Developing a Trading Strategy Part 2

This is a discussion on Developing a Trading Strategy Part 2 within the Trading Systems forums, part of the Methods category; Any positive slippage achieved last week would have been a welcome bonus as the system achieved 4 losing trades out ...

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Old Jan 29, 2005, 7:05pm   #46
 
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Any positive slippage achieved last week would have been a welcome bonus as the system achieved 4 losing trades out of 4 on the YM. Fortunately the Thursday filter prevented a complete white wash! System Results for 2005

Tradestation code is now available on the site, kindly donated by T2W member - rdstagg. Excel spreadsheet and Tradestation code
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Old Feb 4, 2005, 5:01pm   #47
 
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I have now added the the results of backtesting the system on the e-mini S&P500, Nasdaq-100, Russell-2000 and S&P Midcap 400 futures. Trading results from different markets.
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Old Feb 4, 2005, 5:10pm   #48
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The comparison between the NQ and YM look a little strange.
It seems like too many numbers are the same between the two, can they be that correlated?

Just looking for confirmation
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Old Feb 4, 2005, 5:21pm   #49
 
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Thank you for spotting that sulong. It was my mistake, I copied the wrong figures from Excel - the eyes must be tired after a long week of staring at screens! I have now corrected it.
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Old Feb 7, 2005, 6:58am   #50
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Quote:
Originally Posted by sidinuk
I have now added the the results of backtesting the system on the e-mini S&P500, Nasdaq-100, Russell-2000 and S&P Midcap 400 futures. Trading results from different markets.
Hi Tim,

Thanks for posting the results for the other indices,

Did you use the same breakout times for all of them ?


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Old Feb 7, 2005, 10:14am   #51
 
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ianp, yes exactly the same settings for each market.

The system made 3 profitable trades out of 4 last week on the Dow. I won't post another link to my site but the daily breakdown can be found in the usual place.
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Old Feb 8, 2005, 11:54am   #52
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Excellent article all round. I think the real benefit of the article is not whether that specific method works or not (although that is a bonus), but it gives a great disciplined methology for newcomers to develop systems of their own.
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Old Feb 9, 2005, 3:06pm   #53
 
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Thank you Denny, that was exactly the point of the article.
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Old Feb 9, 2005, 3:50pm   #54
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This might sound like a really dumb question but how do you back-test a system? I mean as in when you have the data, how do you test whether or not your parameters work?

Gotta say mate, the most informative and useful article i have read on trading. Quit trading and write a book - you'd make a fortune!
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Old Feb 14, 2005, 5:05pm   #55
 
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Thanks ddunne82!

I use Excel to backtest but I write VBA code to automate the actual testing - that way I can simply change the parameters, click a button and wait for the results to come out. I'm working on a user friendly version that will allow anyone to mess around with the parameters and find the results.

Last week the system triggered just 1 trade on the mini Dow for a whopping 8 points of profit - Don't spend it all at once! Trading System Backtest
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Old Feb 14, 2005, 8:58pm   #56
 
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Trade-by-Trade results?

Quote:
Originally Posted by sidinuk
Thanks ddunne82!

I use Excel to backtest but I write VBA code to automate the actual testing - that way I can simply change the parameters, click a button and wait for the results to come out. I'm working on a user friendly version that will allow anyone to mess around with the parameters and find the results.

Last week the system triggered just 1 trade on the mini Dow for a whopping 8 points of profit - Don't spend it all at once! Trading System Backtest
Sidinuk, would you happen to have the trade-by-trade results of the other Symbols tested availabe in the same excel format? The reason for asking is that I am trying to find the optimimum combination of symbols to trade to minimise risk further (portfolio mgt)

Thanks,
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Old Feb 17, 2005, 4:11pm   #57
 
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Possible Improvement

Hello,

on Wednesday I noticed that YM dropped quite sharply into close, which was even a relative minimum, since it gained again in after hours. It is obvious to me that no strategy can catch the best theoretical return each day, but in my opinion similiar price movements ocurred rather often. We should spend some thoughts on wether exiting each day at 16:00 EST represents the ideal time.

I assume there exist more long positions among day traders than short positions. Many brokers (e.g. IB) require day traders to reduce their positions by 15:45 EST if they were on full margin before. This might lead to a price decrease into close. If our system's position is long, this reduces our result.

So I suggest Sidinuk might backtest how results vary by replacing the current exit time with 15:45 or even 15:30, at least for the days where a long position is entered previously...

Thanks in advance!
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Old Feb 17, 2005, 5:00pm   #58
 
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Bounty_One. I have already tested different closing times and 16.00 is optimal. What tends to happen is that, as you say, daytraders begin to wind down their positions from 15.30 to 15.45 to avoid the doubling of margin so you get a temporary reversal of the days trend into 15.45. The main trend then resumes after 15.45 when the daytraders have all closed out. Equally, as the futures market has a short break at 16.15 the rest of the daytraders (those that aren't forced to close at 15.45!) will start to close between 16.00 and 16.15.
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Old Feb 18, 2005, 9:28pm   #59
 
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Great article! So readable and easy on the mind.
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Old Feb 18, 2005, 11:14pm   #60
 
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A spreadsheet with all the back test trades from Jan2003 to today for Dow Jones, Nasdaq100, S&P500, S&Pmidcap400 and Russell2000 is now available here.
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