Hi folks, I started building my algo trading strategy 3 years ago trading the HSI futures and have started paper-trading about a year ago and a while after that with real money. My strategy generates around 10 trades a week (around 30-40 trades a month). I have almost 3 years of data (around 1200 number of trades). I have backtested and optimized the whole data set and found a positive net profit each and every month. One could say this is curve-fitting - i don't deny it but since it gives me a positive net profit every month for 3 years and the actual trades executed have a >95% match with simulated results, do i have good enough reason to believe that it will continue to do so in the future? Given the tenure of my data (going back 3 years) and the no. of trades going above 1200 which I think is not a small sample, do you guys think there is still a need for walk-forward test? How often should I re-optimize or should I re-optimize at all given the consistency of my strategy? I attach the strategy performance summary and equity curve with close-to-close drawdown trading 1 contract of HSI futures. As you can see I am currently in the midst of a long flat period...one that has not been seen in my entire data set before. Any advice would be appreciated. TIA.
You have a monthly rate of return of almost 100%. What type of return would you expect in reality if this system performs well monthly: 3%, 5%, 10%, 100%? What annual return do you expect and what do you feel is your expected annual drawdown in %?
I was able to have a >95% match of real world results and simulated results (by that I mean the actual entries and exits have more than 95% exact match with if running the same data in backtest simulation) and factoring in slippage (around 2 ticks on average with max circa 10 ticks) I was able to achieve about 80-90% of the simulated results. It is a pretty good return for an initial margin of circa HKD100k for one contract. My only concern is the way I backtested and optimized it using all the data I have - would that render my strategy a bust going forward. As to drawdown - I am seeing actual results similar to simulated results as I employ a fixed stop loss. Thank you for your reply.
depending on your strategy you could take your test data and generate simulated paths by shuffling its daily changes
Hello RStrauss, VERY good job buddy. I love your Algo This is the BEST post I seen on ET forum in my entire life. This is the BEST picture I ever seen in my entire life. Start running this ALGO now. Today, right now. Instantly. The algo will behave the same the next 3 years. Go for it and enjoy. Lets us know how it goes buddy.
I was able to have a >95% match of real world results and simulated results (by that I mean the actual entries and exits have more than 95% exact match with if running the same data in backtest simulation) and factoring in slippage (around 2 ticks on average with max circa 10 ticks) I was able to achieve about 80-90% of the simulated results. It is a pretty good return for an initial margin of circa HKD100k for one contract. My only concern is the way I backtested and optimized it using all the data I have - would that render my strategy a bust going forward. As to drawdown - I am seeing actual results similar to simulated results as I employ a fixed stop loss. Thank you for your reply.
Hello RStrauss, Can back test back to 2006? Why are you only limited to 3 years of data? Most platform come with minute data back to 2006. Unless you are using tick data.
For some reason my setup (Multicharts open API to Interactivebroker) can only get meaningful data back to July 2021. Those before July 2021 were choppy and without much trading volume.