Strategy evaluation steps?

Discussion in 'Trading' started by Konradp, Oct 11, 2021.

  1. Konradp

    Konradp

    Hi,
    I’d like to ask what steps You take while testing Your trading strategy.
    Of course backtesting, monte carlo, other common steps but maybe there is something extra You use. I recently found that testing strategy with different starting date helps a lot in determining how it behaves.
     
    murray t turtle likes this.
  2. deaddog

    deaddog

    I spend my time trying to prove it doesn't work.
     
    persistence and Konradp like this.
  3. Ditto. What you're "left with" is worth consideration.
     
    persistence and Konradp like this.
  4. rb7

    rb7

    1) Optimization and backtesting
    2) Backtesting with out-of-the-sample dataset (data not included in previous step)
    3) If results are good, analyze if forward data was use in 1 and 2 (or any other type of error)
    3) Paper trading (real-time)
    4) Real-money trading with small volume
    5) Real-money trading with full account $$

    Most of people go from 1 to 5, and fail.
     
  5. Raheel Shaikh

    Raheel Shaikh Sponsor

    Start of with a 3 step process
    • First watch your educational content once
    • Second time watch and take notes and do some testing on the charts (live and bactesting)
    • Third time watch it and pick up all the details you missed while reading the charts

    Then start by building a trade plan
    its okay to trade a small capital at the start to understand emotions
    80% emotions while trading

    Then when you start back-testing build a data sample
    eg: number of trades, time of the day, note down what time you faced the most losses, note down your emotions while trading live and understand why it happened, have a spread sheet to keep all the data, SR and RR.

    Once you have enough data to go live then you start
    live testing on a small live account and see how it work
    collect data( the market is never the same, so don't just rely on the back-tested data)

    Then its a constant Refine, Refine, Refine process, till the end.
     
    Konradp likes this.
  6. lindq

    lindq

    And by the time you get to #5, your system will have run its course as evidenced by an immediate drawdown...and you get to start all over again.
     
    murray t turtle, yc47ib and Konradp like this.
  7. trader1974

    trader1974

    Practice until your brain melts.
     
    SimpleMeLike and Konradp like this.
  8. deaddog

    deaddog

    Are traders with melted brains more likely to be profitable?
     
    murray t turtle and Konradp like this.
  9. Are you trying to capture beta or find alpha?
     
    Konradp likes this.
  10. Konradp

    Konradp

    #10     Oct 11, 2021
    shuraver likes this.