Understanding the Limitations of Backtesting in Trading Systems

Discussion in 'Strategy Building' started by MarkBrown, May 15, 2025.

  1. Hello MarkBrown,

    The number 1 thing I hate in my life is back testing trading ideas. I hate it with a Passion. I REALLY REALLY hate programming and back testing.

    I spent nearly 5 years programming and back testing over +100 trading strategies in ES and NQ.

    When I finally found a strategy I thought would make me alot of money, I invested $20,000 in the strategy and loss $18,000 in 1 year with the strategy.

    I wasted 5 years of my life back testing, and I will never ever do that again.

    Now, I stare at the chart and manually trade day to day, and it is much more less stressful, less anxiety and I make more money.

    I think back testing trading ideas is only for people that is already rich , not for traders who really need to make money day to day, week to week, or month to month.
     
    #11     May 16, 2025
  2. Hello RedDuke,

    Algo trading is scam. It will not make an ES trader rich in a year. And it is not scalable with out a profit factor above +2.5.

    Even the strategies that come close to working is not scalable as well.

    Then you have the folks that say you need +20 diversified uncorrelated strategies to make money. No-one has that much money to invest in +20 diversified uncorrelated strategies, the trader needs about $400,000 cash.

    Easier to just stare and the chart and fight and make it work day to day in the ES Futures market.

    I do not care what anyone says, if you serious about being rich in the ES futures market, you have to bet it all and hurry up and click until eyes is tired and hurting.
     
    #12     May 16, 2025
  3. itg

    itg

    The proverbial search for the Holy Grail, the unified approach, like finding a red diamond..
    I thought I seen one 20+ years ago, until the equity curve went limp

    ++ price path is a major bitch, complicates the code and generates lotsa quirks in the process
     
    #13     May 16, 2025
    SimpleMeLike likes this.
  4. MarkBrown

    MarkBrown

    i probably back test 100 systems a day 3 days a week for decades.

    first thing is never make a all in system that will go both long and short.

    make a long model and make a short model independently.

    to replicate actual trading calculate all trade information within the current bar and then place order on the open of the next bar. if you ever get something to hold up doing that at least its not and unrealistic fill. like i was saying earlier i also test using open of next bar to exit.

    i never liked mt5 or nt, myself and some others know that is not a platform to use.
    i would not use tradestation either and multicharts has plenty of problems itself. python is really worth learning and investing time in if you go the automated route.

    i had systems running today trading and i also manually traded today. i am always trying to match the two and seeking solutions. i went for years and didn't auto trade but really think it's worth while to never give up on it.
     
    #14     May 16, 2025
    SimpleMeLike likes this.
  5. Hello MarkBrown,

    The only trading systems I want and need must have this criteria ONLY::::

    1. ES or NQ instrument
    2. Every year in back test the system scaled from 1 ES/NQ contract to +25 ES/NQ contracts from 2010 to now. EVERY YEAR, NO losing years.
    3. The system made +$300,000 per year EVERY year from 2010 - now.

    I never found such a system, so I quit looking and stop programming, I was wasting time and energy.

    Easier to manual trade and trade like a structured well mannered Cowboy.

    Because you have to remember MarkBrown, women will only ask me 1 question.

    Just 1 question sir "Are you rich yet from all that trading you been doing"??

    My answer needs to be Yes, not building systems looking for it.
     
    #15     May 16, 2025
    MarkBrown likes this.
  6. Trading is hunting....and no two hunts, trades, are ever the same. It's a delicate balance between art and science. A wise trader hunter should understand this
     
    #16     May 16, 2025
    MarkBrown and SimpleMeLike like this.
  7. Hello LionsWarthogsMillions,

    Trading is about making +$1 million within 0-2 years.

    This is all a trader needs to understand. no other understanding is needed, unless you want to be a poor trader and wasting time and energy.
     
    #17     May 16, 2025
  8. MarkBrown

    MarkBrown

    now who put that silly idea in your head :D it shouldn't take two years!
     
    #18     May 16, 2025
    SimpleMeLike likes this.
  9. A trader can make a million in less than a month....if that person has really good timing, understanding and a large appetite for risk tolerance. Options on the SPX intraday
     
    #19     May 16, 2025
    SimpleMeLike likes this.
  10. Lmfao hahahaha hahahaahahahah hahahaahhaha

    You are right @MarkBrown about 6 months to a year only
     
    #20     May 16, 2025