Fitting the Curve?

Discussion in 'Strategy Development' started by Onra, Jun 10, 2011.

  1. Onra

    Onra

    Hi all,

    I'm new to backtesting and I need your help and input :)

    This (automated) strategy runs on EUR/USD and other pairs, on several timeframes.
    I based the settings on backtest optimizations from 1/1/2010 on.
    My first three weeks live were not good and I don't know if I'm in a drawdown or should dump the entire idea.

    I decided to test again from 1/1/2006 onwards.
    This example looks promising to me, but I'm not sure any more.
    The less trades; the greater the profits, but the lower the probabilities.

    Is this curve-fitting or is there anything else I overlooked?
    Please leave your comments!

    Thanks,
    Onra
     
  2. How do your actual execution price values compare to the simulated trade price values?
     
  3. Onra

    Onra

    Thanks; that's certainly an issue.
    We changed the pending orders to market orders, because there weren't filled sometimes. The latest version should allow more room between stop and limit price.

    In order to get an idea of the spread, I used a slippage of 4 (= 2 pips with Interactive Brokers)
     
  4. Bowgett

    Bowgett

    How many parameters do you optimize?
     
  5. Onra

    Onra

    Well... just about every one you see...
    So about twelve + the timeframe
     
  6. Lucias

    Lucias

    Optimization is the process of curve fitting a strategy to the data. You are concerned with over fitting which is highly likely if you are using 12 parameters.

    If it were that easy.. everyone could do it. If you message me I'll let you know when I release an ebook/report on backtesting & system development in the next few weeks.
     
  7. He probably means the control parameters on the right. These are not system parameters.

    To the OP: how many parameters are used in your system? For example, period of a MA, RSI, etc.?
     
  8. Onra

    Onra

    Hi Intradaybill,
    It's all price action, based on bars, not on indicators.
     
  9. No indicators says nothing in particular. If it has statements like:

    IF High[1] > High[2]+a

    where a is a variable, then this is not parameterless price action.
     
  10. Onra

    Onra

    Than it's all the parameters on the top right side; so about twelve.
    Can you give some comment on the number of trades, the Sharpe Ratio, Profit faktor etc., because I have no idea if I should look for less or more...:confused:
     
    #10     Jun 11, 2011