Need Help Back/Forward Testing An IntraDay Strategy

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SimpleMeLike

Hello,

I have some ideas on how I want to intraday trade CL and/or TF. I have only forward test this method the past 1-2 months during and after market hours with good success (decent weekly profits).

I have good logic skills, but don't know the first step on testing software or programming. I need some simple, nothing to complex yet.

BackTesting or Forward Testing Agenda:
I would like a more efficient, faster, quick data results, decision making software to test my ideas. I would like the software to grab (from my spreadsheet) the resistance and support daily and provide me if then, what if, data results. I work a 10 hour job daily and it is time consuming manually calculating my strategy daily. Wish I can push a button to test daily or backtest.

Method:
IntraDay Trend trading through a certain price with a stop market order or retrace limit order. Trend direction criteria with EMAs crosses. Lower indicator direction.

Different Testing Scenarios:

Entry:
Stop market entry X ticks above/below a price level
limit order entry on retrace above/below a price level

Breakeven Exit:
If price goes in favor by X ticks, move stop to breakeven. Or even no breakeven

StopLoss Placement:
Stop by X ticks.

Profit (all in and all out):
Trail by X ticks.
Exit at X ticks.

Thanks for any help or advice.
 
You`d need at least 8-10 years of testing,with the superb data quality(which is available to a few),before making any conclusion on your strategy.Don`t waste your time.
 
Do you have access to the tick data already? Can you for example, pull the tick data for CL into a spread sheet and then save it as a .CSV????

You can get a pretty good idea of if your strategy will work or not on a liquid product by using 1 Minute Data which is easy/cheap to get.

High quality tick data is not the holy-grail, even if you had perfect tick data you would still be making assumptions about getting filled with a Limit Order even if you had Bid/Ask Size Data. That changes constantly even if no trade takes place. You can never truly escape the realm of assumptions when backtesting.

A larger sample size does not guarantee anything, systems can fail/break at any moment just as statistically correlated pairs can fail.

I've backtested similar strategies to the one you speak of and what you will find is that surviving periods of "chop" where your system constantly gets stopped out is the hard part.

I would say that if you can forward test manually for 6 Months and show some monthly consistency then you might have a winner. If you don't have the free time then hire a programmer. If you don't have the money then get a higher paying job.

One last thing, if you set too many absolute values like "my stop will always be X ticks" then you are setting yourself up for instant curve fitting. The volatility profiles of these products is constantly changing. Do you think oil will behave in the exact same manner of ticks at $40 as it will at $60??? You don't have to use an insanely large sample size to avoid curve fitting, just don't use static values for everything. Have the values adapt to volatility as it changes or you will find yourself in chop city.
 
MoneyMatthew said:
Do you have access to the tick data already? Can you for example, pull the tick data for CL into a spread sheet and then save it as a .CSV????

You can get a pretty good idea of if your strategy will work or not on a liquid product by using 1 Minute Data which is easy/cheap to get.

High quality tick data is not the holy-grail, even if you had perfect tick data you would still be making assumptions about getting filled with a Limit Order even if you had Bid/Ask Size Data. That changes constantly even if no trade takes place. You can never truly escape the realm of assumptions when backtesting.

A larger sample size does not guarantee anything, systems can fail/break at any moment just as statistically correlated pairs can fail.

I've backtested similar strategies to the one you speak of and what you will find is that surviving periods of "chop" where your system constantly gets stopped out is the hard part.

I would say that if you can forward test manually for 6 Months and show some monthly consistency then you might have a winner. If you don't have the free time then hire a programmer. If you don't have the money then get a higher paying job.

One last thing, if you set too many absolute values like "my stop will always be X ticks" then you are setting yourself up for instant curve fitting. The volatility profiles of these products is constantly changing. Do you think oil will behave in the exact same manner of ticks at $40 as it will at $60??? You don't have to use an insanely large sample size to avoid curve fitting, just don't use static values for everything. Have the values adapt to volatility as it changes or you will find yourself in chop city.
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Thank you for response. And good comments and advice.

Yes, I am still forwarding testing daily. Its pain, but it lets me review my systems and answer those what if, then else, or wow I didn't think of this. Or what about the chop as you mentioned.

Where do you hire a programmer?

Thanks
 
MoneyMatthew said:
...

I've backtested similar strategies to the one you speak of and what you will find is that surviving periods of "chop" where your system constantly gets stopped out is the hard part...
More...

Just trade chop and occasionally hang on ride for larger profits. What is difference one trade net of 20 ticks and 4 trades of 6 ticks? Risk less, more consistent, trade with trend.

Before I learned well enough to program Tradestation way back when, I went to local college and spoke with Dean on asking who was most talented programmers they had and hired them to help code, students loved it as was a game for them and I got excellent talent as they always needed extra funds.
 
The biggest challenge you'll have with the oil futures is the lack of liquidity when the market moves. Your market orders are not going to get filled at prices that will allow your winners to exceed your losers.

Excel allows the creation of macros which can be simply pressing a button to start the analysis.

Many of the brokers allow the ability to write Scripts inside their charting apps which would give you a visual presentation of your algorithm efficiency in different timeframes without downloading data. They provide online training sessions for free. This interval change is as simple as pressing a button.

I have leveraged interns from graduate mathematics programs at the University of Chicago to help write algorithms in the past. They are all required to do an internship.
 
Stymie said:
The biggest challenge you'll have with the oil futures is the lack of liquidity when the market moves. Your market orders are not going to get filled at prices that will allow your winners to exceed your losers.
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Thanks Stymie,

Can you explain a bit more with an example please? For CL, I use stop market order to stop out for a loss on trades, and limit orders at profit targets.

What do you mean "when markets moves"? Do you mean move really fast?

Thanks
 
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Handle123 said:
Just trade chop and occasionally hang on ride for larger profits. What is difference one trade net of 20 ticks and 4 trades of 6 ticks? Risk less, more consistent, trade with trend.

Before I learned well enough to program Tradestation way back when, I went to local college and spoke with Dean on asking who was most talented programmers they had and hired them to help code, students loved it as was a game for them and I got excellent talent as they always needed extra funds.
More...

Thanks Handle123,

You have great experience in the markets.

I trade the CL with 3 contracts. There are times when it just moves really fast. I stay out of trades at open bell and around news times.

Have you experience any issues with Stop Market or Limit orders not getting filled and you take a bigger lost then was planned?

Thanks,
 
All the time in Crude Oil cause lack of volume at price levels. Even ES has slippage and why I don't use stops in ES for day trading. Limit orders, you either get filled or not for getting in but to use to get out in Crude Oil, too dicey? I look for chop and trade that in direction of trend, most trades make small pieces and have limit of how many trades for any trend, but every once in a while it takes off, I just have that personality of taking something on as many as I can, I lack patience when I day trade, always been this way and not going to change now. I do like news reports on all markets, but have to wait when they come out first, fad first move and target doable amount.
 
When there is an unexpected event in the market, the futures move exceptionally fast. The stoploss orders become market orders and they try to get filled where they can. The problem is more pronounced when the market closes and there are gap openings. The execution of orders is never near the price you wanted. This fundamentally challenges the success of your trading model as you try to calculate the true cost of execution. I trade the oil option futures to avoid using stop loss orders and being subjected to these market extremes. But the liquidity is lower than the futures.
 
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