Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; If you look at a period of market activity that causes drawdown (and you'll probably have more than one such ...

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Old Sep 18, 2010, 1:02pm   #449
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Re: Deadline June

If you look at a period of market activity that causes drawdown (and you'll probably have more than one such period) yes you'll have to define it .... Probably by adding another indicator (which is the time consuming part). Let's say for example that by trial and error you notice that the drawdown occurs whenever the ATR rises above a certain level then you'll add that indicator to your strategy. That's when you backtest again and hope to see an improvement. I agree that adding too many indicators can lead to curve fitting, but I found that I could only find one or two improvements anyway. And those improvements made a big difference. It's really optimisation because you're targeting the weakness in your system as opposed to trying to fit another indicator into the whole strategy that improves the results. The basic strategy should be very simple and the bells and whistles can be added later to improve performance.

It seems like your basic strategy might be sound, but does it have an edge?
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Old Sep 18, 2010, 2:20pm   #450
 
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Re: Deadline June

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Originally Posted by grimesd View Post
It seems like your basic strategy might be sound, but does it have an edge?
The one I'm putting live tomorrow has an edge across all 3 historical data sets that I tested it on.

The one I'm trying to get right has an edge on the IB 2009-2010 data, but less of an edge on the FXCM 2005-2010 data, and in fact loses money on the DTC 10 year dataset. It's annoying, because I suspect that the system would be good over 10 years of IB data if only I had it. For 2009-2010 on the DTC data it's considerably worse (but still profitable).

I see what you mean about adding indicators. The way I generate ideas to improve the system is probably grossly inefficient. I just look at a random section of the chart and step through the trades. When I find a loss on a piece of history where I spot something that looks wrong, I see if I can find a way to work that into my system. I sometimes go and look at a particularly bad period of drawdown to see what went wrong but I don't remember coming up with anything consistently that made me think, "this is the way to research it".

Now I describe it, it does seem like an amateurish way of doing it. I guess I should compare periods of profit with drawdowns to see if I can spot some general market characteristics. I always assume anything like that would jump out at me but I never tried verifying that assumption.

To see if an ATR was particularly high, I'd need to plot the ATR on the chart with a fixed scale axis for the whole 10 years I guess. Simple stuff but if I put together a list of the things to check against I guess I'll build myself up a nice little time-consuming To Do list. Maybe I should do this kind of work when I'm not in the creative mood for coming up with new systems.
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Old Sep 20, 2010, 12:46pm   #451
 
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Thumbs up Live again

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Originally Posted by meanreversion View Post
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?
Put the Three Ducks system live.

Actually, I shouldn't call it the Three Ducks, because I've changed a lot of it. I think a more appropriate name for it would be the "Frankenducks".

Two and a half months overdue is not bad for an IT project, I'd like to point out.
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Old Sep 20, 2010, 1:01pm   #452
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Re: Live again

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Originally Posted by Adamus View Post
Put the Three Ducks system live.

Actually, I shouldn't call it the Three Ducks, because I've changed a lot of it. I think a more appropriate name for it would be the "Frankenducks".

Two and a half months overdue is not bad for an IT project, I'd like to point out.
If you were working on an IT project for the previous government, you would have been given an MBE for only being 2.5 months late!

Hope everything works well Adam..
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Old Sep 20, 2010, 4:06pm   #453
 
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Past performance is no guarantee of future profits

Adamus started this thread Here's a couple of the equity curves of all the 11 forex pairs combined as an example of what to expect.

This first one is the backtest using IB data, mid-Sept to end June this year.
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Old Sep 21, 2010, 11:42am   #454
 
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Re: Past profits are no guarantee of future performance

Adamus started this thread I was interrupted. I just saw my parents off at the airport for a three month trip to South Africa, starting in Cape Town. It must be nice to be retired - if your body plays along, I guess.

I want to get the equity curves for the backtests ready. In normal circumstances I would have fed the results from NinjaTrader into a hand-rolled Java application I made, but unfortunately I have stuffed it so full of results that something is causing major performance issues and I can't find out what. My choice is either to fix the program and the DB, which I tried already but didn't want to invest more time in, or just to delete the old data and start with a fresh database. The data in there is definitely useful, but not so useful that I couldn't live without it. I'd have to fight against my natural hoarding instincts if I want to delete it.

This morning I'll get the following equity curves up here:

- backtest on 10 years of DTC data
- backtest on 5 years of FXCM data
- backtest on 9 months of IB data
- forward test on 3 months of IB data

So, those first two years in the DTC backtest were bad. Otherwise I guess it would have been too good.

For the record, these results do not include slippage & commission.
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Old Sep 22, 2010, 5:28pm   #455
 
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The Forward Test

Adamus started this thread Here's the equity curve of the forward test.

Again, this is without slippage and commission.
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