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Please evaluate this strategy
- Thread starter m4a1
- Start date
Quote from 40yotrader:
The annual % doesn't mean anything. That's just what's set in TS for testing. I've been doing research on systems that I hope to use in 2008. The default equity on my system was set to 1 mill.
So far with this strategy I'm up 67% on a base of 325k this year.
Amazing results. Are you still using the same intraday mechanical system? Have you had issues with the mkt changing? guess not.
Quote from m4a1:
Do you think it's still too unstable? Criticize as much as you like.
For 2002, I went back and looked at what happened. I can't seem to pinpoint any specific reasons other than 2002 was a bear market and this is a long only strategy.
The largest losing trade did happen in 2002. I checked the news to see what happened and it seems the market just freaked out that day for no specific reason.
The longest losing streak did not happen in 2002.
Trading the equity curve looks really nice. It looks like your strategy goes in and out of favor for periods of time. You might want to check the correlation between trades by putting them into a spreadsheet and offsetting the trades in the next row by 1 trade. Then check for size of trade (large win begets large win?), win/loss (win begets loss), and streaks (any win begets another win). I used this to improve my trading where I found my best strategy was to increase my size after each losing trade within a day.
Overall I think the strategy looks like a winner. I wouldn't worry about the absolute $ made in each trade since no money management has been applied. You might want to incorporate a fixed % risk per-trade with the equity curve strategy and see if the total profits are acceptable for you.
43yotrader
Quote from nzbryant:
Amazing results. Are you still using the same intraday mechanical system? Have you had issues with the mkt changing? guess not.
Yes, that's the original system I posted in my journal in 2002 with 2 changes. 1). I added volatility sizing along with mmgt so that as the market volatility dropped I increased size. 2). I put in a volatility cutoff so that when the average daily range dropped below 7 pts. I skipped taking trades for that day. I thought this strategy might die from the lower volatility but with volatilty returning....it's kicking butt. Must admit, I've been nervous this month because June, July, August are usually dead months for the markets.
Thanks. what is the proper way to check if a "large" win begets a "large" win? just set a threshold for what I think is a large win and do the same thing as one would do to check for streaks?
also, do you think i may have curve fit this? when i started the thread i was expecting criticism of this sort, but strangely nobody has said anything yet.
also, do you think i may have curve fit this? when i started the thread i was expecting criticism of this sort, but strangely nobody has said anything yet.
Quote from 40yotrader:
Trading the equity curve looks really nice. It looks like your strategy goes in and out of favor for periods of time. You might want to check the correlation between trades by putting them into a spreadsheet and offsetting the trades in the next row by 1 trade. Then check for size of trade (large win begets large win?), win/loss (win begets loss), and streaks (any win begets another win). I used this to improve my trading where I found my best strategy was to increase my size after each losing trade within a day.
Overall I think the strategy looks like a winner. I wouldn't worry about the absolute $ made in each trade since no money management has been applied. You might want to incorporate a fixed % risk per-trade with the equity curve strategy and see if the total profits are acceptable for you.
43yotrader
Quote from 40yotrader:
Yes, that's the original system I posted in my journal in 2002 with 2 changes. 1). I added volatility sizing along with mmgt so that as the market volatility dropped I increased size. 2). I put in a volatility cutoff so that when the average daily range dropped below 7 pts. I skipped taking trades for that day. I thought this strategy might die from the lower volatility but with volatilty returning....it's kicking butt. Must admit, I've been nervous this month because June, July, August are usually dead months for the markets.
Do you trade just 1 system or several?
Quote from 40yotrader:
Yes, that's the original system I posted in my journal in 2002 with 2 changes. 1). I added volatility sizing along with mmgt so that as the market volatility dropped I increased size. 2). I put in a volatility cutoff so that when the average daily range dropped below 7 pts. I skipped taking trades for that day. I thought this strategy might die from the lower volatility but with volatilty returning....it's kicking butt. Must admit, I've been nervous this month because June, July, August are usually dead months for the markets.
40yotrader,
Great work.
From what I gather your system is a breakout system:
1. Trades the ES
2. Yesterdays range is below the previous days range.
3. If #2 is true, take the lowest of the previous five days range divide by two. This is the trigger point to go long above the open (reverse for a short).
3. If triggered into the trade the opposite trigger becomes the stop.
4. If the trade reaches 80% trail with a parabolic.
5. If the trade is a winner the position size remains unchanged
6. If the trade is a loser increase the position size by a percentage until the previous equity is reached.
You have added two more nuances having to do with volatility.
1). I added volatility sizing along with mmgt so that as the market volatility dropped I increased size.
2). I put in a volatility cutoff so that when the average daily range dropped below 7 pts. I skipped taking trades for that day.
I assume you are using the ATR to measure volatility. If you are using the 5 day ATR, it hasnât drop below 7 pts in along time. Or you may mean the daily range dropped below 7 pts not the ATR. Or it could mean drop 7 pts below the previous ATR high. Could you clarify this?
Is the above correct or have I left something out?
This looks similar to Toby Crabels breakout method. Also Mark Fishers ACD method except without the adjusted position sizing.