I’ve only run a few quick checks on 100K bars so far but here are my thoughts for what they are worth.
You have added quite a lot and it has to be considered that everything and every variable that you add to a strategy just curve fits it more to the past and makes it less likely to work in the future. Try removing things and if you can barely notice the difference then they are not worth including. My quick check showed that Cv1 is adding nothing – in fact the strategy has higher gain/loss without it. The trailing stop is adding virtually nothing too. I am not a fan of trailing stops and this ones just made me even less of a fan.
I also notice that you have played with the take profit and stop loss. I suspect the stop loss is slightly closer to the cliff edge where if market characteristics shift just slightly then you will have a very good strategy…. at losing. I have not graphed it so you will need to check this yourself. Personally I think that if you can do away with targets and stop losses altogether and find a way that positions are closed on a condition then you will have a much stronger strategy.
I think that you also need to graph the average used as a filter and see how over optimized that is and also check what the draw down is either side of it.
When I see numbers like 51 and 47 for take profit and stop loss it rings alarm bells – graph them too!
I also preferred my idea of only using your ‘Zombie’ stop if the trade was in profit after a certain period. Just getting out based on time passed is never a good idea as maybe at some point at bar 99 it would have been a massive loss and bar 100 a small profit and you have just curve fitted to that with a number chosen for no other reason than it is a nice number. Plus as you said – you are getting paid for being in a short position so why rush to leave it.
Hope my ideas help……
Thank you for all these valuable tips. I am a beginner in algorithmic trading and I am really happy to receive advices to improve my algorithms. I want to try many things but I have to keep in mind that simplicity is the ultimate sophistication….
