Okay, for the sake of gullible readers I want to say something here... So, you're recommending the use of GA? I'm assuming you're talking about Genetic Algo's right? It sounds like you want to add 3 degrees of freedom and then let the optimizer run wild... ok, I think I get the angle here. Assuming I'm right, the amount of stuff wrong with this process can fill a very large landfill; in fact - I don't even know where to begin... Let's start with intent, since intent is legally as important as the actual action. By curve fitting the crap out of a simple rule, you intend to compare that result to something you claim to be "random guessing"? From that comparison, you believe you'll attain more information? Does anyone else see this for what it is? For goodness sake, I'm actually in awe that BoWo just wrote this...
I have to agree with this - and *only* with this It is much faster to backtest trading ideas than forward test them. Of course, backtesting results are not always indicative of future performance, but neither are forward testing results, especially when the sample size is small (say less than a few hundred trades). I know you already stated you are not a programmer, but it would be easy enough for you to learn the basics required to backtest & enhance your VSS. For this I would use a platform supporting EasyLanguage (TradeStation, Multichart) as it is much faster learning curve than C# / java / etc. Another option would be to use Excel for backtesting, if you are more comfortable with it. I do trade a somewhat similar system. Live P/F around 1.35 for ~115 trades since July 2011. I developed, "optimized" & validated that system in a couple weeks only.
Incidentally, if you ever want to use Tradestation or Multicharts, I recommend Multicharts. Here is your code: inputs: tgt(7.5), stp(11); variables: bull(1), shit(1); if marketposition>0 then begin bull=entryprice+tgt; shit=entryprice-stp; end; if marketposition=0 and time>0929 and time<0931 and o[1]>c[1] then begin buy next bar at market;end; if marketposition>0 then begin sell next bar at bull limit; sell next bar at shit stop; end; if marketposition>0 and time>1599 then begin sell next bar at market;end; Below is the equity curve with a realistic 2 tick slippage and $3 per side commission. From -$24,690, to +$2800. I increased your profit margin infinitely with 30 minutes of optimization. Your most optimal parameters were a 7.25 point target in ES, 11 point stop, and a $375 threshold with 95% give back trailing stop. I guess the trailing stop is nonfunctional and did not improve results. Could be a breakeven trail stop what with the 95% give back.
Thanks, Beau. Much appreciated. I especially like how you included the word "bullshit" in your code. Very clever, in a passive/agressive sort of way. Anyway, thanks for the time and effort, looking forward to learning the "language" so as to be able to do these types of exercises myself.
Thanks, Dom 993. Looks like some lessons in basic programming are in my future. Thanks to all who continue to provide their input and suggestions as to how to improve this "Very Simple System."
You're welcome. Take a look at Multicharts sometime. Easylanguage really is easy if you have basic high school programming abilities, and most people do. Finding functions isn't difficult either. The worst problem in MC is data. Without data, you'll be left with too limited of a dataset to do a minimum 2 year genetic optimization or exhaustive once you narrow down your parameters. And, no, not even with the most optimal parameters would you ever want to trade this.