaning, if your bid is put at 1200, you're IN the trade when 1199.75 is touched.

We get that.

We are talking about exits.

If your program puts a sell limit order out at 1200.50, and 1200.75 is touched, you have been executed.

We get that.

**If your program is counting a touch of your bid / offer as an execution, your results are flawed.***

Then we get to stops. A stop price does not guarantee your exit at your stop price. This is known as SLIPPAGE. You have a stop at 1199. Your executed exit price is 1198.75 or even 1198.50. This is known as SLIPPAGE.

You need to enter slippage into your system to account for situations where you do not get your ideal stop price.
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The system does not use stop orders. It reverses position when an opposite signal is executed. The system is always long or short, therefore there is no need for stop orders.

Basically, there is no way the system can have slippage as every order is a limit order.
 
Well only you know the strategy, obviously you have a profitable system, only you can determine if the results will then be realistic live.

What software are you using BTW
 
My next concern would be your starting capital. I see periods in your P&L chart where you had a drawdown. You need to know your starting capital is enough to withstand your largest drawdown + a little more.

Worst case scenario, you have your worst drawdown from the start.
 
Quote from ksmetana:

Well only you know the strategy, obviously you have a profitable system, only you can determine if the results will then be realistic live.

What software are you using BTW
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My beloved Ninjatrader 7 :D
 
Quote from julian0625:

Yep the ES strategy is flat at 4:15 every day.
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I thought you said you only use limit orders and therefore there is no way for slippage. How can you ensure that your strategy is flat every day at 4:15, unless you use a market order to go flat?
 
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