Learning profitable automated trading

This is a discussion on Learning profitable automated trading within the General Trading Chat forums, part of the Reception category; Originally Posted by oildaytrader There are many ratios used to judge a good automated system CAGR http://www.investopedia.com/terms/c/cagr.asp Sortino ratio http://en.wikipedia.org/wiki/Sortino_ratio ...

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Old Apr 25, 2010, 10:19pm   #209
Joined Jan 2009
Re: Learning profitable automated trading

Quote:
Originally Posted by oildaytrader View Post
There are many ratios used to judge a good automated system

CAGR

http://www.investopedia.com/terms/c/cagr.asp

Sortino ratio

http://en.wikipedia.org/wiki/Sortino_ratio

Sharpe ratio

http://en.wikipedia.org/wiki/Sharpe_ratio

The system has been updated and shows the following over 5.5 years of back tests 2003 to mid 2008, after deducting 1 pip slippage.

Pips profit 214477
investment 50, 000
drawdown 10,000 /20 %
29867 trades
average 7.22 pips per trade profit after slippage 1 pip.
Cagr 77 %
cagr drawdown 3.85
The testing stops mid 2008 again, why is that? For goodness sake, if we don't know how it performed during late 2008 and 2009, what value is it?
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Old Apr 25, 2010, 10:23pm   #210
 
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Joined Oct 2008
Re: Learning profitable automated trading

none.
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"Let me issue and control a nation's money and I care not who writes the laws." Mayer Amschel Rothschild

Bullsh!t, Bearsh!t all smells the same to me!

"It is not cheap to develop automated systems , mine already cost over $1m. " oildaytrader
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Old Apr 25, 2010, 10:30pm   #211
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Re: Learning profitable automated trading

Hmm something to do with the decimal places changing, rite? Whichever, it's not statistically rigorous or robust. My guess is there would be a sharp fall off in performance during the Lehman mess.
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Old Apr 26, 2010, 3:51am   #212
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Re: Learning profitable automated trading

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Originally Posted by meanreversion View Post
Hmm something to do with the decimal places changing, rite? Whichever, it's not statistically rigorous or robust. My guess is there would be a sharp fall off in performance during the Lehman mess.
I explained the data situation, unavailability of data after mid 2009 and changes to 5 decimal.If you are on a live account , you don't need back testing .Anyway remainder of 2008 was good as I was partly on live and witnessed the performance, 2009 I was on live account and witnessed the market conditions and performance.

I stopped trading nfp days with triple directions of price , which were the biggest losers of money, so actual can only look better
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Old Apr 26, 2010, 5:59am   #213
Joined Jan 2009
Re: Learning profitable automated trading

Quote:
Originally Posted by oildaytrader View Post
I explained the data situation, unavailability of data after mid 2009 and changes to 5 decimal.If you are on a live account , you don't need back testing .Anyway remainder of 2008 was good as I was partly on live and witnessed the performance, 2009 I was on live account and witnessed the market conditions and performance.

I stopped trading nfp days with triple directions of price , which were the biggest losers of money, so actual can only look better
Unavailability of data after 2009? Changes to 5 decimal? What ARE you talking about?

Find a way to get round it, otherwise it negates all your results. Besides which, five years data isn't enough anyway, you should make it 10.
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Old Apr 26, 2010, 9:12am   #214
Joined Mar 2007
Re: Learning profitable automated trading

oildaytrader started this thread
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Originally Posted by meanreversion View Post
Unavailability of data after 2009? Changes to 5 decimal? What ARE you talking about?

Find a way to get round it, otherwise it negates all your results. Besides which, five years data isn't enough anyway, you should make it 10.
Alpari used to provide data but stopped providing it in 2009. Originally metatrader formatted data used to be available in four digits, brokers introduced 5 digits in 2008/9.Very little data was available in 5 digits.

http://thetrademachine.com/blog/2009...sting-quality/

We also back tested two more years from 2001 to 2002 , plus the the 5.5 years on the above tests equals 7.5 years back testing and 1.5 years of live accounts which overrides any backtesting.

What is more important than quantity is quality of testing.It is more important to test in periods of adverse market conditions, which the period tested covered,
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Old Apr 26, 2010, 9:15am   #215
Joined Jan 2009
Re: Learning profitable automated trading

Hmm, so in a couple of years time you will still be showing charts which end in May 2008? Won't that seem a little odd?

Get a different data provider, or re-code to allow for the change in decimal places (why this makes any difference I have no idea, but whatever..).

OR stop referring to out-of-date, redundant charts.
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Old Apr 26, 2010, 9:37am   #216
Joined Mar 2007
Re: Learning profitable automated trading

oildaytrader started this thread
Quote:
Originally Posted by meanreversion View Post
Hmm, so in a couple of years time you will still be showing charts which end in May 2008? Won't that seem a little odd?

Get a different data provider, or re-code to allow for the change in decimal places (why this makes any difference I have no idea, but whatever..).

OR stop referring to out-of-date, redundant charts.
From 2010 I started collecting my own data from live feeds.

Does 2.5 years of data /backtesting really matter , when there have been forward testing and live accounts trading?On backtests you get instant fills , whereas on real markets there is liquidity issue , non fills and spread widening .None of this reflected in back testing.

I design my systems for future trading and trading in difficult adverse market conditions.

Here are two more years testing from 2001 to 2002.
Attached Thumbnails
214000-2001.jpg  
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