Doing opposite of what the model says

Depends on how much data you`ve tested it with.Test it a little more and it`ll revert to positive i`m 100% confident.

 

From where each of us is there is only one road that leads to Rome (best case scenario)

 

Technically a losing position can always win if reversed (even discounting spread, commisions and costs). It requires never realizing the loss (ie. no stopp-loss) and is based on hindsight of the current trading plan already being a loser.

In practice, people strive for systems with some form of risk management (aka stop-losses and targets). These will realize paper-losses into real losses (SL="create-loss"), or place limits on profitability per trade. These rules are non-reversible from a practical trading perspective, as they will operate on quite different data (derived from flipping chart upside-down).

Remember, a "losing system", might be tomorrow's winner. Declaring a system "loser" is also a prediction, when not just hindsight analysis.

 

I admire your investigative skills. But no, this isn't for bitcoin, it's for futures.

 

I thought so, because it doesn't seem like a mean-reverting strategy would work on that

 

I agree with you, a strategy with concrete risk management rules is what everyone should aim for.

The system was backtested on 3800 days worth of data, and on 90% of those days, the market behaved the opposite of what the strategy expected. Wouldn't you call this a strong enough signal.

 

Yeah it works, and as mentioned before the key is consistency. Say your PnL = F(X1...Xn, C) with X your parameters and C your cost. I'd first set C=0 and test different X1...Xn. Take the top performers (making a ton of money) and the bottom performers (losing a ton of money). Retest the former with a punitive C and the latter with a punitive -C, and see where you get the max absolute P&L. Of course overfitting warnings apply!

 

https://www.elitetrader.com/et/thre...-copying-losing-strategy-with-reverse.310160/

 

Thanks for the link, I can conclude from that post that position parity can be considered another parameter in the strategy and hence reversing positions isn't exactly fading the strategy.