Any Parameter Recommendations for this Strategy?

[Duke Stewart]

Hi There-

what adjustments do I need to make to the parameters categories listed below? (file attached to share). The strategy needs adjusting in order to improve the performance; it currently is not a winner as far as profit ratios go...needs tweaking.

Is there a standard set of Parameters #'s or can you share some suggestions speaking from experience? Any adjustment suggestions would be very much appreciated.

The auto strategy is called, "Profit Target w/ a Trailing Stop"

The default parameters are the following:

Break Even Ticks: 4
Plus Break Even: 2
Profit Target Ticks: 40
Stop Loss Ticks: 15
Trail Profit Trigger: 10
Trail Stop Ticks: 8

I trade YM, NQ, QM small contracts, day trades only.


Thanks in advance.

[sledge]

Isn't this what Strategy Analyzer in NT would try and answer?

Here's a tutorial, I'm sure there are others, along with NT documentation.

http://www.youtube.com/watch?v=Jip1_nVl05s

Hi There-

what adjustments do I need to make to the parameters categories listed below? (file attached to share). The strategy needs adjusting in order to improve the performance; it currently is not a winner as far as profit ratios go...needs tweaking.

Is there a standard set of Parameters #'s or can you share some suggestions speaking from experience? Any adjustment suggestions would be very much appreciated.

The auto strategy is called, "Profit Target w/ a Trailing Stop"

The default parameters are the following:

Break Even Ticks: 4
Plus Break Even: 2
Profit Target Ticks: 40
Stop Loss Ticks: 15
Trail Profit Trigger: 10
Trail Stop Ticks: 8

I trade YM, NQ, QM small contracts, day trades only.


Thanks in advance.

[Duke Stewart]

anyone have further parameter suggestions from their back testing please?

[koganam]

anyone have further parameter suggestions from their back testing please?

What stops you from doing the optimization yourself in the Strategy Analyzer? Is there any particular reason that you want someone else to do it?

[Duke Stewart]

What stops you from doing the optimization yourself in the Strategy Analyzer? Is there any particular reason that you want someone else to do it?

Looking for experience

[koganam]

Judgements are really unnecessary here, thank you kindly..

I do not know to whom your response was directed, but I was certainly not judging you: I really wanted to know why you preferred that someone else do something that it seems you can do yourself. I know Sledge enough to believe that he probably had the same issue.

Regardless, before putting that into my test system, I thought that I might look at the code to see if anything in there might be throwing off results. In there, I found this snippet for trade management:

                case MarketPosition.Long:
                    // Once the price is greater than entry price+ breakEvenTicks ticks, set stop loss to breakeven
                    if (Close[0] > Position.AvgPrice + breakEvenTicks * TickSize
                        && previousPrice == 0)
                    {
                        initialBreakEven = Position.AvgPrice + plusBreakEven * TickSize;
                        SetStopLoss(CalculationMode.Price, initialBreakEven);
                        previousPrice = Position.AvgPrice;
                        PrintWithTimeStamp("previousPrice = "+previousPrice);
                    }

Now, not being intimately familiar with what you were seeking, it seems to me that the code would set the StopLoss to 1 tick behind the market if COBC is false, and to some point pretty close to the current price unless the change was triggered on a pretty long bar if COBC is true.

In my mind, breakeven would be the entry price, so I would think that the line moving the StopLoss would be:

SetStopLoss(CalculationMode.Price, Position.AvgPrice);

rather than what you have written. Did I misread your intent?

[Duke Stewart]

I concur

My programmer is not a trader and encouraged me to inquire here.
Appreciative of Sledges hyperlink- spot on; as well as your code observations, thank you.
You may have answered my inquiry regarding code aside from parameters; Super!
If u happen to test let us know the result as it will be a
Few before my programmer friend is able
To look at this hypothesis. Cheers!

[koganam]

My programmer is not a trader and encouraged me to inquire here.
Appreciative of Sledges hyperlink- spot on; as well as your code observations, thank you.
You may have answered my inquiry regarding code aside from parameters; Super!
If u happen to test let us know the result as it will be a
Few before my programmer friend is able
To look at this hypothesis. Cheers!

I just looked at your entries. Again I am confused. This is what I see for long entry:

            #region Enter Trades
            // LongEntry
            if (
                Position.MarketPosition != MarketPosition.Short
                && GetCurrentAsk() >= Close[1]
                && CurrentBar > BarTraded
                )
            {    
                FillLongEntry1();
            }

That says: "If we are long or flat (i.e., not short), and price is above the close of the last bar, enter long." That seems to put one all in (especially if COBC is false), as it makes multiple new long entries while already long. Is that what you really intend? (Same issue with the short entries; I just looked at one side here).

[marcow]

That seems to put one all in (esp if COBC is false), as it makes multiple new long entries while already long

Are you sure ? FillLongEntry1() sets BarTraded = CurrentBar

[koganam]

Are you sure ? FillLongEntry1() sets BarTraded = CurrentBar

You are stream-processing, so on the next bar, CurrentBar has increased by 1, and is greater than the last value you set for BarTraded.

[marcow]

yes, of course there will be a new trade on each new bar.
I was referring to your remark on the "all-in" if COBC= false which in my opinion is not valid because there will only be 1 trade intrabar.

[koganam]

yes, of course there will be a new trade on each new bar.
I was referring to your remark on the "all-in" if COBC= false which in my opinion is not valid because there will only be 1 trade intrabar.

Ah, you are right about that. I guess I should have looked a bit more carefully at the function that does the buying.

[marcow]

no need for , your programming skills are way better then mine...;

The BarTraded = CurrentBar caught my attention because I recently created a strategy with the same construction to limit intrabar trades, and I was curious how it was done in the strategy posted by Duke

[sledge]

no need for , your programming skills are way better then mine...;

The BarTraded = CurrentBar caught my attention because I recently created a strategy with the same construction to limit intrabar trades, and I was curious how it was done in the strategy posted by Duke

hmmmmm.....