I finally have a strategy that backtests very nicely. Ironically, over the last month or so I have programmed many strategies that I thought would work well, which kept failing miserably. And wouldn't you know it I started seeing profits.
Strategy creating 95%-100% winning trades
I added a few tweaks and played with different settings and now I have these results below. This is on the ES Sept contract , Jun1 to now I don't like losing that much money on just one trade, but the retracements can take a while and they need room to wiggle to achieve high success ratios. I'd rather have a higher probability of success than more money with higher account volatility.
I'll post updates as I proceed. Can you help answer these questions from other members on futures io? Elite Quantitative Trading. Stocks and ETFs. Big Mike. We're here to help -- just ask For the best trading education , watch our webinars Searching for trading reviews?
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The following user says Thank You to jackyd for this post: sjenntrader. Hey Mike, is it that the SetProfitTarget is generally unreliable with the strategy analyzer, or is there an actual bug? This is dangerous!! Trading on something and not knowing why it works on the reverse. Good Luck!! I have also found that using "Strategy Analyzer" for back testing and optimizer produces results that do not bear out in live or replay. I basically use back testing and optimizer to hone in on a strategy and then use replay to actually get the correct results.
One other "KEY" is the data feed. As an example, I was running a strategy I am working on, on two PCs concurrently live today. Same strategy, on both. One was getting the feed from IB and the second from Zen-Fire. The IB feed triggered an ill timed trade and ended the day with a loss. I guess IB sends out the tick data without a time stamp so the PC clock is used, and Zen-Fire includes the time stamp.
Anyway, running the same strategy on two different feeds ended up with a huge difference in results.
Coding activity 2
For back-testing purposes replay , I think it is critical to have time-stamped data so realistic results can be found. The following user says Thank You to dsherman for this post: platypus. I think that has to do with fills. If price does not move past your bid or ask price, it will be somewhat random if you get filled.
It seems to me that during replay, NT is too generous on those fills, vs when running live or live sim.
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Eastly August update I still plan to run this in Market Replay, just haven't gotten around to it yet, need to get more familiar with it and download some replay data from the downloads section. I actually looked at this "accidental discovery" a little more and realized it was doing something much simpler. I have since re-coded it in a more simplified manner it can be easily coded with the Strategy Wizard and am getting similar results.
I turned it on live with one contract but it would occasionally lose the connection to Zen and the strategy would stop running. So I'm working on moving it off of running on the desktop in my house and over to a server at my co-location site, hopefully reducing disconnection problems. Also, I'll need to separate my auto-trading acct with my discretionary trading acct so I can have 2 instances of NT connected to Zen at the same time so the automated strategy can run on one account without my discretionary trading interrupting it.
Does anybody know how to make your strategies recover from a disconnect? I know NT has something like a OnDisconnect event you can implement but I'm not sure what to do to re-connect. I'll have to look into NT's forums I guess. But for them the rest of us could not succeed. So far so good!
More details are in my journal. Nice start; keep us posted! What's new on this? I've had it running for 1 month now. It's called BOT1. I log its trades in my trading journal. Success rate in reality is lower, but still profitable overall. I am taking a guess you are using limit orders and are either getting filed on the same bar, so the OHLC order is unknown, or it could be the SetProfitTarget bug, or any number of other bugs.
I use market orders on bar close. I recently started backtesting with 2 ticks of slippage in an effort to try to simulate real market scenarios and try to compensate for poor fills. It's not so much about market velocity, more about wide spreads, especially with forex futures 6E.
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I usually get worse market order fills on 6E than I do with more liquid instruments like ES. Spot forex often has even wider spreads, though I wouldn't know for sure. One person I was talking to was used to entering a FX trade 4 pips down! At any rate I want to handicap my strategies a bit to prevent too overly-optimistic backtesting results. Yeah, I got one of those, too. Van Tharpe himself would be applauding -- which makes me wonder if I'm not sitting on a Holy Grail after all.
I'm still goofing with it, but it looks pretty darn promising. It's fully automatic -- no discretionary trades in there at all. It doesn't like to go short much, and it will sometimes let long stretches of time go by without seeing anything it likes at all -- literally, no trades for a period of weeks. I'll try and post a pic of the graph. Attached Thumbnails.
LYNX API Documentation
Trade with the flow. Yeah, back-testing it, the strategy actually is continually profitable with those bizarre parameters, but I have a personal rule about throwing away the single best trade from any back-test as an outlier. It does back-test well, profitable continuously, but when taking away that single best trade from each back-test, it's flattish in performance. Let's see if I can attach the results image:. By the way, I don't have any problem with the concept of using optimized parameters as a rule -- I do happen to think the market is essentially chaotic in the sense that the human mind can not grasp the structures that exist within it -- and that an optimal strategy over time will probably end-up capturing some kind of deep, fluctuating rhythm in a variance across time , i.
A computer can identify a "rhythm" of 1, beats per measure, and measures per bar, when processing an audio clip of random traffic noise -- but again, to the human ear, it's just random noise. I hate speaking in metaphor, but the market is much the same. Patterns do seem to be there; they're just too deep for us to be able to actually identify them.
Anyhow, my basic point is that weird parameters by themselves don't necessarily force me to abandon a strategy. The following user says Thank You to cunparis for this post: gers Actually the whole point of chaos theory is that chaotic systems, while they are complex and unpredictable in certain respects, they are also inherently deterministic and thus understandable and predictable in the large sense. What that means is that while you cannot predict the exact trajectory a chaotic system will take, if you understand its dynamics you can predict where it is headed on a larger scale and places it might stop along the way think Gann techniques, Murrey Math lines.
Chaotic systems are also controllable in many cases.