Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; A degree of freedom is simply a parameter or variable you can change. So, for example, a system which stakes ...

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Old Sep 14, 2010, 8:12pm   #433
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Re: Deadline June

A degree of freedom is simply a parameter or variable you can change. So, for example, a system which stakes 1 pct of equity when a 10 day MA crosses over a 50 day MA has 3 degrees of freedom. Generally, any system with more than 5-6 degrees of freedom (I know it's not many) will be less likely to work over several markets under varying conditions.

There is no question that developing a system takes hard work. I spent about 3-4 months researching and backtesting before trading a medium term trend system, at the start of this year.

There are a limited number of ways to trade. You're either looking for breakouts/trends, or range behaviour/reversions to the mean. Let's say you choose breakouts.. whether you buy on the breakout of a Bollinger band, or a Donchian channel, it's kind of the same thing.. over time the systems will look broadly the same.

The real challenge comes in sticking to the system. If you design a system with positive expectancy, then you might save money by skipping one signal, but if you keep doing it you will eventually come a cropper. This is the psychology side, and it's far more important than the system itself.

Think about backtesting.. you're trying to find something that has performed well in the past. Almost by definition, it's unlikely to perform as well in the future.

So in summary --- don't spend TOO long on the system development side.. that's kind of the easy part compared to the mental challenge of sticking with the system. You mention a system that looked good in testing then "blew up badly".. this is exactly what I mean. You have to suck it up through the drawdown and trust in the positive expectancy.. this is the hard part, believe me.
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Old Sep 14, 2010, 8:46pm   #434
 
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Re: Deadline June

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Originally Posted by meanreversion View Post
You mention a system that looked good in testing then "blew up badly".. this is exactly what I mean. You have to suck it up through the drawdown and trust in the positive expectancy.. this is the hard part, believe me.
You are (probably quite justifiably) assuming the worst about my actions - however I did mention the data situation - I had more reason to pull the plug on the system that just a bad 2 weeks.

I subscribed to FXCM because the IB historical data servers were absolutely appalling - I had connectivity issues and even when I didn't have those issues, IB kept on stopping NinjaTrader with "pacing violations" which is the IB euphemism for its bandwidth throttling to prevent customers overloading their puny little historical data servers.

NinjaTrader can't start running an automated trading system without downloading lots of data for it, so I had real problems just starting my systems.

The FXCM subscription solved that issue brilliantly and also gave me access to a month of tick data and 5 years of 1 minute data. When I repeated the backtests for my system, it tested unprofitable. So on one set of data (Disktrading) it was good, and on another set it was bad. As far as I was concerned, I had no credible positive expectancy anymore.
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Old Sep 14, 2010, 9:44pm   #435
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Re: Deadline June

Fair enough, I understand you've had technical issues. Nonetheless, the original thread title was "Deadline June". I've found it useful to set myself deadlines and to try to get there.. I'm not suggesting for a minute you aren't busting your gut, but when do you think you'll be properly up and running, October?
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Old Sep 14, 2010, 10:31pm   #436
 
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Re: Deadline June

Adamus started this thread I keep forgetting I called the journal 'deadline june'. Take it as an artifact of the T2W journal implementation.

I should have just called it 'The Adamus Journal'.

It did serve a very useful purpose in helping me to get my show on the road. Admittedly my show is not on the road, but I'm at a stage where I can't really improve my working approach anymore by heaping a sense of time pressure on myself. I used to waste days (even years) on irrelevancies. Now my time is wasted just by technical issues and I have learnt to prioritize and focus much better.

As for when I reckon I will get the show on the road, I don't know. Next week probably. It all depends on how that "positive expectancy" is looking.
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Old Sep 15, 2010, 3:33pm   #437
 
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Re: Deadline June

Adamus started this thread "Ours is an uncertain world, though fortunately not all things are equally uncertain."

I just started reading an article on Bayesian statistics, and when the first sentence makes me stop reading and scratch my head, I usually stop. I should have stopped this time. The second sentence was completely incomprehensible

Anybody got any interesting references for Bayesian statistics? There's no Bayesian Stats for Dummies book.
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Last edited by Adamus; Sep 16, 2010 at 3:23pm.
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Old Sep 15, 2010, 4:14pm   #438
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Re: Deadline June

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Originally Posted by Adamus View Post
I keep forgetting I called the journal 'deadline june'. Take it as an artifact of the T2W journal implementation.

I should have just called it 'The Adamus Journal'.

It did serve a very useful purpose in helping me to get my show on the road. Admittedly my show is not on the road, but I'm at a stage where I can't really improve my working approach anymore by heaping a sense of time pressure on myself. I used to waste days (even years) on irrelevancies. Now my time is wasted just by technical issues and I have learnt to prioritize and focus much better.

As for when I reckon I will get the show on the road, I don't know. Next week probably. It all depends on how that "positive expectancy" is looking.
Are you completely comfortable with the mechanical side of things, i.e. order proccessing, trade management etc., it's just the actual trading rules you need to sort out?
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Old Sep 15, 2010, 4:33pm   #439
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Re: 3 sets of historical data

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Originally Posted by Adamus View Post
I'm going to try posting some results here from backtesting the same trading system on different data:
Code:
Provider    Profit  Avg Trd  Total Net   Max. DD      # Trd   Hit     Avg Win    Avg Loss
            Factor                                            Rate
FXCM        1.15    52.11    69925.70    -11032.15    1342    28%    1480.85    -491.76
DTC         1.05    21.20    29044.57    -12602.23    1370    27%    1526.17    -527.42
IB          1.16    57.63    76593.70    -9724.35     1329    28%    1488.63    -488.29
.
.
I expect that table will have the format scrambled by trade2win but hopefully it shows the differences.

This is 10 pairs on one year of data of 1 minute bars using my version of the 3Ducks system.

IB and FXCM data give pretty much the same sort of results surprisingly. Often FXCM data is just as different from IB as DTC.

This helped me appreciate what I'd known theoretically for a long time but hadn't internalised, that backtesting results are nothing. I just hope that the systems that backtested and then forward test profitably also turn a profit in real time.

NB NinjaTrader spits out the average of the max drawdown for the basket - not the max max drawdown.

This system is good, because it wins on all three data, but I have some systems which looked great on one data but were just miserable on the other sets.

I guess the message here is that it's good to have two sources of data to backtest on.
Adamus these results look encouraging! You should forward test your strategy for a month to see if it matches up with the backtests. What lot size are you using in your testing? How many pairs show positive results over the test period? Looks like you might be into something here....
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Old Sep 15, 2010, 11:19pm   #440
 
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Re: Deadline June

Adamus started this thread
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Originally Posted by meanreversion View Post
Are you completely comfortable with the mechanical side of things, i.e. order proccessing, trade management etc., it's just the actual trading rules you need to sort out?
I'm satisfied I can handle the mechanical side of things, although I'm not comfortable with it. NinjaTrader 7 beta will no doubt cause me some losses and there's no doubt it costs me a lot of time in reporting the bugs, but there's a good chance that they will manage to stabilise the product in the near term future.

I'm also satisfied with the trading rules for the 3Ducks system, although I would be happier if there was less risk and I could probably achieve that if I did some more work on the exits. I'm currently unable to find a trailing stop that I'm happy with.
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