Price Action Strategies All Break Down

Quote from Dhalsim:

Gmst here is the strategy i am working on now. Its now live but it works on trading intraday noise - again this one also breaks down on cash market prior to 2007.

Not traded any of price action strats as i don't have faith in them.

Anyway have a look at some of the screenshots:

1st on the NQ, works on 1min chart - usually holds for about 5-30mins on average. No overnight trading
-only tested with one contract (1 contract max)
-no compounding:
-max 2 trades per day
- no slippage as every single one is limit order
- tested with fact that price must trade though for fills
More...

looks Too Good to be true especially looking at CALMAR...i suggest you test these 2 versions also and compare:
1) Use 6.25 in slippage (so that you account for bid-offer in ES) and then trade through for fills
2) Use 6.25 in slippage (so that you account for bid-offer in ES) and then DO NOT USE trade through for fills
 
Same strat i quickly just tested against some futures markets
(even though strat was strictly designed based on my discretionary trading for NQ)
same period 2007 to 2013:
 

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Quote from gmst:

looks Too Good to be true especially looking at CALMAR...i suggest you test these 2 versions also and compare:
1) Use 6.25 in slippage (so that you account for bid-offer in ES) and then trade through for fills
2) Use 6.25 in slippage (so that you account for bid-offer in ES) and then DO NOT USE trade through for fills
More...

It is a method i used in my discretionary trading for years but was never successful with because i cannot trade to the plan or keep emotions under check. Hence, the reason why i am only using 100% automation now.

It is too good to be true hence why it breaks down pre 2007.

Here is same strat on QQQ from 1997 to 2013.

Strange how it gets nearly a 1.3 PF avg across other futures markets it was not even designed to trade with smoothish equity curves from post 2007.

However, all my strats which don't look at intraday price action (e.g. could trade without any charts and so forth) tend to work nearly every year - in testing anyway. However, they trade less ass slightly longer duration and bigger drawdowns.


Just tested with $5 slippage on NQ per contract. Strat still performs very well. This is with trade through on.
 
Quote from Dhalsim:

Gmst here is the strategy i am working on now. Its now live but it works on trading intraday noise - again this one also breaks down on cash market prior to 2007.

Not traded any of price action strats as i don't have faith in them.

Anyway have a look at some of the screenshots:

1st on the NQ, works on 1min chart - usually holds for about 5-30mins on average. No overnight trading
-only tested with one contract (1 contract max)
-no compounding:
-max 2 trades per day
- no slippage as every single one is limit order
- tested with fact that price must trade though for fills
More...

There's something wrong in that performance summary ... with 1000+ trades, you should have 5000+ comms, not 1800.

Your average net per trade is ~$35 ... this is about 3-ticks, before slippage. Not much, IMO.
 
Quote from dom993:

There's something wrong in that performance summary ... with 1000+ trades, you should have 5000+ comms, not 1800.

Your average net per trade is ~$35 ... this is about 3-ticks, before slippage. Not much, IMO.
More...

Yes i just checked - it was set as commission per trade and not per contract. Also, i don;t know what you expecting for very short term intraday system working of 1min chart. Also, that is 7 ticks and there should technically be no slippage or negligible especially on 1 contract on NQ.

For it to have bigger avg trade net you must be capturing some big move nearly every trade - over a 1000 trades in that period that's not possible unless you have a real edge which does not rely on past historical data.

:D
 
Quote from Dhalsim:

...All my other strats which are not pattern based or indicator based do not breakdown and usually perform well across all markets, however they are usually of slightly longer trade duration.

Any advice?
More...

Do what works for you...(^see your note above^)
 
Quote from Dhalsim:



Is this normal for price action strats to breakdown on these short timeframes or is it just bad design and development on my part.

All my other strats which are not pattern based or indicator based do not breakdown and usually perform well across all markets, however they are usually of slightly longer trade duration.

Any advice?
More...

I normally backtest one minute to 60 minute systems ten years on tick data. I have found that only few entry signals but spend all my 95% on money management rules give the profits. It could be you not asking your method enough "what" questions. I learn very little from losing trades, and concentrate fully on the non-losing trades. I am more interested in not losing than making money. It not an ego thing, it is wanting a smoother equity curve. I developed rules of when to totally shut down taking signals, intraday pattern trading under 60 minutes, I found for myself, consistentcy of targets, time and not extreme volatility were the key for me to get daily weekly and monthly goals. Also, methods for Indexes in futures usually require slightly different rules for trading other instruments.

So if the patterns you are testing show much bigger drawdowns, that will often signal more volatilty. Intraday I am not a "homerun" trader, I let my monthly/weekly systems go for larger profits. So I think if you ask enough questions of your profitable trades, you can design rules of which trades not to enter or make time rules.
 
Quote from Dhalsim:

However, when i then test this on the SPY or QQQ i find that the results perform poorly prior to 2007.
More...

I would say it is a miracle if your strat performs similarly on ES & SPY, NQ & QQQQ at any point in time.

There are enough ill price-prints on these ETFs (all stocks, really) that it is near impossible not to get stopped (in or out) regularly on those absurd (yet very real) prints.

I strongly suggest buying quality historical data from TickData, and focusing your efforts on futures markets.
 
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