In a normal market condition (basically not the crash of 2008), the max drawdown is about $2500. So you could survive with a starter of $5k.
However the max drawdown peaked at $11k during the crash of 2008, however it immediately made it all back.
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My Automated Trading Strategy (3Years+ of Historical Data) Please Critique!
- Thread starter julian0625
- Start date
In a normal market condition (basically not the crash of 2008), the max drawdown is about $2500. So you could survive with a starter of $5k.
However the max drawdown peaked at $11k during the crash of 2008, however it immediately made it all back.
Quote from nonlinear5:
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?
Yes I forgot to mention. The strategy sends a limit order out on the close of the bar at 4:13. If the order does not get filled till 4:14:45 it will send a market order out. It is very rare however that that situation does occur.
Quote from julian0625:
In a normal market condition (basically not the crash of 2008), the max drawdown is about $2500. So you could survive with a starter of $5k.
However the max drawdown peaked at $11k during the crash of 2008, however it immediately made it all back.
It's more meaningful to express max DD as percentage. In your case, it appears to be 40%.
Quote from julian0625:
Yes I forgot to mention. The strategy sends a limit order out on the close of the bar at 4:13. If the order does not get filled till 4:14:45 it will send a market order out. It is very rare however that that situation does occur.
I'd suggest re-running your stats with commissions included and allowing one tick slippage on the last trade of each day. Your profit factor will drop to about 1.1, I think.
I think you'll find that backtesting vs autotrading with real money is going to be vastly different. As someone else mentioned, commissions and slippage are going to take a large chunk of your profits. And even if you trade only with limit orders, then there are situations where it will hit your limit order but it won't fill. This is something that NT doesn't simulate in backtest mode.
Also, what time frames do you backtest on? Do you not have stops that could get triggered? If you are backtesting based on candles and not tick data, you could get a situation where it looks like it hits your target on the candles, but in reality it goes up and hits your stop and then moves back down to hit the target. Believe me, I'm an automated trader and this happens all the time. A lot of information is lost in the candles, and relying on NT to backtest properly for you is a mistake.
Any candles that engulf both you target and your stop is questionable, so I would double check any results that contain those.
Also, what time frames do you backtest on? Do you not have stops that could get triggered? If you are backtesting based on candles and not tick data, you could get a situation where it looks like it hits your target on the candles, but in reality it goes up and hits your stop and then moves back down to hit the target. Believe me, I'm an automated trader and this happens all the time. A lot of information is lost in the candles, and relying on NT to backtest properly for you is a mistake.
Any candles that engulf both you target and your stop is questionable, so I would double check any results that contain those.
Quote from julian0625:
Yea when I saw that it basically went sideways during that time, I was reeeeeeeally surprised XD :eek:
If I may ask, what is collective2?
http://collective2.com/
You can sell your trading system signals there.
I am not satisfied with a system with a profit factor of less than 2.0. 1.8 can be OK under some conditions but under 1.5 and you generally break even or worse after slippage and if the market changes slightly....I'd see if you can add filters to increase the profit factor and also make sure you test out of sample.
Alright thanks for all the help everyone! Tonight after school, I'll see if I can tweak the system to have a higher profit factor.
Jedwards, The strategy does NOT use stop orders or target orders, so that scenario cannot occur. It is continuously long or short, as it reverses positions with limit orders. Basically, every transaction is a limit order.
I'll update further tonight.
Jedwards, The strategy does NOT use stop orders or target orders, so that scenario cannot occur. It is continuously long or short, as it reverses positions with limit orders. Basically, every transaction is a limit order.
I'll update further tonight.
Yes definitely get the PF up. You are borderline now.
And the big problem with these limit order systems hoping for a tick or two, is that in real trading you always get filled on the bad trades and only sometimes get filled on the close ones. Net result is worse performance than you think.
You might be able to use the IB "paper trader" account to trade in realtime to see how you do. Log EVERY trade in a spreadsheet and go over it carefully.
And the big problem with these limit order systems hoping for a tick or two, is that in real trading you always get filled on the bad trades and only sometimes get filled on the close ones. Net result is worse performance than you think.
You might be able to use the IB "paper trader" account to trade in realtime to see how you do. Log EVERY trade in a spreadsheet and go over it carefully.
You mean to say you started looking into all this when you were only 10 years old? that's disgusting.........take it as a compliment if you could. I think you'll come out on top even before you turn 30 years old. having said that, what do your friends do for fun?