I´m not expert at write code but i have some basic knowlodge of amibroker and Mestatock. I think i can translate the rules to both languages. Dont ask me about tradestation code.... i'm not that good.
Can you run your system on a random selection of other ETFs? Choose a period that is as long as possible. Or if you can post your code, I will try to replicate it.
I usually do that test in related markets like (SPY, IWM or MDY) and see if the system makes profit and if the equity line have a positive slope. I dont expect to achieve the same results.... Also, i dont test the system in other non related markets because i dont follow the idea that one size fits all.
Basically the system have two parameters that can be optimized (i never change, with a small exception the ATR_STOP formula (in theory you could, but i choose not to do it), so i don’t considered it a parameter that can be optimized). The parameters are: The IBS threshold The number of days in the Highest High Close
As you can see the system make money with all the range of IBS threshold value. I found a stable range between 20-35. I choose the original value that I tested (20).
In order to evaluate real time performance i will provide real-time signals on my twitter account under the hastag #QQQIBSM1. From time to time i will also provide here the updated results of the system. Any comments or critics? Or can we go to the next one?
Can you compare the system's metrics to buy and hold for the various time periods. (esp sharpe) 2000-present 2005-present 2010-present Are you using your own custom developed backtester?
This is what you are competing against, QQQ buy and hold annual returns: You are way under almost every year on your system so it is a lot of work and commission to underperform simple buy and hold. You started out beating it first 3 years then consistently underperformed so you need to rethink the strategy.
Thanks for feedback. Will elaborate more on this and the previous post later in the day, but the way you see it is one way, the way i seet it is that buy and hold had a negative performance of minus 15%.