Let's Compare Strategies

[sledge]

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

I haven't tried it across weekends, not sure if Saturday would throw an error.

I record all my data, so haven't had any need to run it.

[sledge]

ES 06-12

Market Replay

This time the short side was strong than the long side. hmmm

ES 03-12 next.

[Adamdetx]

My Strategy

Hey guys, I hope it's not to late to post my latest. Normally I go for longer term bots, but here is my latest scalper.

Profit Factor 2.76
Net Profit $5210
Percent Profitable 91.33%

It only has a few days of data in the screen shot since it a really data intensive strategy.
I have been able to take some random sampling of days in Dec 2011 and Jan 2012 and the results are congruent with what I'm seeing in Sim now. By the way the screen shot is from running sim in real time. If I can just scrape some money together now I can run this thing.

[jsktong]

Hey guys, I hope it's not to late to post my latest. Normally I go for longer term bots, but here is my latest scalper.

Profit Factor 2.76
Net Profit $5210
Percent Profitable 91.33%

It only has a few days of data in the screen shot since it a really data intensive strategy.
I have been able to take some random sampling of days in Dec 2011 and Jan 2012 and the results are congruent with what I'm seeing in Sim now. By the way the screen shot is from running sim in real time. If I can just scrape some money together now I can run this thing.

Question, this is a 2 day sampling. It trades so many times and each trade's pnl is quite small. did you have very tight stop/target? I don't think NT's BT is that real on such tight trades. If entries and target are within same bar, then this is prob not going to work in real money.

[Adamdetx]

I hate to sound terribly ignorant, but what do you mean by BT? It does have a very tight target and stop. As far as working with real money, on my other strategies I have found that when I can run them in sim they produce fairly similar results with real money. I expect this to be the same.

[jsktong]

BT meaning back testing.
Just to clarify, I am not by means expert. I am going through the learning phase as well..... I had a strategy which i set the stop too tight. So when I back tested, the result just shined on me. something like profit factor of close to 4. then I looked at the chart for entries and exits. almost 99% were perfect exits. meaning say I sold 100, bought back at 99.x. Everyone is a winner.
It turned out when you optimize or back tests with historical data, NT strategy analyzers doesn't know which price came first. so in fact, on the same trade in real time, it could've been selling 99.x before buying 100. So results are not real. Unless you run everything on tick basis, then it gives much more accurate results.

[Adamdetx]

I've found the same problem. About a year ago I blew out an account learning about false positives in backtests and optimizations. Now I don't run anything unless it runs well playing forward either on a replay, or real time on a sim account, or both. This strategy is really data intensive, so I can only run the replay for about a day at a time, but the individual days all support this data. I started this running at the end of last week in sim mode on a live connection, and it has been running in real time since then.

[marcow]

I started this running at the end of last week in sim mode on a live connection, and it has been running in real time since then.

What are the performance results for this time period ? How many ticks of slippage did you use ?

[Adamdetx]

Performance results

No slippage, I am using limit orders. The performance is in the attached screenshot.

[marcow]

No slippage, I am using limit orders

No slippage, really ? In live trading your limit order will not be filled if the price touches it, because there are hundreds of orders in the orderbook which have to be filled first before your order gets filled. NT sim doesn't account for that. In my opinion you should use a slippage of 2 in sim to get somewhat reliable results on a strategy with tight stops and targets.

Did you also test the strategy in market replay ? First run 1 day without slippage, then the same day with slippage 1 and see what happens. Do you see what I mean ?

Again, I'm not criticizing your strategy, and I hope for you that it is profitable in live trading, I'm just pointing to the errors I made myself when I thought I had a profitable strategy.

The performance dates in this image are january 1st to 3rd 2012, that's not last week ...
Would like to see the results from last week.


Marco

[Adamdetx]

Marco, I appreciate the advice, I've got it running this morning on a sim account in real time, and with no slippage, slippage set to 1, and slippage set to 2 there is no significant difference. I'll post more results as I have them.

[marcow]

No difference in results with slippage 0,1 or 2 ? That's very strange. It almost seems that slippage does have no effect on a sim account ? There has to be a difference between them. I mean if your stoploss gets triggered it sends a market order. with slippage 2 this order gets filled 2 ticks lower than with slippage 0

Please do try a run of the same day on MarketReplay with slippage 0,1 and 2.

I'll post more results as I have them.

yes, please !

[koganam]

Hey guys, I hope it's not to late to post my latest. Normally I go for longer term bots, but here is my latest scalper.

Profit Factor 2.76
Net Profit $5210
Percent Profitable 91.33%

It only has a few days of data in the screen shot since it a really data intensive strategy.
I have been able to take some random sampling of days in Dec 2011 and Jan 2012 and the results are congruent with what I'm seeing in Sim now. By the way the screen shot is from running sim in real time. If I can just scrape some money together now I can run this thing.

That is an awful lot of vig you are giving to the broker!

[Adamdetx]

Along those lines, what is the lowest commission rate you've seen for futures, and who has it?

[koganam]

Along those lines, what is the lowest commission rate you've seen for futures, and who has it?

For retail traders who do not have a seat, the lowest that I have been quoted so far is from Trading Technologies.