Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; One of the reasons why I stick with NinjaTrader despite getting my **** reamed doing their beta testing is that ...

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Old Oct 16, 2010, 1:05pm   #497
 
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Re: Deadline June

Adamus started this thread One of the reasons why I stick with NinjaTrader despite getting my **** reamed doing their beta testing is that they have a walk-forward module on their optimisation program. I can set the optimisation nwindow to as small as 3 days, any timescale, and the walk-forward / blind window (to see how that optimisation did) also to 3 days or more. I can then let that run over any period. So it goes optimise / walk-forward / optimise / walkforward / optimise / walk-forward continually using the defined windows over the whole period and collates the walkforward results at the end. That way I can tell most of my ideas are crap.

I have done that over 10 years, but I don't do one big optimisation period for ten years unless I have a walk-forward period of about 2 years at least.

I like the idea of the rolling optimisation and I've already got a plan to try it out, but it would be quite processor intensive. Plus I have to sort my current situation out and get somewhere that feels more stable than where I am right now. My profits from the last couple of weeks won me more time to get there, but it's a slippery slope to get up.

Gotta go but will be back with more dire stories about trading with NinjaTrader and IB later.

Andy Pandy is going to run a strategy on NinjaTrader that connects up to InteractiveBrokers. They are the biggest broker in the world and very reliable, so Andy Pandy is confused because they are acting like a bunch of muppets.
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Old Oct 18, 2010, 10:30am   #498
 
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Re: Deadline June

IB are huge and you are small.

This is reflected in their support policies.

It is something we hae to live with I guess.
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Old Oct 18, 2010, 10:33am   #499
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Re: Deadline June

Are IB the biggest broker in the world, really?
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Old Oct 19, 2010, 11:41am   #501
 
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Re: Deadline June

Adamus started this thread The only alternative that I've seriously checked out at this point is MB Trading, who have more respect than IB in all those reviews. However I was totally unable to get hold of their historical data for backtesting.

They say they have 15 years worth of tickdata available but when I asked for it, offered to buy it, they said it wasn't possible. I think the salesman was talking rubbish.
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Old Oct 20, 2010, 10:45am   #502
 
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Re: Deadline June

Adamus started this thread Found that optimising over a shorter period does give better results. 30 days appears to be best.

Testing optimising each MA of the 3 Ducks seperately. Playing with fire maybe. It doesn't work with short periods. I'll try a couple of long periods, e.g. 5 years.
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Old Oct 20, 2010, 12:03pm   #503
 
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Re: Deadline June

Optimising your optimisation... Lol.
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Old Oct 20, 2010, 12:30pm   #504
 
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Re: Deadline June

Adamus started this thread Hey, you were the one who suggested optimising the different MAs seperately.

When you put it like that, it sounds bad, but if I apply the same precautions as I do to primary optimisation, e.g. lots of blind tests / walkforwards, then I should be alright.

I have a lot of data to test it out on. I've got to have enough tests to decide on the best optimisation period and walk-forward period that works - and for reasons that make sense - and then I've got to make sure I keep enough data to try out the whole process from scratch on other data.
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