Improving my strat

[l0e0u0n0g]

I have a simple reversion strat and results as follow:





Wt can I do to improve it?

[bltdavid]

Wt can I do to improve it?

What's wrong with it?

[koganam]

I have a simple reversion strat and results as follow:

Wt can I do to improve it?

You are showing a positive equity curve which has never gone negative. What are you trying to improve?

[l0e0u0n0g]

hi guys

there was a serious draw down between trade 221 and 241

can i do sumthing about it? btw this is daily graph

[sledge]

hi guys

there was a serious draw down between trade 221 and 241

can i do sumthing about it? btw this is daily graph

Obviously, you need to turn it off.

[l0e0u0n0g]

i am willing to give up sum profit just to smooth the curve

[NinjaTrader_AlanP]

Hello l0e0u0n0g,

Thank you for your note.

You might consider building logic into your strategy which would halt the strategy if a certain number of consecutive losers are met. An example can be found on our forum here,

Strategy: Stopping a strategy after consecutive losers

http://ninjatrader.com/support/forum/showthread.php?t=19289

Another forum post which you might find helpful,

Strategy: Halting a Strategy Once User Defined Conditions Are Met

http://ninjatrader.com/support/forum/showthread.php?t=4804

Please let us know if you need further assistance.

[bltdavid]

i am willing to give up sum profit just to smooth the curve

Do you have a long series of consecutive losers?

One way to combat that is to switch to a different stop loss policy after a losing trade.

Build your strategy to support 2 different order "profiles", let's call them the winner profile and the loser profile.

These profiles are for order risk management, and basically represent quantities and a set of profit targets and stop losses.

The winner profile is your normal quantities with its profit targets and stop losses.
The loser profile is a somewhat restricted version, esp with a tighter stop and reduced quantity.

Your first trade starts out using the winner profile.

From here on, the order entry profile depends upon the previous trade result.

That is, the next trade looks back to the previous trade to decide which profile to use.

If the previous trade was a winner, the next trade uses the winner profile.
If the previous trade was a loser, the next trade uses the loser profile.

Ideally you'd want a bool property to enable/disable this order risk mgmt profile selection policy.

If the bool is false, always use the winner profile (aka, your default profile).
If the bool is true, use the profile depending upon the profit seen in the previous trade.

If a series of consecutive losers is the primary culprit for your unwanted drawdown, you could try to continue trading during the drawdown with a reduced stop and smaller quantity.

The idea is to weather the losing periods with smaller losing trades, waiting for a small winning trade to resume using the winner profile.

[koganam]

i am willing to give up sum profit just to smooth the curve

In that case, there are a few approaches that you can consider, in isolation or all of them.

• Have different trade profiles, used in the manner that bltdavid suggested.
• Adopt a version of the Turtle Rules where a new trade was only to be entered if the last trade was actually or would have been (if not taken because of this very rule) a loser.
• Cap the size of a losing streak, and then only take new trades after a trade not taken would have been a winner.

I am presuming that you are trading off daily candles, so quitting for the day is not a sensible option. At least, your results look like they are swing trades rather than day trades. If day-trading there are a few other approaches to capping loses.

[bltdavid]

• Adopt a version of the Turtle Rules where a new trade was only to be entered if the last trade was actually or would have been (if not taken because of this very rule) a loser.

You mean, only enter a trade if the last trade would have been (or was) a losing trade?

What if the last trade was a winner?

That's interesting, but seems a bit confusing & counter-intuitive.

As I poke around the web to find the turtle rules, can you cite a specific reference and/or wording for the specific turtle rule it is based upon?

[koganam]

You mean, only enter a trade if the last trade would have been (or was) a losing trade?

Yes. Just as it says.

What do you do if the last trade was a winner?

The obvious. You do not take the new trade?

That's interesting, but seems a bit confusing & counter-intuitive.

As I poke around the web to find the turtle rules, can you cite a specific reference and/or wording for the specific turtle rule it is based upon?

It was not based-on anything. It was one of the actual rules.

From what purports to be a faithful copy of the original rules:

System 1 Entry - Turtles entered positions when the price exceeded by a single tick the
high or low of the preceding 20 days. If the price exceeded the 20-day high, then the
Turtles would buy one Unit to initiate a long position in the corresponding
commodity. If the price dropped one tick below the low of the last 20-days, the Turtles
would sell one Unit to initiate a short position.
System 1 breakout entry signals would be ignored if the last breakout would have
resulted in a winning trade. NOTE: For the purposes of this test, the last breakout was
considered the last breakout in the particular commodity irrespective of whether or not
that particular breakout was actually taken, or was skipped because of this rule. This
breakout would be considered a losing breakout if the price subsequent to the date of
the breakout moved 2N against the position before a profitable 10-day exit occurred.

ref: http://metastocktools.com/downloads/turtlerules.pdf

https://www.google.com/search?q=original+turtle+trader+rules