In the thread I mentioned before I kind of tried to suggest the perfect approach would be to properly describe the conditions when your system loses money. Then you can run it all the time, with the "turning off" featuer being just a part of the system, like a whipsaw filter.
However, this...
Hi again Chorlton ;)
I tried to give some thoughts on this topic in this thread:
http://www.trade2win.com/boards/mechanical-systems-trading/28703-mechanical-system-stability-market-evolution-towards-holy-grail.html
I actually wanted to post something more specific on the topic, will try later...
Chorlton, just one small thought - the drawdown you are getting now is obviously larger, but I guess it is largely the factor of showing the unrealized drawdowns from the low spikes you did not show before.
About stops - I think stops like "a tick below the minimum low of last X bars" may yield...
Hello Chorlton,
I still did not have time to work on my Backtesting FAQ, but I am around ;)
I think this Stop thing is a major problem, to be honest. Let me make sure that I understand you correctly. This is how it works now:
1. You enter position at the Open.
2. You set the Stop condition to...
I like his concepts quite a bit. I read his "Rocket Science ..." which I think is his newest book. I have coded a few indicators in NinjaTrader. At least a few are pretty interesting. You have plenty of code on his website, too.
BTW - check out the websites with his automated trading systems -...
Hi Chorlton!
The usual disclaimer - I am just a guy out of nowhere with quite a lot of academic knowledge and very sceptical about his own systems ;) But I hope you find something useful in my writing.
About the procedure of testing - I would do the same as you, tweak the system in-sample, then...
Sure Chorlton, here goes.
The purpose of this stability testing is to see, if the system works as well in the end of the testing period as in the beginning, and if it works in different market conditions (which is rather obvious). You could check it visually comparing the number of losing and...
In this thread I would like to establish a FAQ for system backtesting. As I am not definitely the ultimate expert at the topic, all suggestions will be more than welcome. The procedure I would like to follow would be putting the FAQ in this, first post of the topic. The post will be modified...
jjurgen - thank you for the link. Unfortunately I do need quarterly data, this is the problem...
theroguetrader - basically I am using some statistical models to evalue the fundamental situation of companies (kind of). I divide them into sectors and forecast which ones would perform relatively...
Hello!
Does anyone know a free or cheap source of quarterly financial statements for the US companies and some of the biggest European markets? Preferrably easily importable into Excel / CSV etc.
I am developing automated strategies, one of them involves financial statement analysis. I have...
Chorlton, I'll get back to you to explain what I meant there. Just need some time to get you a clear explanation.
Actually, maybe it would be good to make a T2W "What to look for in backtesting results" FAQ. I am sure that people around here have many good ideas. :idea: