What do you think of this strategy?

[chaykapwr]

Quote from bwolinsky:

That's probably a backtest in excel, vba, or custom chart.

Yes, it is obvious that that's peeking. Re-check your settings and making sure you're not looking at a future bar to make your decisions. No jaggedness and the fact it's a custom chart in excel implies this doesn't work in reality because of peeking.

The equity curve is not realistic, and was not produced in any standard platform and I know because I've seen them all, and yours is a custom chart probably out of excel.

If it's in excel, you can admit it, but it's not really that it is an excel chart but that I know equity curves that smooth aren't realistic, no matter what newbie argument you'd like to give about it.

For one thing, I do not consider myself a "newbie". Second, there is no peeking. I.e. I do not wait for close of bars, or crossovers, or oversold conditions.

The core of my system is this, if it hits zone, buy, stop and first target set.

How can it be peeking if it is forwarded tested? Look at some of my calls, all based on my system.

Yes it was excel, i imported trade results there and made a quick chart

 

[bwolinsky]

Quote from chaykapwr:

For one thing, I do not consider myself a "newbie". Second, there is no peeking. I.e. I do not wait for close of bars, or crossovers, or oversold conditions.

The core of my system is this, if it hits zone, buy, stop and first target set.

How can it be peeking if it is forwarded tested? Look at some of my calls, all based on my system.

Yes it was excel, i imported trade results there and made a quick chart

I don't care about your calls. I've never seen them.

If you're not basing your entries and exits on the close of bars then you are peeking through intrabarorder assumptions that produce fills before the bar is complete and your check for 1 tick past is the likely culprit.

Trailing stops are likely to be the main problem, though.

 

[chaykapwr]

Quote from bwolinsky:

I don't care about your calls. I've never seen them.

If you're not basing your entries and exits on the close of bars then you are peeking through intrabarorder assumptions that produce fills before the bar is complete and your check for 1 tick past is the likely culprit.

Trailing stops are likely to be the main problem, though.

Please explain intrabarorder assumptions further.

Trailing stops are not used.

 

[bwolinsky]

Quote from chaykapwr:

Please explain intrabarorder assumptions further.

Trailing stops are not used.

Depending on when you submit your orders, and what your timeframe is, you can end up reporting fills based on limits that may have been partially filled. If your system transmits the order at any time, then it is an intrabar order generation problem. If there is no timeframe other than daily it sounds like you may be leaving day limit orders set AON out there.

As a matter of theory, if you have something looking back a certain number of cells making decisions or you have it coded, the curve looks to be peeking and if your sharpe ratio is greater than 2.5 I guarantee that it is.

 

[chaykapwr]

Its like this as a hypothetical , if the zone is at 1200, buy 1200, stop 1190, target 1210, if price moves to 1189, regardless where in the bar relative to the close it is i would have been stopped. I dont understand how this would involve peeking.

 

[bwolinsky]

Quote from chaykapwr:

Its like this as a hypothetical , if the zone is at 1200, buy 1200, stop 1190, target 1210, if price moves to 1189, regardless where in the bar relative to the close it is i would have been stopped. I dont understand how this would involve peeking.

The time frame is what I need. If on daily it's possible to get fills on both sides, where both stop and limit hit.

 

[chaykapwr]

time frame is a 10 min frame

 

[abducens]

Does it mean that if it is a 10 min bar you could have a buy signal generated at 5 min that gets stopped out but the close of the bar could be a sell, what happens in between, and what does the system report this as?

 

[chaykapwr]

Quote from abducens:

Does it mean that if it is a 10 min bar you could have a buy signal generated at 5 min that gets stopped out but the close of the bar could be a sell, what happens in between, and what does the system report this as?

This could never happen, buy and sells signals never happen that close to each other. The only thing that could happen would be a sell, stop, and sell again in the same bar. However, this would be counted as, entry, stop , entry.

 

[bwolinsky]

Quote from chaykapwr:

This could never happen, buy and sells signals never happen that close to each other. The only thing that could happen would be a sell, stop, and sell again in the same bar. However, this would be counted as, entry, stop , entry.

That is peeking.