Nooby McNoob becomes a quant

Sorry I haven't been keeping up this journal, but I wanted to have something worth sharing. So here is where I am:

1. My manual strategy worked. The success probability is about 70%
2. I have backtested to 2008
3. It is consistently profitable week after week, year after year. It never lost money.

So now I'm deathly afraid I'm screwing something up. I have backtested using the following methods:

1. Manual
2. Coded in two separate platforms
2a. Platform A: let it manage the exit via a trailing stop
2b. Platform B: I managed the stop manually (in code)

The results were the fucking same within a few $10K. I'm losing it, because if this works, I will have achieved my childhood dream.

I don't know what to do next, but I guess I'll allocate about $5K to this strategy in the new year and let it go. If it works successfully in month 1, I'll put in the full $50K towards the strategy. If I lose it all, ah well.

Merry Christmas, and happy new year!

Here are the backtest results:
kb3u6ZN.png
 
sle said:
Are you sure there is no lookahead bias of some sort in there? How many trades is that?
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There is only one place where there could be lookahead bias, and I have tried to confirm that it doesn't exist. How would you know for sure?

Edit: I do not know the number of trades yet over the whole period.
 
nooby_mcnoob said:
There is only one place where there could be lookahead bias, and I have tried to confirm that it doesn't exist. How would you know for sure?
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Well, it's just one guess - the curve is eerily smooth for anything that's not a proper high frequency strategy.

There is a number of possible issues that could cause this (I'll go through some ideas shortly), but rehashing them here would be a bit too public.

PS. Just tried sending you a PM - apparently, you have that turned off
 
sle said:
Well, it's just one guess - the curve is eerily smooth for anything that's not a proper high frequency strategy.
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Right. In previous incarnations it looked extremely uneven until a few hours ago where I doubled down on getting the right exit conditions. Everything else remained the same, but once I nailed the exit condition, it became what you see :-/

It is intraday, but not high-frequency. It's designed to be neutral to market direction.
 
I feel like the next steps are to print out all the trades and manually go over them using a third data provider to make sure everything is lining up and my backtests are executing correctly without lookahead bias. Thoughts?
 
nooby_mcnoob said:
Sad Christmas present: I think I found a bug.
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Everyone here knows how you feel. Use this as an opportunity to remind yourself that if you do see something that looks too good to be true you should assume a bug somewhere until proven otherwise :D
 
nooby_mcnoob said:
So now I'm deathly afraid I'm screwing something up
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i960 said:
Everyone here knows how you feel. Use this as an opportunity to remind yourself that if you do see something that looks too good to be true you should assume a bug somewhere until proven otherwise :D
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Well, I was deathly afraid that I was wrong :D

The thing I'm still trying to reconcile is why the other platform (which can't have the same bug) gives similar results.
 
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