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What do you think of this strategy?
- Thread starter chaykapwr
- Start date
Cool,
How many years backtested?
How many trades in test?
How many ticks of slippage are calculated in test?
Have you accounted for commissions in the test?
Have you forward tested?
Have you used out of sample data to test?
Use limit orders for entry? Stop orders for entry?
Limit orders for exit? Stop orders for exit? (so you can accurately account slippage)
Biggest Draw down?
Not trying to be critical or negative... just making sure you cover all your bases before going live with it.
How many years backtested?
How many trades in test?
How many ticks of slippage are calculated in test?
Have you accounted for commissions in the test?
Have you forward tested?
Have you used out of sample data to test?
Use limit orders for entry? Stop orders for entry?
Limit orders for exit? Stop orders for exit? (so you can accurately account slippage)
Biggest Draw down?
Not trying to be critical or negative... just making sure you cover all your bases before going live with it.
Quote from Zr1Trader:
Cool,
How many years backtested?
How many trades in test?
How many ticks of slippage are calculated in test?
Have you accounted for commissions in the test?
Have you forward tested?
Have you used out of sample data to test?
Use limit orders for entry? Stop orders for entry?
Limit orders for exit? Stop orders for exit? (so you can accurately account slippage)
Biggest Draw down?
Not trying to be critical or negative... just making sure you cover all your bases before going live with it.
Random Sampling over 7 years
Trades are over 500
Averages 200-400 trades per year
Did not account for slippage because i use limit orders, not market orders.
Even if i used 2 tick slippage it wouldnt matter because for these tests I used fixed first and second target and most of the time it well beyond those targets so even with slippage i would just move the exit price down.
Average winning trade is $209 so commissions are minimum
Forward tested for the past year, you can see some of my calls in various threads.
Ive tested this on all times frames, i have also tested on all markets. Similar win % going back to 1929 on a weekly chart (74%)
Limit for both
now I know you wont believe this by my max drawn never exceeded 8%
For example, for 2004 my return (uncompounded) was 100% approx. and my max dd was 6%
I decided to do an equity curve for a random sample of trades. Here it is
http://screencast.com/t/L9wRNY5h1h
http://screencast.com/t/L9wRNY5h1h
?
Quote from chaykapwr:
Random Sampling over 7 years
Trades are over 500
Averages 200-400 trades per year
Did not account for slippage because i use limit orders, not market orders.
Even if i used 2 tick slippage it wouldnt matter because for these tests I used fixed first and second target and most of the time it well beyond those targets so even with slippage i would just move the exit price down.
Average winning trade is $209 so commissions are minimum
Forward tested for the past year, you can see some of my calls in various threads.
Ive tested this on all times frames, i have also tested on all markets. Similar win % going back to 1929 on a weekly chart (74%)
Limit for both
now I know you wont believe this by my max drawn never exceeded 8%
For example, for 2004 my return (uncompounded) was 100% approx. and my max dd was 6%
"What do I think of the strategy?"
Looks good. Go make your fortune and report back.
Looks great. Well done ...
Perhaps you have already eliminated this as an area of possible uncertainty, but if you are using NinjaTrader, you can get (an overly pessimistic) feel for this by using Fill Type = "Default" setting, i.e. assume limit orders only fill is price moves at least 1 tick beyond your limit price. If you are not using NT, I would assume other packages have something similar.
You were forward testing on real-time market data? i.e. ticks?
With limit orders, slippage manifests itself in not getting filled when you want to get filled (because you are too far down the order queue to get filled) [Others may not call this "slippage", but let's not all get into an argument about what it's called ...]. If in real trading you miss some of the winners that you would have got in forward testing, sometimes the strat's stats can look quite different...Quote from chaykapwr:
... Did not account for slippage because i use limit orders, not market orders...
Perhaps you have already eliminated this as an area of possible uncertainty, but if you are using NinjaTrader, you can get (an overly pessimistic) feel for this by using Fill Type = "Default" setting, i.e. assume limit orders only fill is price moves at least 1 tick beyond your limit price. If you are not using NT, I would assume other packages have something similar.
You were forward testing on real-time market data? i.e. ticks?
Quote from chaykapwr:
I decided to do an equity curve for a random sample of trades. Here it is
http://screencast.com/t/L9wRNY5h1h
It is quite possible that you have implemented a look ahead of some kind in your backtest or you have fallen a victim of a backtesting flaw in the software you are using. These are typical in all platforms.