Let's Compare Strategies

[Adamdetx]

Do you mind saying how much it was?
Seats are a little expensive.

[koganam]

Do you mind saying how much it was?
Seats are a little expensive.

Last they were quoting is $3.85RT for every retail trader. They were not showing any limit breaks, but I am sure they do exist if your volume is high enough. I do not know; I just think that there probably are.

[marcow]

Along those lines, what is the lowest commission rate you've seen for futures, and who has it?

InteractiveBrokers, $4,- round trip for US futures.

[NFT-Trader]

Walking Forward

Walk forward results are the only results that count, otherwise a simple optimization is just predicting historical data perfectly (especially when you >3 parameters, you mentioned you have 50!). Either way, looks like it's off to a good start, but 1 month of live results may not be enough, unless it's profiting every day.

I have spent the last 4 days changing my >50 parameter backtested strategy (see my early posted results) to the minimum number I feel still retains the nature of this strategy, which is now 19 parameters. Using this strategy and optimizing the best time frames for walking forward I think I have what I believe to be a good system.

The system uses 10 days to predict the next 10 days (including weekends). Here are my results after averaging two WFs for every 10 day period
Total Profit: $15,479 for 290 days
Average Profit Factor = 2.71
Average % Profitable = 52.69%
Cumulative Profit over 290 days = 65.43%

The graphs below represent cumulative profit (left) and investing the system using 1/4 Kelly Criterion (right)

Thank you to those in this discussion who encouraged me to look into walking forward analysis.

[sledge]

So have you gone live?

Making mega-bucks?

Is it working?

I have spent the last 4 days changing my >50 parameter backtested strategy (see my early posted results) to the minimum number I feel still retains the nature of this strategy, which is now 19 parameters. Using this strategy and optimizing the best time frames for walking forward I think I have what I believe to be a good system.

The system uses 10 days to predict the next 10 days (including weekends). Here are my results after averaging two WFs for every 10 day period
Total Profit: $15,479 for 290 days
Average Profit Factor = 2.71
Average % Profitable = 52.69%
Cumulative Profit over 290 days = 65.43%

The graphs below represent cumulative profit (left) and investing the system using 1/4 Kelly Criterion (right)

Thank you to those in this discussion who encouraged me to look into walking forward analysis.

[NFT-Trader]

Live yes
Mega-bucks no (could be if I scaled up)
Healthy Profit yes

I have continued to rewrite this program (relies on ATR) and another one I am using (relies on OBV). Each has only 6 variables (including trailstop and profittarget).

From my experience and from reading posts here and literature you have to minimize the number of variables to increase your chances of replicating backtests with live trading.

I have also realized that my discretionary trading can't compete with my automated trading, which is why I guess I have been putting in so much time programming.

[sledge]

I'm finding scaling up helps out a lot.

It appears I'm good at "guessing" 1 to 1.5 pts, from there out, it scales down.

So when I take a bunch of contracts off at 1 pt, I'm already in the + nicely, and the rest can play it out, and I'm stressing less over "I could have had that".

Live yes
Mega-bucks no (could be if I scaled up)
Healthy Profit yes

I have continued to rewrite this program (relies on ATR) and another one I am using (relies on OBV). Each has only 6 variables (including trailstop and profittarget).

From my experience and from reading posts here and literature you have to minimize the number of variables to increase your chances of replicating backtests with live trading.

I have also realized that my discretionary trading can't compete with my automated trading, which is why I guess I have been putting in so much time programming.

[koganam]

Live yes
Mega-bucks no (could be if I scaled up)
Healthy Profit yes

I have continued to rewrite this program (relies on ATR) and another one I am using (relies on OBV). Each has only 6 variables (including trailstop and profittarget).

From my experience and from reading posts here and literature you have to minimize the number of variables to increase your chances of replicating backtests with live trading.

I have also realized that my discretionary trading can't compete with my automated trading, which is why I guess I have been putting in so much time programming.

I sent you a PM. Never got a response. Did the TCPIP gods lose it in the ether?

[koganam]

I'm finding scaling up helps out a lot.

It appears I'm good at "guessing" 1 to 1.5 pts, from there out, it scales down.

So when I take a bunch of contracts off at 1 pt, I'm already in the + nicely, and the rest can play it out, and I'm stressing less over "I could have had that".

Along those very lines, is the secret-sauce whose test results that you published, making you some good returns?

[sledge]

Along those very lines, is the secret-sauce whose test results that you published, making you some good returns?

still using same basic concept. 2 days were in NT, and the other 2 were on my phone in my other account.

May 2013..actual results

[koganam]

still using same basic concept. 2 days were in NT, and the other 2 were on my phone in my other account.

May 2013..actual results

Very nice. 11 trades, no losses, and a trade about every 2 days. Now, I wish I could get my grubby, greedy, little fingers on something like that!

[NFT-Trader]

I am in the process of trying to figure out how to get it on Collective2. I will get back to you once there.

[sledge]

Very nice. 11 trades, no losses, and a trade about every 2 days. Now, I wish I could get my grubby, greedy, little fingers on something like that!

I ran my report for 2013 live trades...(ES 03-13 was selected)

PERFECTION!!!!

Getting lucky scalping intraday...

There should be a big loser coming soon
Or have I mastered my mind and seen it all after 6 years?

**SPXU registers as a long (of course)... +$392 on the long "but short"

I've shorted SPXU b4

[sledge]

changed ideas

.75 and 1 pt tick scalping can hurt

new year, new harddrive, new direction!


ES 06-14 market replay results... 03-17-2014 to 03-28-2014


ES 03-14 showed promising results too... 1 loser day which would take 3 days to recover to break even (w/o commission) (FED FOMC day which is generally scary crap you should avoid). And a start of day after MLK day since ZenFire crapped out in 2014, etc...no data for me. A lot of other meat on the bone to take.

Appears to be scalable....

Market Order entries.. 2 trades max per day. Limit profit targets/stops...

Manually played 3/27 & 3/28 with success (for my mental tolerance)..

Need to replay more of 2013 with which I have most data to examine results....

[koganam]

Results of week 2014-03-31 to 2014-04-04. This week was pretty volatile, with big up- and downswings, round trips and fake-outs on an intraday basis. Nice to see the strategy held up well and ended up with a 4.75 profit ratio.

Without knowing the details of the money management, this becomes an exercise in ego-stroking.