I am not using tick data as I don't need to trade intrabar. All my trading considerations were based on the close of a candle.
A forward test is always a good idea, it should give you a different result and you could measure how much are you overfitting to your data. Another good technique is to use a Random Forest. In this video, there are a few more ways to test your data. Essentially every test should evolve around overfitting in order to understand how happy is your algorithm with unknown data.
You said you live traded this for a bit less than a year. Does this mean the last 400 trades you plotted were live trades? If yes, then that instill confidence and just keep trading it. If the live trades pnl do not looke like your backtested pnl for the last year then you have a problem. In that case the optimized in sample backtest is likely just overfitted data and your plotted equity curve does not reflect what you will see when going live. Bottom line is you cannot trust in sample backtests no matter how many trades or how long the backtest is.
Hello RStrauss, Yes, that makes sense. If you are using candle bars, then back test far back as you can go for confidence in your strategy Even if results are not looking good from 2006 to 2019, at least you know what market conditions systems will not work well in. But for what you are showing, I would definitely proceed running it live.
4 years before making a trade? I would have blown up 3 accounts by now. You can't learn anything from algos or paper trading...other than getting used to the platform which is important.
This is some amazing result for Algo trading. I am curious how often do you need to adjust the variables in this system? And does it use a fix target and stop?
Yes and no. The equity curve graph shown is all from backtest. I started paper trading and real money trading for about a year, I get a ~95% match of real trades vs simulated trades but my strategy was not able to tackle some months in the past year (while the other months had good performance around the historical monthly average) so I have made enhancements to the strategy to try to improve on those poor performing months. I take note of your last sentence - I guess what I can do moving forward is to continue to forward-test it with a small contract. Tks.
Tks for the pointers. i kinda skimmed through the entire video - a bit too advanced for me from a general economics&finance background.
Awesome! what programming language does NinjaTrader use? do you get the data series from your broker which connects to NinjaTrader?