My road to Heaven

Discussion in 'Journals' started by Evgeniy, Nov 11, 2019.

  1. Evgeniy

    Evgeniy

    Backtest #47

    Transformation of the setup "к" to "кД" and the final of the curvefitting)

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    #21     Nov 28, 2019
  2. Evgeniy

    Evgeniy

    Backtest #47

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    #22     Nov 30, 2019
  3. Evgeniy

    Evgeniy

    Сonclusions #47:

    - the start-up setup “k” within the day turned out to be ineffective, but good at {+2} zoom;
    - accepted parameters:

    Pic 10.png
    - BR lower instant liquidity and wider range of {+1} zoom;
    - BR - few transactions for reliability;
    - due to the large correlation of BR and CL and because of the time of a losing trade less than the time of a profitable one, there is a coincidence in time of positive transactions and the separation of negative ones. Because of this, a series of losing trades is stamped, but a series of profitable trades is not stamped;
    - return to BR with separate limits for it and leave at RR>1.5;

    - take into account: significant zones, OСF criterion, figure {0} and {+1} zooms;
    - for diversification we take ES as the second tool. Strategy on the same principle.
     
    Last edited: Dec 2, 2019
    #23     Dec 2, 2019
  4. Evgeniy

    Evgeniy

    Tasks for week #49:

    1. Enter the CL trade.
    2. Control trade CL through MLS and% +.
    3. Run the ES test on the setups: к, кД, кор1, кор2, ко3, сн.
    4. To philosophize.
     
    #24     Dec 2, 2019
  5. Evgeniy

    Evgeniy

    Forwardtest #49 CL

    Pic 11 B-M #47.png

    Pic 12 B-M #49.png

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    #25     Dec 7, 2019
  6. Evgeniy

    Evgeniy

    Forwardtest #49 ES

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    Some kind of sugary sweet chocolate. Too sweet. Simultaneous trading of CL and ES gives 350% per week. I will sort this out. And this is the magic amount of "15" ...
     
    #26     Dec 9, 2019
  7. Evgeniy

    Evgeniy

    Forwardtest #50

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    Conclusions:
    - cut two setups for CL;
    - ES on FOMC and rollover is trading normally;
    - the overlap of setup moments on ES and CL is very rare.
     
    #27     Dec 15, 2019
  8. Evgeniy

    Evgeniy

    Backtest #47 ES

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    #28     Dec 19, 2019
  9. Evgeniy

    Evgeniy

    Forwardtest #51

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    #29     Dec 21, 2019
  10. Evgeniy

    Evgeniy

    Brief statistics for four weeks:

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    Conclusions of the first month:


    1. System performance on ES is 4.6 times higher than on CL:
    - 2.33 due to NP, tick/RT (+63%) + RT frequencies (+44%);
    - ~ 2.00 due to less capital.
    2. NP, $/RT on the CL is worse due to the cost of the tick and a higher relative commission.
    3. In reality, there will be additional slippage at stop loss in CL.
    4. CL is more sensitive to volatility.
    5. Statistics are needed with additional analysis sections:
    - by volatility;
    - according to the optimal trading time (the total duration of the trading day is ~ 22 hours, which is too high for manual trading).
    6. At the minimum commission in ES, the commission share in GP will be 16%. Which is very good for scalping.
    7. There is a potential increase in take for some setups.

    Solutions:

    1. The gain from using CL is negligible, and the work doubles. I leave one tool - ES. Trading MES instead of ES is impractical due to the high commission.
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    2. I introduce additional criteria in the statistics.
    3. I am doing analysis on the timing of trading.
     
    #30     Dec 25, 2019