Nooby McNoob becomes a quant

Discussion in 'Journals' started by nooby_mcnoob, Mar 24, 2017.

  1. Sorry I haven't been keeping up this journal, but I wanted to have something worth sharing. So here is where I am:

    1. My manual strategy worked. The success probability is about 70%
    2. I have backtested to 2008
    3. It is consistently profitable week after week, year after year. It never lost money.

    So now I'm deathly afraid I'm screwing something up. I have backtested using the following methods:

    1. Manual
    2. Coded in two separate platforms
    2a. Platform A: let it manage the exit via a trailing stop
    2b. Platform B: I managed the stop manually (in code)

    The results were the fucking same within a few $10K. I'm losing it, because if this works, I will have achieved my childhood dream.

    I don't know what to do next, but I guess I'll allocate about $5K to this strategy in the new year and let it go. If it works successfully in month 1, I'll put in the full $50K towards the strategy. If I lose it all, ah well.

    Merry Christmas, and happy new year!

    Here are the backtest results: [​IMG]
    #121     Dec 24, 2017
  2. sle


    Are you sure there is no lookahead bias of some sort in there? How many trades is that?
    #122     Dec 24, 2017
  3. There is only one place where there could be lookahead bias, and I have tried to confirm that it doesn't exist. How would you know for sure?

    Edit: I do not know the number of trades yet over the whole period.
    #123     Dec 24, 2017
  4. sle


    Well, it's just one guess - the curve is eerily smooth for anything that's not a proper high frequency strategy.

    There is a number of possible issues that could cause this (I'll go through some ideas shortly), but rehashing them here would be a bit too public.

    PS. Just tried sending you a PM - apparently, you have that turned off
    #124     Dec 24, 2017
  5. Right. In previous incarnations it looked extremely uneven until a few hours ago where I doubled down on getting the right exit conditions. Everything else remained the same, but once I nailed the exit condition, it became what you see :-/

    It is intraday, but not high-frequency. It's designed to be neutral to market direction.
    #125     Dec 24, 2017
  6. I feel like the next steps are to print out all the trades and manually go over them using a third data provider to make sure everything is lining up and my backtests are executing correctly without lookahead bias. Thoughts?
    #126     Dec 24, 2017
  7. I think I had to "follow" you. Should work now.
    #127     Dec 24, 2017
  8. Sad Christmas present: I think I found a bug.
    #128     Dec 25, 2017
    i960 and sle like this.
  9. i960


    Everyone here knows how you feel. Use this as an opportunity to remind yourself that if you do see something that looks too good to be true you should assume a bug somewhere until proven otherwise :D
    #129     Dec 25, 2017
    samuel11 likes this.
  10. Well, I was deathly afraid that I was wrong :D

    The thing I'm still trying to reconcile is why the other platform (which can't have the same bug) gives similar results.
    #130     Dec 25, 2017