Let's Compare Strategies

[sledge]

Sledge has encouraged me to post my screen shots. This is the Strategy I will be live trading going into December. Hope it holds for the month.

Is this with Market Replay or just Strategy Analyzer?

You should verify in Market Replay....

If you can't run market replay, at least run in SIM mode live on it before you go for "real" money.

[sledge]

Any chance that we can see the strategy code. The results look pretty impressive.

That 09/2012 ES contract

I got it to

total +7587, long 7762, short -175

so i lost some from the long, but gained more from the short with something i saw.

At my slow processor speed, it will take me a few more nights/days to test in Market Replay ES 03-12, and ES 06-12. And I will need to rerun the code through 12-12 (although I don't think any of the conditions that were in 09-12 happened in 12-12 yet).

I should be able to provide market replay results for 2012 (summed together).

I'm not sure how to run a full market replay across contracts, I don't think that is possible.

[koganam]

That 09/2012 ES contract

I got it to

total +7587, long 7762, short -175

so i lost some from the long, but gained more from the short with something i saw.

At my slow processor speed, it will take me a few more nights/days to test in Market Replay ES 03-12, and ES 06-12. And I will need to rerun the code through 12-12 (although I don't think any of the conditions that were in 09-12 happened in 12-12 yet).

I should be able to provide market replay results for 2012 (summed together).

I'm not sure how to run a full market replay across contracts, I don't think that is possible.

Well, I have a much faster system. If I can see the actual Strategy code, I can give it a run. The results so far look impressive.

[:::grimReaper:::]

NFT, did you try walk-forward? How many parameters does your strategy have?

[NFT-Trader]

NFT, did you try walk-forward? How many parameters does your strategy have?

Walking forward results have been as good as optimize so far. I am not sure I have a grasp on the value of walking forward yet.

I have live traded a version of this strategy since October and the account is up 45% and results have been within the variation of the strategy.

Not sure how to run replay mode for the entire year since I think I need to download each day individually. Is this correct? My system is very fast so I should be good to go once the data is on hand.

I have about 700 lines of code and ~ 50 variables.

[marcow]

Sledge,

I'm not sure how to run a full market replay across contracts, I don't think that is possible.

in fact, it is possible. I do this all the time. For example download the various contracts you want to replay, lets take 03-12 and 06-12. Go to your NT database directory(C:\Users\*****\Documents\NinjaTrader 7\db\data ) MAKE A BACKUP of the entire directory, and rename all the "ES 06-12.ntm" to "ES 03-12.ntm" with a file renamer program (I use "filerenamer", it takes just a few clicks). Now you have a continuous contract over 6 months.


NFT Trader,

Not sure how to run replay mode for the entire year since I think I need to download each day individually. Is this correct? My system is very fast so I should be good to go once the data is on hand.

I have a continious ES contract from june 2011 to june 2012 in my database, I'd be more than happy to do a replay for you

[sledge]

Walking forward results have been as good as optimize so far. I am not sure I have a grasp on the value of walking forward yet.

I have live traded a version of this strategy since October and the account is up 45% and results have been within the variation of the strategy.

Not sure how to run replay mode for the entire year since I think I need to download each day individually. Is this correct? My system is very fast so I should be good to go once the data is on hand.

I have about 700 lines of code and ~ 50 variables.

I have a script to auto download market replay data from within NT.

[:::grimReaper:::]

Walking forward results have been as good as optimize so far. I am not sure I have a grasp on the value of walking forward yet..

Walk forward results are the only results that count, otherwise a simple optimization is just predicting historical data perfectly (especially when you >3 parameters, you mentioned you have 50!). Either way, looks like it's off to a good start, but 1 month of live results may not be enough, unless it's profiting every day.

[NFT-Trader]

Walking Forward

Walk forward results are the only results that count, otherwise a simple optimization is just predicting historical data perfectly (especially when you >3 parameters, you mentioned you have 50!). Either way, looks like it's off to a good start, but 1 month of live results may not be enough, unless it's profiting every day.

I appreciate the advice on walking forward and I will try to put more emphasis into using it as I better understand its value. However, if I am optimizing, lets say from 11/1/11 to 11/30/12 to be used for Dec 12 then am I not in good shape (albeit no one can predict the future) if for the last 12 months I am end up with the numbers I presented below. I need to understand how walking forward is more valuable than consistent profits over a long period. Originally I tried optimizing for 3 weeks but the results were skewed in that I can easily curve fit my parameters to any given 3-4 weeks.

I am going to play with walking forward and hopefully post some results.Again thanks for the advice.

Other than Sledge I still do not see anyone post their numbers so that we can compare and have this educational conversation.

[NFT-Trader]

Download Script

I have a script to auto download market replay data from within NT.

I am going to start working on one now that you say it can be done.

[NFT-Trader]

Replay Offer

Sledge,



in fact, it is possible. I do this all the time. For example download the various contracts you want to replay, lets take 03-12 and 06-12. Go to your NT database directory(C:\Users\*****\Documents\NinjaTrader 7\db\data ) MAKE A BACKUP of the entire directory, and rename all the "ES 06-12.ntm" to "ES 03-12.ntm" with a file renamer program (I use "filerenamer", it takes just a few clicks). Now you have a continuous contract over 6 months.


NFT Trader,



I have a continious ES contract from june 2011 to june 2012 in my database, I'd be more than happy to do a replay for you

Thanks for the offer Marcow but I am going to decline it.

[koganam]

I appreciate the advice on walking forward and I will try to put more emphasis into using it as I better understand its value. However, if I am optimizing, lets say from 11/1/11 to 11/30/12 to be used for Dec 12 then am I not in good shape (albeit no one can predict the future) if for the last 12 months I am end up with the numbers I presented below. I need to understand how walking forward is more valuable than consistent profits over a long period. Originally I tried optimizing for 3 weeks but the results were skewed in that I can easily curve fit my parameters to any given 3-4 weeks.

I am going to play with walking forward and hopefully post some results.Again thanks for the advice.

Other than Sledge I still do not see anyone post their numbers so that we can compare and have this educational conversation.

What you are describing here is a walk-forward test, albeit done manually. Not to be talking down at you, just reminding us all, a walk forward test just means that you optimize over a period, then use the optimized parameters in a later period to see if you obtain similar results.

Personally, once I do that, I am at least going to run MarketReplay to see if the results are any good in quasi-live trading. If I have good results, only then will I consider live trading, first on Sim, then ...

[sledge]

What you are describing here is a walk-forward test, albeit done manually. Not to be talking down at you, just reminding us all, a walk forward test just means that you optimize over a period, then use the optimized parameters in a later period to see if you obtain similar results.

Personally, once I do that, I am at least going to run MarketReplay to see if the results are any good in quasi-live trading. If I have good results, only then will I consider live trading, first on Sim, then ...

This is probably "general news" for the people who have been around a while..

I was in a 'trading room' this past week, and was introduced to this kind of a chart.

NT does not provide this chart, yet.

I have a nice screen capture of the chart from the trading room, (which has copyrights from 2006-7 from some website) but this will suffice.

http://forum.mql4.com/35483/page2

It's the second image in the post.

replace the left side with NT's WIN/LOSS ratio, and the bottom with NT's WIN %.

to the right of the line would be "profitable". the further to the right and upper quadrant would be most excellent.

left of the line = keep trying.

This would be an easy chart for NT to produce in their Graphs section.

[:::grimReaper:::]

However, if I am optimizing, lets say from 11/1/11 to 11/30/12 to be used for Dec 12 then am I not in good shape (albeit no one can predict the future) if for the last 12 months I am end up with the numbers I presented below. I need to understand how walking forward is more valuable than consistent profits over a long period.

Optimizer is just providing the optimal parameter settings in hindsight. You need to use a walk-forward to get a better idea of how it'll perform in the future. Read these links then ask if you have questions:

http://en.wikipedia.org/wiki/Walk_forward_optimization

http://en.wikipedia.org/wiki/Overfitting

If you don' understand these concepts, you will lose a lot of $. Good thing you did't go live yet.

[koganam]

Profit Factor: 2.79
# of Trades: 376
# of Months tested: 11
Cum. Profit: 69%
Percent Profitable: 57.18%
Sharpe Ratio: 1.85
Ratio W/L: 2.11
Commission: True
Slippage: None
Max Drawdown: -1.31%

I have been optimizing this strategy since starting systems trading in August of this year. I have to laugh when I compare my original trading strategy to this one. I am not sure what I enjoy more writing code to increase the numbers above or actually trading. Live trading results have been similar to the numbers above - so far so good.

Since I am new to systems trading I am curious to see the honest backtest results of the other members as well as their comments of course.

Looking forward to your replies.

Well, here is one set of results.