Advice requested of this system

Discussion in 'Strategy Building' started by Dhalsim, Jun 15, 2012.

  1. Gonz

    Gonz

    Backtesting?

    Did you optimized the parameters?
    Did you test the same strategy (parameters) on other stocks / futures? If yes, does it give you similar results for most markets.
     
    #21     Jun 18, 2012
  2. Dhalsim

    Dhalsim

    I am using VIX intraday reading - just taking the VIX Opening price. Why should i use prior-day VIX at the close? The reason i am asking because the overnight volatility can be important to my system, hence high overnight volatility meaning VIX can gap and open much higher. All my trades are not placed overnight and not the first 2 mins of trading hence taking VIX open should not affect my trade placement when backtesting?

    I tried the 20day ATR of NQ (market i am testing on) but really does not affect my data set too much. If i remove all trades which fall under less than 32 ATR then profits remain the same just 180 less trades.

    I understand my previous vix filter was over optimized but i don't understand the following:

    - My system is intraday trading system and overnight market volatility can affect my trades (which are all on real trade hours only). Therefore, i need the Opening VIX print for filter. Therefore, as my system relies on volatility and we all now volatility can breakout sharply then why cant we filter using VIX Open. So i simply don't place trades when VIX Open Price is at low levels such as 20 (so fundamentally it should make sense that given my system performs better with higher volatility we simply dont trade low volatility set-ups).

    Can someone explain to me why this would be over optimization?? I am finding when i use the indicators on the VIX or ATR o NQ it lags too much.

    I know i am wrong but i can't seem to get my head around why?
     
    #22     Jun 18, 2012
  3. dom993

    dom993

    If you believe you'll get the VIX open in time to filter your trades, then it's ok (I have no idea what kind of delay there is on the VIX, however since it is based on S&P 500 options, it would make sense it suffers a delay - just make your own due-diligence on this).
     
    #23     Jun 18, 2012
  4. Dhalsim,

    I think your PF is to low to risk your hard earned money, and that’s without even looking at the Data the backtest was run over.
    If you look at a weekly chart of the Data does your strategy capture the moves in the Market that it was designed too?
    Were there 458 excellent trading opportunities over that time frame?
    I doubt it (on any market).

    Remember Nature has only four seasons (Identifiable Trends) in a 365 day period.
    Trends normally last longer than a single Day, so if you can enter the market intra-day and eliminate the risk you have taken with a trade, then you should be able to hold that trade for Days and gain profits that vastly exceed the risk you took, if you have correctly predicted the direction of the Trend that is.

    Lots of Trades = Lot or Risks

    Attached is a report for a strategy that enters on a combined intra-day and Day Trend signal but only exits when the Day Trend collapses (unless Stops are activated). It’s a full backtest with generous commissions factored in. It does not make many trades but it does have a big PF.

    Rttrader11
     
    #24     Jul 2, 2012
  5. gmst

    gmst

    I am shocked to see you post and tout your system here. I thought I gave you some feedback in the following thread. Either you are really a fool or more likely you are a dishonest vendor, trying to sell your worthless system.

    http://www.elitetrader.com/vb/showthread.php?s=&threadid=244249

    Anyways, I will try once more. Time for a reality check rttrader11. Dhalsim's system is much better and tradeable than your system.
     
    #25     Jul 2, 2012
  6. Dhalsim

    Dhalsim

    Thank you GMST, i had read that thread previously and even though i am new to system testing i could outline many faults with this snake oil salesman system just as you had pointed out very methodically in that thread.

    I think he is looking for people similar to myself who are still learning how to develop systems and then will prey on ones who reply back to him. Then the sales pitches of a pretend guru begin.

    Anyway i will ignore said poster from now on and will post in this thread in a couple of weeks as i am still learning and gaining new knowledge of system design. Hopefully, get an update of a couple of systems for critique by some of the pros here in a couple of weeks.
     
    #26     Jul 3, 2012
  7. From many years experience trading limit orders intraday in Nasdaq and ES -- the round turn slippage in Nasdaq is 11 $ and in ES 19 $ and Dow 14 $ -- those numbers include commissions

    If volatility is higher it also could increase at times

    Good luck
     
    #27     Jul 3, 2012
  8. Dhalsim

    Dhalsim

    Thanks for the insight. I will increase all my round turn slippage plus commissions to $11 form my previous $9.40 on all my systems.
     
    #28     Jul 3, 2012