Does anybody know the script to order a position closed if target isn't reached within a certain number of days? That would give realistic results but I can't figure out how to do it.
baggerlord, Let me get this straight, you did not include a stop loss portion, but only a profit (1%, or 3%) on your test, is this correct? If so, what happens to the position if it goes down and never looks back. Do you have a mechanism in the system to take you out of the position? Also, does this trade both long and short? I saw someone on the Wealth-Lab site who posted a similar sounding system. Basically went long on extreme dips and sold on the first profitable close. Of course win% was very high because the position was allowed to move so far against the system. It was the opposite of "ride your winners, cut short your losers". The end result was a high% system, with a poor win/loss ratio.
I had a strategy that produced 92% winners during the big run-up of 1999, winners averaged about 5% in one to two days and losers averaged about 0% in one day. It was a buy the dips strategy (which only works in an uptrend). I developed it by looking at charts and keeping results on paper, later I optimized it in Tradestation. What came out of that for me was some tech analysis that I use to this day, a combination of indicators that together serve as a pattern as reliable as anything out there. Max
I updated my system to sell all stocks that don't reach the target within 20 days. I lowered the target to 2%. My system is netting about .5% a trade after losses are taken into account. The average trading period with the losers included is 3 days. This would yield 150% a year. Now I'll see if it works for real I guess. Now that I think about it it was really pretty pointless for me to post this here, when I'm not going to say how it works. Sorry to annoy everybody.
The other thing to be very careful about is friction costs. In a system like this, they could be significant. I would suggest testing your system in something more versatile than Metastock. TechnifilterPlus is great for testing as long as you are doing EOD. WealthLab is another good tool. Even with the changes they've made recently, Metastock is not good for system testing. Makes pretty charts, though. g
I would personally love to know your real time results. I'm not as interested in your system rules. Basically you're going for a high win% system with low expectancy. 1 loser knocks out a streak of winners. Lots of transaction costs. It's a virtual casino. I've designed systems like this but never traded it live. If you are shy about sharing results publicly, feel free to PM me. Thanks!
yes be careful, make sure you include slippage and commissions on the entry and exit. I recently coded up a system that produced 5000 per ES contract during the period of 2001 to 2003. It traded on 1 minute bar data, and I used tradestations continuous contract for the test. When I added in a slippage factor of 12.5 dollars per side, the systems equity curve went from a very nice 45 degree angle, to a choppy breakeven/lose money system. This system was not optomized. With optomization, I was able to get very good results even after I accounted for the slippage. However, I'm a neophyte to optomization, and so I would rather have a system that performs good after slippage and commissions are accounted for, but before optimizing.
No, the really pointless posts on this board do not even come close to yours. Sharing info about your system even if you are not going to tell the details is fine with me. At least it can serve as an inspiration for others to work on their own systems. Keep us updated on your real trading success or failure. Good luck.
Whenever I come up with a system that good, I always assume I screwed up somewhere. I give myself a minimum of 2 weeks to dwell on it, review the code, compare manually to charts, etc, looking for my ERROR. I've found my error every time. peace axeman
baggerlord, I realize that all of this thread is coming off as very negative, but please realize that most of us have all been there. I really wanted to believe the awesome results on several systems that I've built, but alas.... Metastock will allow you to test with some future knowledge. By this I mean you can set up the tester to enter on the open of the bar with a delay of zero based on information about that bar's high, low, or closing price. Check your logic carefully and go over your trades in detail to completely understand what Metastock is and isn't doing. Also, be very wary of any trades that are opened and closed within a bar. To really test this, you'll need more discrete subunits of data, preferably 1 minute bars. Again, no trades that enter and exit on the same bar should be accepted. Finally, I'd offer the idea that if you are entering or exiting on a limit (or a built in trailing stop, percent target, etc.) these may be fine on paper, but in reality, you may not be getting the fill. Check your system by including only those trades where the price goes through both your entry and your exit, as you'll definitely get those when trading live. Are the results still to your satisfaction? These are just some ideas. Good luck, and welcome to the next level in this wonderful, interesting, and profitable world of system testing.