REAL backtesting isn't easy

Originally posted by Gordon Gekko
i've seen a lot of tradestation systems posted here and i use tradestation myself. i have come to the conclusion that most people aren't skilled enough to ACCURATELY test a system. i'm not just talking about slippage, etc. here. i'm talking about trade management. some people here may know what i mean. when i think of adding real trade management techniques to a tradestation system, MY MIND IS BLOWN. for this reason, i'm thinking of cancelling tradestation. not that tradestation isn't capable of doing it, i'd say most PEOPLE don't have the skills (including myself). however, it may still be useful for testing some strategies, but keep in mind it probably isn't a real world back test of how your trading system would/should be done. just my opinion....

p.s. this may depend on the strategy being used.
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This is 100% true IMHO.

nitro
 
I've found that getting into a trade with a strategy seems quite easy, but programming the correct exit point seems futile. Flat $ stop loss and profit targets seem the only way that works. Even trailing stops present a problem.

Of course it would help if I could even believe what the TradeStation results told me, since on several occasions i had "theoretically" been profitable on over 112% of my daily strategy trades. (and yes, not made 112% profit, but 112 % of trades were profitable.!!) and the percentages usually make no sense whatsoever.
 
I don't understand what the problem is?

I have been following a system for over a year and don't have

much problem...My results in realtime has acutally beat my

backtesting results...

you are thinking too much...GG...

if you don't have any luck at discretionary trading..

you really should go systematic...


I am really really glad that I went systematic instead of

discretionary when I started trading...

It probably save me heaps of money and taught me alot about

the market...

I think good system are based on fading human nature

and good "discretionary" trading is based on fading the trader 's

own decision..(when he FEELS the need to buy ..he sells)

and it's much harder to fade yourself then fade human nature..
 
There's 2 problems with most of you, including me:

1. Bad coders. You mention exits and someone else mentioned trendlines and divergences. It can be coded and if it's a technical analysis, I've been able to code them. Sure it gets, complicated or sometimes (most of the time) becomes a long code. No problem for me in this part...

2. You don't understand your trading style, for this being system trading. This part is my problem also. I trade with discretionary decisions. There are some trading decisions that I have a good conceptual idea but I don't have it crystal clear for me to quantify how I decide. This includes a lot about Gann and some parts with using Market sentiments like which markets correlates and which market leads what. Some time of the day, the TICK may lead the market, sometimes, MSFT or INTC may lead... still need some working on this part...

Exits... Yes, it's harder because for entry you have a choice to get in at your own optimal time. For an exit, you have to get out at some point, and you have a limited freedom of how... One thing you should consider is why you got in... Lack of understanding the entry signal usually leads to confusion in setting a exit signal. Is the signal a trendfollowing, counter-trend, momentum, scalping, and etc.. What's the nature of the signals? Entry determines how you want to trade, exits determine how you want to profit, relatively.

Again, my old cliche, you need to understand your trading style more. 95% of all problems in trading can you solved by understanding and accepting yourself.
 
Quote from TSaimoto:

95% of all problems in trading can you solved by understanding and accepting yourself.
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TSaimoto, my inner child would like to schedule an appointment with you.
 
I would have to agree with the previous poster who speaks about only way to exit seems to be target / stop loss.
I am referring to short term (1 minute data) systems here.
The only other way I have found to "optimize" the exit is to place a trailing stop in (on big profits - so that the target does not get completely lost and my stop is reached).
 
I started using this below a few weeks ago right after seeing their booth at the Vegas expo and I am throughly impressed.

http://www.tradeoptimizer.com/

http://www.tradeoptimizer.com/overview.asp

I am going to write a more comphrensive review of it in the software section next week, but thus far it is has exceeded my expetations across the board.

Much much easier to use than tradestation and wealthlab too. I mean its not even close.

Definitely worth a look if your like me and feel that traders shouldn't have to be programmers too. Hell, trading is time consuming and hard enough by itself. Why should we have to struggle with programming too.

:p

:cool:
 
"... when i think of adding real trade management techniques to a tradestation system, MY MIND IS BLOWN"


This just shows the immense entry barriers to systems development.

This kind of stuff is pretty much trivial for an experienced programmer.


You GOTTA learn to program well, AND learn the markets.
Then your a DEADLY systems developer :D

Ive got one side of the equation in the bag, and have
been self teaching myself the other side.

If I master the markets to the same degree i've mastered
programming....it's all over babyyyyyy :D


GG, when you learn to program really well, you will look
back at your current dilemmas and laugh.
Your problem is simply this: Your programming inexperience is
getting in the way of your trading system discoveries.


peace

axeman
 
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