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I'm glad you're making the changes and its too bad you view my posts as displaced anger (they're not BTW). Your comments about "Its just money anyway" are IMO misguided as there are a lot of people out there who are looking for just a few hundred bucks to start a business, hence the kiva comment. There's a ton of literature on proper backtesting methods and what I've mentioned thus far is all fairly well known information and it only scratches the surface of potential pitfalls. There are still a few glaring red-flags in your backtest (even with the small sample size)... That said, why not just sign up for TradeStation instead of giving away your hard work? (I use the platform BTW). The TS forums are a great resource; there are some very good threads devoted to topics such as this and it would be well worth your time (in fact I would say its manditory) to read those forums. Your statement about the profit factor doesn't make any sense. You have a $300/per trade average profit at 10 contracts per trade. So, we are looking at a $30/contract avg profit. Suppose you include commissions in that number already. Okay, now we get $6.25/per side slippage (a low estimate, your last backtest only inlcude slippages for one side), and you're down to $23.75/per contract per trade avg profit. Say you have some bad slippage at 12.50 per side (only one full tick), now you're down to $17.50 / per trade per contract. This is not a tradeable ES system. You're going to run into missed trades, bad fills, broker down time etc etc that will eat that $17-$23 /per trade profit down to 0 and even negative. For you to say your profit factor went down by only 0.1 means you missed something critical somewhere... A good figure to go by is $50/per trade per contract and even that's pushing it. I would say $80 per trade per contract is the cutoff after all slippage ($12.50/per side) and commissions. Mike
It is my advice that you listen to your new friend Mike. He is more than correct and like he said this is not scratching the surface of what could happen. Go back to late 2008 and tell me how you got filled or early 2009. You sound a lot like me when I first started this venture. I can't tell you how many times I was telling people that I finally found it, only to get into my 3rd year of backtesting and watch it all unravel. There goes another 1,000 hours of my life.. IMO also it is best to use market orders when testing. In reality setting limit orders is adding too much additional risk that cannot be exactly accounted for. Again, you will find this out sooner than later. Regarding your money management as well as I stated 10 cars is too much risk for $10,000. That is $500/$10,000 = 5% OF YOUR ACCOUNT EACH POINT. Or about 1% PER TICK. Does that even seem right to you? It shouldn't if you are thinking critically. Most of my programs have a MAX OPEN POSITION DRAWDOWN of under 1%. Remember that is OPEN POSITION DRAWDOWN not the "biggest loser". Take some time to think why we would tell you this. It is not because we are envious of your results. Really, we are trying to help. Think about why you don't have money managers knocking on your door. Once you open your futures account you will be playing with literally the biggest players on the street and they are feasting on your retail money. Thats how they make their living. They are efficient in what they do and they will be looking for your 10 cars as soon as you lay them.
I always read everything and take it into consideration. Really thanks for all your advice and reminders. I never said anyone was jealous and I don't wonder why money managers aren't knocking at my door. I couldn't figure out how to get on the TS forums without actually having an account.
if you have an account at tradestation, you can sign up as a strategy developer: https://developer.tradestation.com/StrategyNetwork/default.aspx Personally it looks like your strategy would test well but not perform well in real life because backtesting always gives you perfect fills and real-life never does. For short term trading, the discrepancy is just enormous.
Two things... You seem to know what you are talking about and you are a knowledgable coder, however trading is not quite that simple as it can appear on paper... There was thing missing on your performance statistics...Sharpe Ratio...either you deleted it or that info is not available which would really surprise me... Second, to test its viability you need to do a thorough walk forward for at least a month and address any anomolies that will pop up...and they do... 2 1/2 ...you then need to trade it manually so that you get the feel of the nuances of market behaviour in Es to know what your system is all about...I did not look ,but were all your trades market orders or limits or half and half? NiN
Yes, I am trading it with my real account right now, only 1 contract of the E-Mini NQ and will report back. So far after 6 days of trading, I have: 1st trade - 90 dollar loss 2nd trade - 10 dollar gain 3rd trade - 50 dollar gain 4th trade - 80 dollar gain 5th trade - 10 dollar loss
What was your Sharpe ratio.... and what type of fills did you have..market, limit or half and half? NiN