Which Trading System Or Strategy Is The Most Profitable?

[Biglivetrade]

I am not able to generate profit if any successful strategy, Indicator or tips you have suggested to me.

[NinjaTrader_Jim]

Hello Biglivetrade,

Thanks for your post.

This is not a topic our Support Team could touch on, but we will be happy to leave the thread open for any community members to share their insight.

If you have any additional inquiries, please don't hesitate to open a new thread!

[tracejustice]

There is no way to answer this. There are too many variables. Depends on instruments you trade, time frames, etc, etc. Try building a simple trend following system using something like a 20 period colored Hull Moving Avg. Focus on ways to filter out sideways markets and good ways to enter and exit such as entering trades using limits that are a few ticks away from the price (since most trades almost always go against you immediately [use that to your advantage]. Set profit targets and stop losses after figuring out your odds of hitting those..... takes some time... lots of time to work out a good system... money mgt is key usually.

[demarcog]

BigLiveTrade,

I can't tell you how beyond frustrated I am as I've spent the last few years back testing every conceivable strategy and about ready to throw in the towel, it's a devastating feeling my friend.

I like the non time based chart types as we really only care about price movement and they test like I found the hold grail in the back tester but in real time, like today in CL it did fantastic but eventually the sideways markets eat up the good signals. Hopefully if they improve the strategy analyzer to be accurate on non price based charts that will help tremendously. As even the Market Playback is close but only real time SIM trading is 100% accurate and that take so much time..

In my systems I'm looking for some basic setups, price above several moving averages, 18 ema, above the 34, above the SMA 50 and I use a smoothed 50 EMA of a 50 EMA for overall trend direction. I try to code in a pull back in an established trend and so close, if I could eliminate maybe 10-15 percent of the losers I may have something but about to give up.

If there are people that have great systems I haven't run across one willing to help out. I'm not a real developer and don't have the skills to put something together apparently. I'm looking for very short term systems on the stock indices, CL and GC which have monster moves and one would think it would be possible to come up with something using very short term intervals, 1 3 5 minutes or renko and Unirenko short term box sizes.

If anyone is in a similar situation and wants to collaborate I love to work together.

It's also a little disappointing that the support people who work at firms where I had accounts in the pas, eSignal and Tradestation won't even discuss the topic. I worked on Wall Street for 20+ years had many licenses series 7,3, 55 63, 68. 24 and while it's true if you aren't an investment advisor you cannot recommend specific investments that is true. But providing sample code "for educational purposes" or suggestions or help advise on designing a system, there is no regulation that I ever heard of against that and as I said I worked in compliance for 5 of those years. So either the managers have them spooked based on their own misunderstanding or they also have not found anything worthwhile, which I really doubt. These people are super talented, intelligent, market savvy world class developers, it's not possible they would not have come up with some tradable systems if they indeed exist.

Some people say it's a zero sum game, if I help you it's cost me money, which I don't buy. Wells Wilder perhaps the greatest market genius of all time when asked why sell a book with your ideas said no two people would ever trade even the same exact system so zero sum is irrelevant.

It's easier to come up with systems that trade off hourly to daily data and could probably find something that still makes money to post if anyone is interested but the drawdowns are too painful and have a tendency to shake you out at the worst possible time.

I frankly wonder sometime if people really do have successful systems as people for the most part are good hearted and nobody is asking for the farm or the code but some helpful input and in 20 years of doing this I'm the only person I know that actually posted the code to a profitable trading system on the esignal forum that is still there, but it was 2008 where the 2 and 3 x etfs where printing money and any trend following system made money.

Good luck brother I truly hope you and others are successful at this game I guess it's not in the dna of some of us. Anything I can do to help or collaborate let me know.

glen

Glen

[RT001]

I share your discouragement at some extent demarcog. After trying many combinations of trend riding and breakout strategies (mostly with moving averages) in many situations, I am led to believe that market makers (big money) do add some "time randomness" in their systems on a daily basis, for the purpose of confusing trend riding systems that do not have the financial impact to make the price move.

It would be great indeed that the strategy analyzer better support Heiken Ashi and Renko strategies - however I am quite new with the market analyzer - as my ideas that looked the best on paper until now were with those 2 chart systems.

[NinjaTrader_Jim]

Hello RT001,

To touch on the Strategy Analyzer better supporting Renko and Heiken Ashi strategies, we have to understand bit about how the Strategy Analyzer works.

The Strategy Analyzer processes historical data (completed bars) and uses the OHLC values of each bar (unless High Order Fill Resolution is used, or if the strategy submits orders to a single tick data series) to simulate order fills.

Renko bars have functionality to remove the last bar and repaint their Open. This behavior is seen in realtime as the bar forms, but with backtesting, the bars are already built. This means that you will not get the same reversal behaviors that happen live when you backtest.

It is often best to test Renko strategies with the Playback Connection so the realtime reversal behavior is simulated.

Heiken Ashi bars do not use real price levels. This means that if you do not use High Order Fill Resolution, or a strategy that submits orders to a single tick data series, the orders would be filled with the HeikenAshi price levels, which are not real OHLC.

Discrepancies between realtime and backtest - https://ninjatrader.com/support/help...ime_vs_bac.htm

It is often best to use a HeikenAshi indicator instead of the BarsType when building strategies

Heiken Ashi indicator - https://ninjatraderecosystem.com/use...heiken-ashi-8/

The link above is publicly available.

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[RT001]

Hi Jim, thanks for the explanation, especially concerning the High Order Fill Resolution!