Let's Compare Strategies

[bltdavid]

I know HTF as HULK THE F* up.. lol...

SHTF - http://www.shtfplan.com/

In my terms - Things go south in the market for your initial entry...

Ah-hah .. mixing your metaphors ... lol

Thanks

[bltdavid]

Here's the pdf ...

Very interesting, thanks.

Btw, what tool did you use to create that PDF file?

Pretty nifty.

[sledge]

Que pasa?

Muy confused, mucho dead brain cells, Friday, need cerveza.

I know "HTF" tends to mean "higher time frame" ...

Can you explain "SHTF" please?

I know HTF as HULK THE F* up.. lol...

SHTF - http://www.shtfplan.com/

In my terms - Things go south in the market for your initial entry...

[sledge]

Check out the average tick volume too if you're entering with a few contracts (which I assume you are from the image). I don't know how reliable Playback is with NT8 though. I had never occurred to me so it was a humbling lesson.

I had to split up my replay on multiple tests in NT7 and it came very close to NT8...

I'm not an elite member there... so I can't access.

Maybe I should go there to look for any of my code posted illegally.

[bltdavid]

SHTF

Que pasa?

Muy confused, mucho dead brain cells, Friday, need cerveza.

I know "HTF" tends to mean "higher time frame" ...

Can you explain "SHTF" please?

[sledge]

Yah mon, very nice. Commissions probably not too onerous, since I don't see that many trades, esp for 2 years worth of trading.

How many contracts?
Day trades only?

If you're using multiple contracts, do you have a feature to scale-down on next trade after a loser, then scaling-up as soon as you get a winner again?

IntraDay Only: YES

Yes on Multiple contracts - but only for when the SHTF.... (on reversals)..

have tested adding previously to 1st trade with some success - but gets more risky...

The US market really does do the same thing all the time..... and if it doesn't - it's flat (I need to explore/exploit this condition), or has a late day move which I miss out on.. which I'm fine with... because it's really the exception...

[bltdavid]

I feel your pain

A textbook example of a true understatement!

Thanks for the ruefully good chuckle ...

[bltdavid]

Almost 2 years of test results in NT8.

Playback-Market Replay, on ES e-mini.

I would expect this type of performance over these same dates in LIVE.

Not entirely sure about going forward - market can of course change.

I am surprised since most of the period was stagnant and flat in S&P 500.

Commissions not included,

Yah mon, very nice. Commissions probably not too onerous, since I don't see that many trades, esp for 2 years worth of trading.

How many contracts?
Day trades only?

If you're using multiple contracts, do you have a feature to scale-down on next trade after a loser, then scaling-up as soon as you get a winner again?

[sledge]

What happens if you include commission and test it on 2013 / 2014? Looks very nice.

figure $4 round trip for ES...

I've blown out the original results with massive market replay testings in NT8.. Beta6 allowed multiple strategy separation.. which was removed in Beta7 ...


at $180k since Jan 20,2014... in stumbling mode so far this year.. market has changed.. and this strategy might be crap going forward

Conveniently removed because it was a bug that even let it the option into NT8...

http://ninjatrader.com/support/forum/showthread.php?t=80781&highlight=nt8b7

Look at these results:

http://ninjatrader.com/support/forum/showpost.php?p=434361&postcount=11

LOL

original thread:

http://ninjatrader.com/support/forum/showthread.php?t=78479

Honestly - why does clicking on a button multiple times produce incorrect results when it worked the very time?!! Why must it wait for the next major release?

Maybe I shouldn't have been so energetic in reporting this. But I do have a massive lead on everyone else.

[sledge]

Very nice. I am glad that my insight may have helped reduce the losses. And, no, I still lack the cojones to sit through a 3k drawdown on one contract.

That win10 laptop of mine is running $2.5k and $2k cap loss ....not sure if i'll lose any winners at this point... but I might.. so might be a wash and/or point of diminishing LUCK.

[koganam]

I've been beating the crapola out of this strategy in market replay... I tested a bunch of ideas in NT8, most of which failed - but I kept drilling down into the ones that worked.. kept trying to better them...

Found a hit to 26k... then found a hit to 28k... then saw 2 outliers that fit what you described, so I capped them at -$3k loss.. now I'm at $33,750...

Are your cojones still missing???

Very nice. I am glad that my insight may have helped reduce the losses. And, no, I still lack the cojones to sit through a 3k drawdown on one contract.

[sledge]

Those are some mighty huge drawdowns (daily). Not sure that I have the cojones to sit through those.

I would begin to think of tweaking it by adding a "max. loss to abandon trading for the day" parameter. Hey, but that is just me.

I've been beating the crapola out of this strategy in market replay... I tested a bunch of ideas in NT8, most of which failed - but I kept drilling down into the ones that worked.. kept trying to better them...

Found a hit to 26k... then found a hit to 28k... then saw 2 outliers that fit what you described, so I capped them at -$3k loss.. now I'm at $33,750...

Are your cojones still missing???

[koganam]

Almost 2 years of test results in NT8.

Playback-Market Replay, on ES e-mini.

I would expect this type of performance over these same dates in LIVE.

Not entirely sure about going forward - market can of course change.

I am surprised since most of the period was stagnant and flat in S&P 500.

Commissions not included,

Those are some mighty huge drawdowns (daily). Not sure that I have the cojones to sit through those.

I would begin to think of tweaking it by adding a "max. loss to abandon trading for the day" parameter. Hey, but that is just me.

[sledge]

Almost 2 years of test results in NT8.

Playback-Market Replay, on ES e-mini.

I would expect this type of performance over these same dates in LIVE.

Not entirely sure about going forward - market can of course change.

I am surprised since most of the period was stagnant and flat in S&P 500.

Commissions not included,

[koganam]

Sometimes, it is best to wait for the market to come to you.

Let her show you repetitive ways over and over and over again.


There are a few other prime days I have identified where I could hold out for 10 points instead of 6 points on ES. But the issue becomes is that I don't have the data. If I change data sources, then I don't have the other data I need to make the entry!!!!

Not "sometimes": it is always best to wait for the market to bring itself; then you pounce, pretty much like a cheetah in the grass waiting for that antelope to come along.