Random Trading

[Loki45]

Quote from intradaybill:

(1) What is the timeframe? Tick? 1 minute?

(2) How many bars are you testing?

(3) Have you tried moving your initial entry point to see if the results change a lot?

1) I tried several - 75 ticks, 800 ticks, 1 minute, 5 minute. It never made a difference, and I think it shouldn't, because my trading program does not care about how the price data are grouped

2) I let the program run a minimum of 8 hours

3) I did not - the entry is strictly random time controlled; in most cases 1 to 60 seconds after the close of the previous trade

 

[intradaybill]

Quote from Loki45:

2) I let the program run a minimum of 8 hours

That is a little more than a day's session for most futures and 1/3 of a session for forex. Hardly enough to claim any significance. You resutls are biased by selection.

 

[Loki45]

Quote from edbar:

Loki,

A better / more legitimate test of the random trade generator program would be to enter randomly but exit only after either a 10% profit or a 10% loss. (or some other percent, as long as it is the same for the profit and loss).

Then, over a long period of time, the results should be ~50-50, less the ask-bid spreads.

Ed

I planned that already, and I agree it should result in 50/50 minus 1 tick for the spread

 

[Loki45]

Quote from intradaybill:

That is a little more than a day's session for most futures and 1/3 of a session for forex. Hardly enough to claim any significance. You resutls are biased by selection.

I am not so sure. 8 hours is about 250 trades minimum, and if all 8 hour runs show negative results, it should be statistcally significant.

 

[ventus]

check to see how you're using stop and limit orders in your code

 

[intradaybill]

Quote from Loki45:

I am not so sure. 8 hours is about 250 trades minimum, and if all 8 hour runs show negative results, it should be statistcally significant.

You need at least 10,000 trades based on my experience in 1 minute timeframes to claim any significance of results. Some others say about 1,000 but I do not agree.

 

[Loki45]

Quote from ventus:

check to see how you're using stop and limit orders in your code

Not at all. After a time span determined by the random generator the trade is closed, no matter what the result is. Remember, this trading program is not about making money. The only purpose is to find out what the market's response is to randomly generated entry and exit orders.

 

[Stoxtrader]

Note, check the distribution of your random numbers. If they aren't random enough, try using a pseudo-random number generator (PRNG) or true random number generator (TRNG). (This may have minimal impact on your results for small number of trades, but is worth looking into as number trades increases.)

http://www.random.org/randomness/

 

[Loki45]

Quote from Stoxtrader:

Note, check the distribution of your random numbers. If they aren't random enough, try using a pseudo-random number generator (PRNG) or true random number generator (TRNG). (This may have minimal impact on your results for small number of trades, but is worth looking into as number trades increases.)

http://www.random.org/randomness/

I use the random class available in .NET languages, it generates pseudo random numbers; but I always change the seed value, so it should be "random" enough for my purposes.

 

[intradaybill]

Quote from Loki45:

I use the random class available in .NET languages, it generates pseudo random numbers; but I always change the seed value, so it should be "random" enough for my purposes.

You did not answer my question about the sample size. Why do you think 8 hours is enough to prove enything? It may be that in that sample, there is a positive expectancy for random entries.