Are you talking about Wheat? Is this thing still $50/cent, 1/4 point min move?
Interesting market.
My back-testing is too good to be true. What am I missing?
- Thread starter TradeSparrow
- Start date
Are you talking about Wheat? Is this thing still $50/cent, 1/4 point min move?
Interesting market.
Right, I'm talking about wheat. And yup, it's still $50/cent 1/4 cent per tick.
Very interesting market. I did some analysis using Price Action Lab. This is a good tool not only for finding patterns but also it helps to determine what R:R is best. This is what I got:
R:R # of patterns # of Long # of Short
5:5 3 0 3
8:8 20 11 9
10:10 22 4 18
20:20 57 3 54
30:30 95 0 95
It is interesting you mentioned 8 points because this gives the best mix of long/short patterns. Actually, R:R = 8:8 gives more long than short signals, 11 long and 9 short. If it is increased to 10:10 the number of long patterns falls sharply and by 20:20 you get only 3 in 57. For R:R 30:30 you get no long patterns and this is basically a short only trading market.
I find the results extremely interesting. Actually I may start trading this market. Around R:R = = 8:8 there is a window of opportunity.
I used daily continuous data for Wheat from 1998 in the analyis.
R:R # of patterns # of Long # of Short
5:5 3 0 3
8:8 20 11 9
10:10 22 4 18
20:20 57 3 54
30:30 95 0 95
It is interesting you mentioned 8 points because this gives the best mix of long/short patterns. Actually, R:R = 8:8 gives more long than short signals, 11 long and 9 short. If it is increased to 10:10 the number of long patterns falls sharply and by 20:20 you get only 3 in 57. For R:R 30:30 you get no long patterns and this is basically a short only trading market.
I find the results extremely interesting. Actually I may start trading this market. Around R:R = = 8:8 there is a window of opportunity.
I used daily continuous data for Wheat from 1998 in the analyis.
Mr. Intradaybill:
- What is R:R?
- How does this tool of yours recognize patterns?
- What is R:R?
- How does this tool of yours recognize patterns?
If you have any parameters in the system, it's a rule fo thumb to have 30x mor etrades in the backtest compared to parameters. So, if you had a simple moving average crossover system with the length of 2 moving averages as parameters and no stop, you'd need at least 60 trades for the backtest to make any sense.
That's fine. Let's see...
EMA - one parameter
MACD-H - three parameters
4 * 30 = 120
I have about 400 trades for the first four and a half years of the test. I still have three and a half years left, so that's more than enough.
EMA - one parameter
MACD-H - three parameters
4 * 30 = 120
I have about 400 trades for the first four and a half years of the test. I still have three and a half years left, so that's more than enough.
R:R = Risk:Reward or on this case equivalent to Profit target : stop-loss
I don't know how it recognizes patterns but it works well for sure. There are some articles in their website that describe the program operation you can take a look at. I have attached a pic from the search for R:R = 8:8, profit factor > 1, Trades per pattern > 30. It would also be interesting to look for R:R 5:10, 8:16, etc. Now, since all those patterns are variations of one another you would treat them all as one system. Normally, you would have the program search for patterns in a subset of the data set and then forward test to eliminate data mining bias.
P is win rate, PF is profit factor, CL is max consecutive losers
Interesting program. I looked at their website yesterday. They don't talk about pricing, so I assume you can't mention how much it costs? 
It'll be sometime before I can afford such a program and I'll have to look into how well it works.
It'll be sometime before I can afford such a program and I'll have to look into how well it works.
You got me interested in grains (again). I am running the program with CBOT Corn data. I want to see if the same results apply.
I think PAL goes for about 2K per 2 years and IMO a good price for what it can do.
I think PAL goes for about 2K per 2 years and IMO a good price for what it can do.