Totally agree. Impressive results last week, btw. The equity curve is nearly ideal. You have been running live for just over 4 months now, correct? How closely have you found that your live results are reflecting your backtesting results and how do you perform this comparison (statistically). Do you monitor this relationship (backtesting vs. live) closely and frequently? So you use a market "scanner" to find candidates for your strategy. Do you find that such a scanner (1000 symbols) has bandwidth or CPU issues or is it relatively lightweight? I think I might know what you mean by "position mismatches", but could you please elaborate? I think I understand the first part, but the "slow to enter, quick to get out" I'm not sure about. Do you mean that your strat only takes a smaller portion of a larger trend? Without going into details if you don't want to - I'm interested in a general idea of what this calculation looks like. Do you take into account commissions, liquidity, etc.? Sounds like good advice. Thanks! All the best this coming week.
Totally agree. Impressive results last week, btw. The equity curve is nearly ideal. You have been running live for just over 4 months now, correct? How closely have you found that your live results are reflecting your backtesting results and how do you perform this comparison (statistically). Do you monitor this relationship (backtesting vs. live) closely and frequently? I began code development on a portfolio basis using Amibroker because TradeStation didn't have the capability (they say it is coming). Each night I import the trades that Amibroker took and compare that to what I did. Some days it is 100% the same, but if there are too many signals, they don't always match. When I was discretionary trading all the time and taking big risks, I would compare my performance to Amibroker's and it always did way better. I felt like it was taunting me with a high win rate, while I was being blown out or just trying to break even. I was convinced that somehow it was programmed to cherry pick the winners using hindsite. I thought what would be the motivation of the developers, because the backtesting engine was a one time fee, no subscription. Then I looked closer to the symbols it was trading over several years and noticed that more symbols started with the letter "A" than randomness would suggest. I thought, is that the secret to great results" Just buy symbols that start with the letter "A"? I actually considered doing that just to buy the exact same stocks that Amibroker was. Then it dawned on me that it was just going alphabetically down the list of tickers, and when it got to a trade signal, took the trade until it reached its maximum allowed trades. (since then I have learned to code it to be random). This was great news though because it meant that the strategy didn't depend on picking only the winners to work . It just had to include enough different symbols to hit the expectancy. Currently, I am performing as well as backtesting, although not exactly the same symbols. Actually the bactester took a long trade in RINO (now in the pinksheets) in november, but is still at all time highs. So you use a market "scanner" to find candidates for your strategy. Do you find that such a scanner (1000 symbols) has bandwidth or CPU issues or is it relatively lightweight? The scan is performed when markets are closed and takes about 2 or 3 minutes to complete. I have actually included a 1000 symbols in RadarScreen and it takes a while to load, but doesn't seem to get bogged down during market hours, even with a cheap Dell from Walmart. I think I might know what you mean by "position mismatches", but could you please elaborate? position mismatches are when the number of shares your strategy thinks you have doesn't match the realworld number. If the strat tried placing a sell order for say 100 shares and you only had 99, it would get rejected. I think I understand the first part, but the "slow to enter, quick to get out" I'm not sure about. Do you mean that your strat only takes a smaller portion of a larger trend? No, it has more to do with the idea of that say you have a target price to buy at thinking that is close to the bottom, wait until tomorrow, because you'll probably be able to get it at an even better price :eek:. What I mean by quick to get out is the strat monitors intraday price action and once conditions are met, it exits. Some of my trades last only a few minutes. Overnight holding can also be disastrous if the stock were to gap down the next day. Without going into details if you don't want to - I'm interested in a general idea of what this calculation looks like. Do you take into account commissions, liquidity, etc.? As a starting point you would take your Networth x2/Position Size to determine the most number of positions you should be holding. My calculation is a bit more complex though, but that is where I started. Sounds like good advice. Thanks! All the best this coming week.
Well exited my position in CCME around the open for a $320 loss. At one point I was down $1900 so I consider this a gift. Reversed a losing position in LPHI but this was not part of the strat. I saw support breaking down on it midday and when I pulled up the news, I saw that too may law firms were hounding it. I know I said I would go 100 percent strat, but things can get boring when you auto trade. These stocks had already broken the rules of a typical entry, so I felt the need to micromanage them. I avoided the temptation to backup the truck with them, which is definately a step forward. Another nice thing about using a strat on a large number of positions at once is that when orders are firing off, you realize you shouldn't interfere with the system because it is screaming at you "Don't mess with me." Even with a net loss on the day, my networth closed at new highs since starting this journal. Go figure. Real-time Realized P/L (Today) ($600.90) Entries: 6 Exits: 15
Placed a buy to cover on LPHI at the open. Not part of strat, but did help with damage control. I don't plan to give play by plays of all the trades I make in this journal. There is already plenty of that here.. Besides, there are just too many trades. I don't give any one trade more importance than the other. The stocks in my portfolio are all equals to me, so no favorites. I am their Master. I will, however, be providing equity curves regularly to see how my equity progresses. Also, today I was thinking it would be instructive to me as well as others if I showed side by side charts of my equity curve verses the E minis at the end of each month. What I want to see is how my system performs during the various market conditions that occurred during the month. This is something I have not payed attention to greatly. The backtesting seems to be good in downtrends, sideways trends, as well as uptrends. We shall see. Entries: 7 Exits: 9 BuytoCover: 1 Real-time Realized P/L (2/8/11) $440.65
Saw some nice action day today, with the system working beautifully. I was able to recover my losses from two days ago and then some. It is a process of taking 2 steps forward and 1 step back, which is what you would expect with 66% profitability. This is how I will guage whether my system is comparing well to backtesting: 66% or greater profitable [*]Profit factor > 2 [*]Average $ Profit of Winners > Average $ Profit of Losers [*]Maximum system drawdown of 8% If the sytem begins missing these numbers, then I need to reevaluate it. Entries: 12 Exits: 11 Real-time Realized P/L (2/10/11) $657.08
Good plan. I assume that as you move forward, older live results will become part of the "backtesting" you compare newer live results to?
Yes they would if I backtested from today's date (which is what I generally do if I am only looking at recent history, such as the past 4 months). I'm not too concerned about curve fitting with my particular strat because it has never done poorly over a time frame of say > 6 months. I would like to challenge anyone to post a From-To time frame of > 6 months and < 10 years, where they think my strat would do poorly and I will post the Amibroker equity curve of that time frame. I know it would only be simulation, but you have to start somewhere.
I'm referring to the Tradestation equity curve you posted. That only works for a single symbol unless you buy an add on, right?