TST Combine - Entering Algo into TST

Discussion in 'Automated Trading' started by Spectre2007, Jan 21, 2018.

  1. Above was /ES, below is /GC
     
    #11     Jan 25, 2018
  2. Another key aspect is since no positions can be kept from session to session. Position reassignment needs to be done, if profit targets are far away. There is price slippage upon the open of the new session. Sometimes its favorable and sometimes not.
     
    #12     Jan 25, 2018
  3. #13     Jan 27, 2018
  4. Had to fine tune some assumptions.
     
    #14     Jan 31, 2018
    SimpleMeLike likes this.
  5. Great job Chris. Our goals are aligned as I am currently working on a Algo with NinjaTrader to pass the TST Combine and get funded as well. So far still working on getting Algo to withstand that low drawdown. I am preparing for the 50K account.
     
    #15     Feb 1, 2018
  6. Here's the data so far. Implementing, the discretionary variable multiple times a day, is not prudent. Trading less (algo), proves to workout better for this algo. Any trading plan leads to data about average losses and reward. The average losses dictate the profit target you need to aim for for your algo to survive. If the price patterns don't project out the profitable point to be hit. The trade should not be placed. tst2.jpg
     
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    #16     Feb 2, 2018
    SimpleMeLike likes this.
  7. Great stats Spectre2007,

    I have a good question for you. How do you manage the drawdown? For example, I have a strategy now I can run on TST, but over a 5 years historical backtest, the drawdown is nearly $6000.

    My concern is if I run that system on TST on the $50K account, it will hit the $2K drawdown.

    What are you thoughts on this?
     
    #17     Feb 3, 2018

  8. Thank you, but the stats aren’t really that great. I have a very bad habit of tinkering with system throughout the day. What the system is proving over and over is to just leave it alone.

    As far as your system for TST, you have to design a system that takes into account TST rules. It could be as simple as only trading 1 lot even with equity increase.

    I have a system that trades very infrequently but still looks good over multi year testing. Generating 10% per year with minimal drawdown over multi year span is very hard to do.

    TST can also be used for forward testing, meaning even if you fail the rules but still come out ahead similar to your backtest than it proves your system may have viability.

    12% drawdown has to be put in relation to what the system generates.
     
    #18     Feb 3, 2018
  9. Here's one that trades 1 lot, and closes out position at the end of each session. So realistically only need about 5K to fund account and just maintain system infrastructure. Since intraday margins run 500 per /ES. gr.jpg
     
    #19     Feb 3, 2018
    SimpleMeLike likes this.
  10. Here's monthly drawdown and profit.

    pl.jpg
     
    #20     Feb 3, 2018