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Strategy creating 95%-100% winning trades


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Strategy creating 95%-100% winning trades

  #31 (permalink)
Autobot
Ottawa, Canada
 
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sefstrat View Post
Just to show you its possible..

This strategy is somewhat naive in that it could be making a lot more profit with a lower win%. It is only taking scalp orders with relatively tight MM, if I enabled the swing orders the win% would go down but profit factor and overall profitability would go way up. (disregard the fact the orders are labeled swing on the chart, its a bug..) I posted details about my MM system on another thread yesterday if you are interested..

Note that I do not trade this exact strategy live but I do trade others very similar to it and the results are valid, its not a ninja backtesting bug =)

(in real trading my win% is low 90s, but win% is irrelevant really.. only profitability and stability matter (stability means low, consistent drawdown, no outliers))

Edit: added another image of the chart from this backtest.. you can see that it is able to isolate tops (and bottoms) very nicely

Your backtest/optimization was for about 2 weeks of data...what is the outcome using a more realistic time period, e.g. at least 12 months?

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  #32 (permalink)
 
sefstrat's Avatar
 sefstrat 
Austin, TX
 
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Autobot View Post
Your backtest/optimization was for about 2 weeks of data...what is the outcome using a more realistic time period, e.g. at least 12 months?

I've been trading similar strategies with real money for ~8 months, the results are comparable.

Note though that this backtest only used scalping orders, the real strategy has runners which generate much more profit but bring the win% down some as they have looser stop criteria. I would not trade the strategy as pictured IRL.

Long term backtesting is pretty pointless BTW for a scalping type strategy where the primary factors that matter cannot be backtested (ie, timing factors). If doing longer term trades it is somewhat useful as long as you don't fall into the optimization overfitting trap..

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  #33 (permalink)
 
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 gabga100 
New York
 
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I can pull strategies that over 350 trades are 98 % profitable ...

And the when I test them live they fail ...


Watch out there is alwasy a big gap between the 2 worlds ....


Let me know if you need any screenshots to prove it ....

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  #34 (permalink)
 
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 Big Mike 
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gabga100 View Post
I can pull strategies that over 350 trades are 98 % profitable ...

And the when I test them live they fail ...


Watch out there is alwasy a big gap between the 2 worlds ....


Let me know if you need any screenshots to prove it ....

First guess would be you are using minute charts, and if you examine the Trades tab on the backtester it will show bars in trade to be 1. So since backtester doesn't know the order of OHLC, the win % is off the charts, while in real time it's terrible.

If this isn't the case I'd be curious for more details if for no other reason than to educate more people about problems like this.

Mike

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  #35 (permalink)
 
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 gabga100 
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Hey that is probbaly a reason , even if I never had a chance to investigate it further ...


Let me double check .... will try to post some screens later

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  #36 (permalink)
 
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 gabga100 
New York
 
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By the way the best way to avoid data fitting is running a walk forward optimization .....

If it gives good results then usually the strategy is profitable .....

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  #37 (permalink)
Autobot
Ottawa, Canada
 
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sefstrat View Post
I've been trading similar strategies with real money for ~8 months, the results are comparable.

So why haven't you retired to Barbados with a pile of cash already?? With 80% winners (lower than your ~90%), you only need the profit factor (average win/average loss) to be >0.25 (in other words you ave loss can be 4x than your ave win) to have a positive ROI (albeit with a low expectation of ~0.01)...With 80% wins and a profit factor of just 1 (i.e. ave win = ave loss), the expectation is ~0.6!

It would be intersting to know what your %win and profit factor is...and of course the best way to silence any doubters is to post the equity curve from your 8 months of trading with real money Can't wait to see it

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  #38 (permalink)
 
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 Big Mike 
Manta, Ecuador
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gabga100 View Post
By the way the best way to avoid data fitting is running a walk forward optimization .....

If it gives good results then usually the strategy is profitable .....

I agree, but it has the same limitations if using minute data and can still be completely inaccurate. It's best to code strategies to use tick data or to write strategies so they cannot take profits until after the first bar, or to just dump the trades tab into csv and turn every winner on bar1 into a loser, and see if it's still profitable.

Mike

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  #39 (permalink)
 
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 gabga100 
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Big Mike View Post
I agree, but it has the same limitations if using minute data and can still be completely inaccurate. It's best to code strategies to use tick data or to write strategies so they cannot take profits until after the first bar, or to just dump the trades tab into csv and turn every winner on bar1 into a loser, and see if it's still profitable.

Mike


Perfectly agree with that ....... I will try .... I can PM you the strategy so we can take a look together .... I am working on completely different strategies anyway.....

I beleive that one big problem affecting it is also curve-fitting .....


Now related to tick strategies , I agree itis much more accurate ..... but I have never been able to test on tick data ....each time it returned 0 $ ( with both IB and TD) when I tried... any advice ?

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  #40 (permalink)
 
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 cunparis 
Paris, France
 
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gabga100 View Post
If it gives good results then usually the strategy is profitable .....

I disagree. I've written lots of strategies, ran probably 6-8 with real money, probably 4 for several months or more. They ALL fell apart. The market is constantly changing and it's not easy for a strategy to hold up. I have only one that has held up and it uses daily data. I don't trade it cause it has large drawdowns.

Mike - From what I understand Ninja cannot reliably backtest when one enters & exits on the same bar. You can enter or you can exit but not both on the same bar. I believe this limitation is for all bar types including tick. When you backtest a tick chart it doesn't go tick by tick, it uses the OHLC of the tick bar. Please correct me if I'm wrong.

Any more I have given up on automated strategies. Even to test an idea. Now I just write a little indicator that will mark the entry bar with a dot and I draw a line for the target & stop (if it's fixed). Then I eyeball it to see if it will work. The dot can help me trade it real time. I write out the MFE & MAE for each trade in excel and then I compute the average and refine my target & stop. I've had far more success with this method than with automation. Staying out of chop and news is not easy to do in automation. Also I use the daily range to anticipate for the day.

It's just too complex for me to program it and i'm a professional software developer by profession. My current project is rewriting from scratch the system that analyzes tv audience (like the Nielson ratings). It's really complex but in my opinion not as complex as an automated strategy!

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