Hello fellow traders. I just finish working on my new automated strategy and before I put it live I want your opinion --- what week spots it has and what parameters can be improved . Its NT7 base , 2 contracts and best for major active futures. Thanks in advance Vit
I would recommend testing over a multi-year period, rather than 2 months. You will also need a strategy for handing roll-overs, since this will happen once a month.
The reason I pick last 2 month because CL market was neutral . The last year market was more like exception so its hard to rely on past results. Any way 2014 till now looks like this ,with 2 contracts..
For me, whenever I see a chart like that, it looks like curve fitting. And not sure how you can tell if a market is neutral or not until after the fact. Turning an automated system on/off depending on market conditions can result in missing the most profitable trades.
Vit, I only looked at your first attachment. You are claiming about 17 ticks profit (on 2 contracts I assume), that's almost 8 ticks per trade net alpha with an average of more than 6 trades per day. So essentially you are saying you can capture net alpha of 50 ticks per day on CL in an automated way. That alone is a clear indication that you must have a serious error in your backtest (or it's a total curve fit). Such results are probably only achievable on an hft market making level. Sorry, it must be wrong.
I downloaded new NT7 test it and the results are the same . Any idea how I can test it differently???
If strategy shows profit on multiple markets (with some minor parameters change) its should do OK live . Ive start demo it just 3 day ago and planning to connect to Collective2 . Here some for TF ..
I papertraded my CL system for 3 years prior to going live with real money. That's how long it took to work out all the glitches and remove every trace of curve fitting. Just looking at a chart is curve fitting! In order to have a profitable system you need to work harder and be smarter than 99% of the other market participants, otherwise you will loose money in the long-term. You are not going to suddenly discover a long-term profitable trading system without an immense (ie. years) amount of effort.