good day to everyone,
i only joined this forum very recently and it has been a very positive decision. i want to share some screengrabs of performance reports for some strategies i have developed on tradestation.
here you go:
nymx's cl contract:
rb
ng
cme currency and index contracts as well
over a really long time i have developed these strategies that generate absolutely spectacular results on backtests. so that my backtests and evaluations were credible and actionable upon, all these strategies were optimized from january 2006 to december 2013 and all the trades from 2014 onwards happened out of sample and could be considered to be highly realistic and very promising. these reports include values of around 6 usd in commissions per trade and also very credible values of around 30 - 40 usd in slippage per trade.
overall this has been a very frustrating process and at the moment i find it hard to believe that profitable day trading automated strategies for retail traders can exist. it has been a couple of months since i last worked at all on these strategies and evaluations and i might yet go back to them at some point in the future but i'm too discouraged right now after months of erratic results on simulated accounts. for a long time i have been chasing after the dream of day trading for great profits either by hand or by means of automated systems, but i have now arrived at the conclusion that it is impossible to beat all the noise that happens inside the regular trading session. i now think that trading for longer periods on daily bars and - or with disciplined options strategies are the safest and most feasible methods for retail traders.
- one thing i'll say is that anyone who was a piece of crap would no doubt try to use these strategies to defraud novice traders for big money. they can be adjusted to produce spectacular historical results on pretty much any symbol one chooses even when very significant slippage and commission costs are included while relying exclusively on market orders. as i have said, this spectacular performance holds up even for extensive out of sample data.
- the results when executing these strategies live (on tick by tick data) are quite different from historical results and it is all because the historical data that tradestation charges for and provides is useless. i have done extensive tests with my strategy on simulated and live data and results don't match the results on historical data at all.
i have used range, momentum, kase and even large minute bars (30 and larger) to test these strategies on and on historical data tradestation assumes these bars have been built in a completely unrealistic way. these bars are treated as if price had gone in a straight line (either up or down) for the range one specifies. this is really helpful to filter noise out and to better identify big trends, but this also makes historical data completely unreliable.
so, anyone who was thinking of also using range, momentum or kase bars to build their strategies around them should not waste their time with them, they are useless.
- the specific issues have to do with both breakeven and trailing stops.
my strategies use both of these kind of orders to manage trades once open. first i have a stop loss order when a position is opened and if price moves in my favor, a breakeven stop order replaces the stop loss and then a trailing stop is used to secure profits.
the thing is that when using these "advanced" bar types, on historical data it would seem like breakeven stops would only be triggered in useful circumstances like when a trend reverses immediately and permanently, but on live data, breakeven stops are triggered all the time as it is common for price to move in one's favor for some ticks and then go back and cross the entry price once or multiple times. therefore, on live data all this noise which "advanced" bar types just ignore causes breakeven stops to be triggered continuously and the strategy to pile up a huge number of minuscule and small losses while killing practically all trades that would have been profitable.
trailing stops are also problematic when used with "advanced" bar types as trailing stops which are too tight show great results on historical data. they seem to lock up the largest profits possible (once again because of the assumptions with which range, momentum and kase bars are built) but on live data the biggest winning trades which end up being what make the strategies profitable would always be killed prematurely.
- reaching these conclusions has taken me months of tests and has meant months of work and development on this strategy have been for naught. it wasn't until i posted screengrabs of the difference between historical and live trades for my strategy and complained in tradestation's fora that their staff found it appropriate to refer me to a post that reveals how "advanced" bars work and are built. tradestation only keeps the latest 6 months of tick data for any symbol, which is too short a period to develop a consistent strategy, all the years of other historical data they charge for and advertise are useless. i'd love to have tradestation advertise their data services like that: - only 6 months of minimally reliable data but years and years of useless trash -.
if anyone has any suggestions or comments, it would be nice to read their points of view. very well, regards.
I recommend that you (and anyone else) don't attempt to trade any of your strategies with real money. When I began writing code for automated strategies, I soon discovered several ways to produce equity curves like the ones you show. None of these perfect-looking systems can be traded for real. 'Nuf said.
