logic_man
Registered: Oct 2010
Posts: 1489 |
06-16-12 07:09 PM
Quote from dom993:
And my point was that in order to get non-anecdotal results, you need to backtest for long enough periods of time & number of trades that the task of evaluating different options is out of reach in a manual approach.
(I know you already know that, sometimes we simply need 3rd parties to state the obvious for it to register)
Yes, I agree that would be ideal. To some extent, since my algorithm is based off of an insight derived from another trader with whom I have corresponded for about 6 years now, I look at the positive results he has had using that insight as additional validation of the method and he has been trading for nearly 3 decades.
Part of me also deduces from the fact that it is so unique that it can't be straightforwardly coded in any extant trading platform as validation as well, since it is my firm belief that the more unique an approach is (e.g. do you have to make up your own jargon to describe it, which is true in my case), the more likely that real-time positive results can serve in lieu of long-term backtests. Perhaps that is naive of me, but it seems to make sense.
But, yes, optimizing in real-time can be a bit hairy and I have lost money on trades that, in retrospect, were not optimal, although these losses have not taken me out of the game and, either by luck or by actual identification of non-optimal trades, I have never had to revisit the decision to not take future trades meeting those criteria. In fact, this past week, I avoided 69 pips worth of losses on the Euro by not taking trades and over the past year, I have avoided 112.25 points of losses on the ES. 90% of the time, the decision of to take a trade or not is straightforward and for the remaining 10% I just have to be satisfied with letting them pass by until I collect sufficient data. Typically, I will flag a specific "type" of trade if the first few trades don't work out on paper. Since my model only has a few parameters as it is, this is manageable.
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