Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; When I look at my trading account and see the negative performance on a lot of these currency pairs for ...

Reply
 
LinkBack Thread Tools Search this Thread
Old Sep 4, 2010, 6:01pm   #414
 
Adamus's Avatar
Joined Mar 2008
Exclamation Portfolio Selection

Adamus started this thread When I look at my trading account and see the negative performance on a lot of these currency pairs for the different systems I'm running as NinjaTrader strategies, I get this really strong urge to go through the systems and turn some of them off.

This cherry picking though is just another form of curve-fitting, albeit at the portfoio level rather than the backtesting level.

See this link:

The cherry-picked optimized portfolio trap

So I'm using the 3 Ducks for instance, and a pivot-based swing trading system, and I'm trading them on 10 pairs. I've got a couple more in the oven but they're not ready yet, plus a load of ideas that will take me ages to get programmed.

I should be concentrating on programming more but instead I'm eyeing my profit and loss and wondering which ones I should turn off.

It's true that the different pairs all have their own characteristics and I'm starting to be able to look at a chart and to know what pair it is - or at least what group of pairs it comes from.

Now if I could write programs that can benefit from what I see, then I'd know I'd made it as a trader.

But at the moment the most I can do is to optimise the parameters for the different pairs. There's no point trying to trade the GBP/USD with the same parameter for MA or ATR as the Yen.

That's not to say that I'm going to stick rigidly to this idea as some sort of dogma - I've had a couple of systems that only ever worked on one pair, and trying to get them to work on any other pair was fruitless. But I think if a system works on 3 or 4 pairs, then it should work on all pairs. At least across all ten pairs, the system should show a profit, even if I have to allow it to have one, max 2, bad markets - which I still include, unless the equity curve on the pair looks like a stairway to hell. Then that's a problem.
__________________
What matters most is how well you walk through the fire.
Adamus is offline   Reply With Quote
Old Sep 10, 2010, 1:39pm   #415
 
Adamus's Avatar
Joined Mar 2008
Weird but good

Adamus started this thread I have around 5 automated systems running in NinjaTrader simulation at the moment, some on 10 pairs, some on only a couple of pairs.

But they're in simulation as a result of the data issues that cropped up after I started backtesting with FXCM data, as outlined above.

I was trading 2 of them live and I had 3 more systems in simulation which I have now abandoned. The backtest results using different historical datasets were too far apart.

What I saw on the 3 that I abandoned was profitable backtesting on DTC (disktrading) data, then mixed results on FXCM and losses in backtesting and simulation using pure IB data.

Now though I just started rewriting the 3Ducks system, testing on IB historical data. Perhaps predictably it just shows losses in backtesting on DTC.

My main aim still remains to write systems that work on both.

I'll have to do a really mundane order by order analysis of the two sets of backtest results to see why they're different and perhaps that will teach me something.

So I'm now itching to put that 3Ducks system onto the live account, especially since it netted a grand today. Who says that automation takes the emotion out of trading?
__________________
What matters most is how well you walk through the fire.
Adamus is offline   Reply With Quote
Old Sep 10, 2010, 6:18pm   #416
 
Adamus's Avatar
Joined Mar 2008
Re: Deadline June

Adamus started this thread I'm slowly getting a hang of this. I just created a system that performs OK on IB data ($40 per trade) but performs even better on FXCM and DTC data.

At $40 per trade in backtesting, I can take a $10/trade hit on performance in real-time and still make money with it. Let's see how it performs in simulation.
__________________
What matters most is how well you walk through the fire.
Adamus is offline   Reply With Quote
Old Sep 13, 2010, 11:07am   #417
Joined Jan 2009
Re: Deadline June

Adam.. just to let you know that I've been running a robot from Amibroker for the last week or so. I originally started off using streaming data from IB, but found it to be unreliable and as for that "backfill" nonsense, eek! It caused Amibroker to crash on a couple of occasions. I've since switched to eSignal, which is $100 a month for FX data, and so far (touch wood) it's been fairly faultless.

Do you have any idea where I can source tick data in FX going back a few years? There are vendors on the web but quality data like this is super-expensive. eSignal data is good, but only goes back 6 months (or even less).
meanreversion is offline   Reply With Quote
Old Sep 14, 2010, 10:33am   #418
 
Adamus's Avatar
Joined Mar 2008
Re: Deadline June

Adamus started this thread Hi MR

I was wondering how it was going. IB live data should be alright. Was the reliability issue? Connections dropping?

I too don't rely on IB historical data either - mainly because I couldn't download the stupid stuff in NinjaTrader, which is an issue that's still unresolved. (IB and NinjaTrader both refuse to accept it could be their product causing the problem*).

Does it have to be tickdata you require? The only cheap source I found was Disktrading.com but the problem is forex. Disktrading tickdata is different enough from IB data to make surprisingly large differences to your backtesting results. This is what I've been complaining about so much over the last month on this journal.

I don't' know what it's like with futures but I'd guess that the centralized exchange can always give you the definitive tick data - something that's impossible in forex. Ideally you want to backtest on data that you captured from the live stream from your broker which you can trade against.


* just for the record: Connectivity Problems and Yesterday's data all adjusted downwards
__________________
What matters most is how well you walk through the fire.

Last edited by Adamus; Sep 14, 2010 at 10:40am.
Adamus is offline   Reply With Quote
Old Sep 14, 2010, 10:35am   #419
 
Adamus's Avatar
Joined Mar 2008
Re: Deadline June

Adamus started this thread I meant to say, you should be able to achieve a lot with one minute bar data and I bet eSignal provide several years of that.

Do you use eSignal as your broker too?
__________________
What matters most is how well you walk through the fire.
Adamus is offline   Reply With Quote
Old Sep 14, 2010, 10:42am   #420
Joined Jan 2009
Re: Deadline June

Hmmm, eSignal have said their data only goes back 6mths, let me ask them again.
meanreversion is offline   Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Similar Threads
Thread Thread Starter Forum Replies Last Post
FX Trading June 4 - June 8 trendie Forex 216 Jun 8, 2007 6:02pm
Brent Crude Trading - June 4th - June 8th ceydababy Commodities & Money Markets 10 Jun 7, 2007 6:00pm
june palladium dentist007 Commodities & Money Markets 2 Jul 7, 2005 10:16am
June T bond (ZB M4) bgold Commodities & Money Markets 1 Mar 9, 2004 9:07pm

Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)