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01/12/2018 at 10:00 AM #59147
jebus89

Definitly interesting.

I personally like the use of supertrend as filter, been tampering with the same idea. The macd is also fine and the fact that its long and short is very nice. I do however have a couple of problems with it:

 

  1. No money management except stop loss at 0.93% which im guessing is an optimized variable, which leads me to problem #2
  2. it seems overoptimizied / overfitted / curvefitted. See photo for 200K backtest.  Im gonna guess you have optimized with data from 2011 – 2012 -> 2017-2018.
  3. Amount of total trades are low, over 10 years and just about 250 total trades with an avg of 0.17 trades pr day. This is ofc not a disaster but definitely too few trades to be 99% sure about the robustness of the system, which brings me to problem #4
  4. Let me start off by saying that in the podcast “better system trader” which features alot of pro traders and legends in trading, there are different opinions on what im about to say.. I know that every market is different, but when looking at strategies like these, the basic indicator filter momentum type of strategies, it should at least be looking “not half bad..” in other similar markets. A system that works in DAX is probably looking like shit in forex (ofc depending on the system/rules)  but a system that works in DAX, unless its super-spesific, shouldn’t be SHIT in dow jones/us500/nasdaq etc (as this seems to be)… If the whole system is basicly looking for momentum with basic indicators, why shouldn’t it pick up the same type of momentum that you can find in similar markets? If the system is curvefitted and variables of the indicators have changed a lot, then that system will most likely not work in any other market because its optimized to fit the DAX and DAX alone. For me, thats a slight problem. Doesn’t mean that its not going to work, but it means that it is indeed curve-fitted and the risk of it “not working tomorrow” is too big for me to feel comfy running. But thats just my opinion, some of the legends on the podcast made a point that even if you have overfitted for one spesific market, it doesnt mean its a bad system, it just means its spesific about which market to trade in..

 

Will put this system in demo and check on it from time to time, thanks for sharing.