Let's Compare Strategies

[NFT-Trader]

Profit Factor: 2.79
# of Trades: 376
# of Months tested: 11
Cum. Profit: 69%
Percent Profitable: 57.18%
Sharpe Ratio: 1.85
Ratio W/L: 2.11
Commission: True
Slippage: None
Max Drawdown: -1.31%

I have been optimizing this strategy since starting systems trading in August of this year. I have to laugh when I compare my original trading strategy to this one. I am not sure what I enjoy more writing code to increase the numbers above or actually trading. Live trading results have been similar to the numbers above - so far so good.

Since I am new to systems trading I am curious to see the honest backtest results of the other members as well as their comments of course.

Looking forward to your replies.

[koganam]

Profit Factor: 2.79
# of Trades: 376
# of Months tested: 11
Cum. Profit: 69%
Percent Profitable: 57.18%
Sharpe Ratio: 1.85
Ratio W/L: 2.11
Commission: True
Slippage: None
Max Drawdown: -1.31%

I have been optimizing this strategy since starting systems trading in August of this year. I have to laugh when I compare my original trading strategy to this one. I am not sure what I enjoy more writing code to increase the numbers above or actually trading. Live trading results have been similar to the numbers above - so far so good.

Since I am new to systems trading I am curious to see the honest backtest results of the other members as well as their comments of course.

Looking forward to your replies.

Run your optimizer on the extremely simple Strategy posted at this link, and let us see what you can come up with. ref: http://www.ninjatrader.com/support/f...catid=5&id=379

[NFT-Trader]

Profit Factor: 1.41
# of Trades: 756
# of Months tested: 11
Cum. Profit: 44.52%
Percent Profitable: 44.44%
Sharpe Ratio: 1.05
Ratio W/L: 1.79
Commission: True
Slippage: None
Max Drawdown: -7.19%

Koganam, I optimized your suggested strategy and the best results under my instrument conditions are listed above. Your system started breaking down in the last three months.

[NFT-Trader]

Simple Spreadsheet for Evaluating Strategies

In reading another post on this forum I came across the attached paper, which gives you the instructions for a simple excel sheet that will evaluate your strategy based on only percent winners and profit factor (see the end of the paper). The generated graphs and ability to regenerate random trades indicates nicely how these two factors ultimately affect your results (make sure your two lines are on the same graph for the greatest visual impact)

Name of the manuscript:Evaluating Trading Systems
By John Ehlers and Ric Way

[NFT-Trader]

I have just starting exploring genetic optimization to see if my strategy can fit with other instruments. The documentation on the use of this method is limited. Can anyone tell me if they have had success with this method and if so provide some hints on how best to use it.

[koganam]

I have just starting exploring genetic optimization to see if my strategy can fit with other instruments. The documentation on the use of this method is limited. Can anyone tell me if they have had success with this method and if so provide some hints on how best to use it.

http://www.tradingsolutions.com/webhelp/optimization/optimization_understanding.html

http://www.wisegeek.com/what-is-genetic-optimization.htm

http://www.optimusfutures.com/genetic-strategy-optimization.html

[NFT-Trader]

http://www.tradingsolutions.com/webh...rstanding.html

http://www.wisegeek.com/what-is-genetic-optimization.htm

http://www.optimusfutures.com/geneti...imization.html

From the first link I found this jewel.
"An example that occurs frequently when optimizing on profit is that the most profitable settings for the optimization range may be due to it locating one or two key trades. Unfortunately, the rest of the time, the system provides only marginal performance. When this system is applied to new data, the marginal performance typically continues since the events that caused the key trades occurred only in the optimization range.

To prevent this from happening, better fitness measures are often those which emphasize the consistency of profitability, rather than profitability itself. Examples of these types of measures are the Sharpe Ratio, the Sortino Ratio, and the Calmar Ratio, all of which balance profitability against a negative aspect of the approach, such as volatility or maximum drawdown."

[koganam]

From the first link I found this jewel.
"An example that occurs frequently when optimizing on profit is that the most profitable settings for the optimization range may be due to it locating one or two key trades. Unfortunately, the rest of the time, the system provides only marginal performance. When this system is applied to new data, the marginal performance typically continues since the events that caused the key trades occurred only in the optimization range.

To prevent this from happening, better fitness measures are often those which emphasize the consistency of profitability, rather than profitability itself. Examples of these types of measures are the Sharpe Ratio, the Sortino Ratio, and the Calmar Ratio, all of which balance profitability against a negative aspect of the approach, such as volatility or maximum drawdown."

Why else do you think that I pointed you to it?

[sledge]

Profit Factor: 2.79
# of Trades: 376
# of Months tested: 11
Cum. Profit: 69%
Percent Profitable: 57.18%
Sharpe Ratio: 1.85
Ratio W/L: 2.11
Commission: True
Slippage: None
Max Drawdown: -1.31%

I have been optimizing this strategy since starting systems trading in August of this year. I have to laugh when I compare my original trading strategy to this one. I am not sure what I enjoy more writing code to increase the numbers above or actually trading. Live trading results have been similar to the numbers above - so far so good.

Since I am new to systems trading I am curious to see the honest backtest results of the other members as well as their comments of course.

Looking forward to your replies.

ES 09-12 market replay attached as images.

I only made printouts of ES 12-12 market replay test (up until black friday):

total net profit: 7,550
gross profit 11,162
gross loss -3,612

long total net: 4712
long profit: 5962
long loss : 1250

short total net 2837
short profit: 5200
short loss: 2362

sharpe total: 1.45

date 9/17/2012 to 11/29/2012

totale # of trades: 59, long 33, short 26
percent profitable: 73%, 79%, 65%

ratio win/loss : total 1.21, long 1.32, short 1.21

max drawdown total -1.01%, long -0.65%, short -0.91%


both were 4 contracts, 2 entries, 3 contracts at a fixed target, and 1 floater.

I'm not sure hot total # of trades is computed yet, I haven't verified, so I can't verify commission of $7 round trip.

no optimization attempted yet.

Do I have guts to play this live yet? NOPE

[koganam]

ES 09-12 market replay attached as images.

I only made printouts of ES 12-12 market replay test (up until black friday):

total net profit: 7,550
gross profit 11,162
gross loss -3,612

long total net: 4712
long profit: 5962
long loss : 1250

short total net 2837
short profit: 5200
short loss: 2362

sharpe total: 1.45

date 9/17/2012 to 11/29/2012

totale # of trades: 59, long 33, short 26
percent profitable: 73%, 79%, 65%

ratio win/loss : total 1.21, long 1.32, short 1.21

max drawdown total -1.01%, long -0.65%, short -0.91%


both were 4 contracts, 2 entries, 3 contracts at a fixed target, and 1 floater.

I'm not sure hot total # of trades is computed yet, I haven't verified, so I can't verify commission of $7 round trip.

no optimization attempted yet.

Do I have guts to play this live yet? NOPE

Is this perhaps the long awaited MakeMegaBucks() function? Publish please, publish, even if you are yourself too chicken to put your own money into it.

[NFT-Trader]

Floater?

ES 09-12 market replay attached as images.

I only made printouts of ES 12-12 market replay test (up until black friday):

total net profit: 7,550
gross profit 11,162
gross loss -3,612

long total net: 4712
long profit: 5962
long loss : 1250

short total net 2837
short profit: 5200
short loss: 2362

sharpe total: 1.45

date 9/17/2012 to 11/29/2012

totale # of trades: 59, long 33, short 26
percent profitable: 73%, 79%, 65%

ratio win/loss : total 1.21, long 1.32, short 1.21

max drawdown total -1.01%, long -0.65%, short -0.91%


both were 4 contracts, 2 entries, 3 contracts at a fixed target, and 1 floater.

I'm not sure hot total # of trades is computed yet, I haven't verified, so I can't verify commission of $7 round trip.

no optimization attempted yet.

Do I have guts to play this live yet? NOPE

Hey Sledge, Thanks for the reply and the numbers. Have you tried seeing whether it is consistent over a longer period. I find with my strategy I can "curve fit" it very nicely over a few months but extending that over a year never seems to work. Therefore I have decided, without any support for my logic yet, that I will live trade my system after optimizing it over the year.

By the way what is a floater?

[NFT-Trader]

Screen Shots of Strategy

Sledge has encouraged me to post my screen shots. This is the Strategy I will be live trading going into December. Hope it holds for the month.

[koganam]

Sledge has encouraged me to post my screen shots. This is the Strategy I will be live trading going into December. Hope it holds for the month.

Any chance that we can see the strategy code. The results look pretty impressive.

[koganam]

ES 09-12 market replay attached as images.

I only made printouts of ES 12-12 market replay test (up until black friday):

total net profit: 7,550
gross profit 11,162
gross loss -3,612

long total net: 4712
long profit: 5962
long loss : 1250

short total net 2837
short profit: 5200
short loss: 2362

sharpe total: 1.45

date 9/17/2012 to 11/29/2012

totale # of trades: 59, long 33, short 26
percent profitable: 73%, 79%, 65%

ratio win/loss : total 1.21, long 1.32, short 1.21

max drawdown total -1.01%, long -0.65%, short -0.91%


both were 4 contracts, 2 entries, 3 contracts at a fixed target, and 1 floater.

I'm not sure hot total # of trades is computed yet, I haven't verified, so I can't verify commission of $7 round trip.

no optimization attempted yet.

Do I have guts to play this live yet? NOPE

Any chance that we can see the strategy code. The results look pretty impressive.

[sledge]

Hey Sledge, Thanks for the reply and the numbers. Have you tried seeing whether it is consistent over a longer period. I find with my strategy I can "curve fit" it very nicely over a few months but extending that over a year never seems to work. Therefore I have decided, without any support for my logic yet, that I will live trade my system after optimizing it over the year.

By the way what is a floater?

Hi

Oops, floater was a word I made up at the moment.

To be honest, that final 1 contract is at a fixed target. I haven't applied any ATM or moving stop less strategy to see if I can get more out of it if a "runner" happens.

In my case case, a 3:1 ratio looks doable. I could scale into 6:2 if that is successful. I have not tested 4:0 ratio yet. If 4:0 works out, then 8:0 would work better

It took about 6-7 hours on a quad core non hyper thread Intel Win Xp 32 to do 2 charts for market replay at 500x for full 09-2012 ES contract. There was 0 blip across cores from NT and memory was at 800 megs the whole time.

My dual core AMD athlon 4400+ X2 (circa 2006), it running at 50% on both cores, with about 10 charts up. I think I would expect 12-16 (24?) hours to complete at this rate.

My # of trades appear to be confusing in NT, as # of contracts would be more correct or more valid in the results.

I have "max entries per direction = 2".. and I enter "Trade1" at 3 contracts, and "Trade2" at 1 contract.

I verified that the 1st day, show "2 trades".. even though it was skewed 3:1 .