Algo Performance Poll
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Any thoughts?
What I think is that this is a good example of what I meant by abandoning First Principles; you are trying to think your way into it. There’s nothing wrong with that, it might be a good idea, but the only way to know is run loads of tests on as much historical data as you’ve got and see if your idea holds water. In my experience, after countless hours of BT and demo forward testing, separate values for long and short yield the best result. That will remain my position on the subject until I’m shown otherwise, at which point I shall happily revise my opinion 😁.
Same regarding closing on Friday for fear of a disastrous gap opening on Monday. Lots of people harbour this prejudice (as did I), but it’s v easy to check, here’s the code:
1234567891011121314//friday closefridayclose = 1if fridayclose thenif opendayofweek = 0 and time = 230000 thentradesok = 1endifif opendayofweek = 5 and time = 210000 thensell at marketexitshort at markettradesok = 0endifendif(add tradesok to entry conditions)Run your BT with fridayclose switched on and off and tell me which works better. I’ve never seen it yield any advantage – for the simple reason that, as often as not, the re-open can also gap in your favour. But if you get a different result, I won’t argue with you and happy to give it another chance 😁.
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@, I run a backtest on 100k on NQ and guess what? You’re absolutely right cutting Friday night would have made me lose 13% of my gain on 100k. The point I wanted to make is with Gaps your loss can exceed by far your SL, but I forgot to mention that your gains can also exceed your highest expectations 🙂
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Great topic, thank you for starting. Some very helpful and insightful contributions, as is always the case in this forum.
Here is my contribution:
I started in May 2020, completely new to algo trading on a non-professional basis and learnt very quickly that it is a completely different ball game to what I have been used to before. Thanks to this great community I was able to learn very quickly. Everything you need can be found here on this site. Thank you to , , , and for all your efforts in running this site.
I started a couple of strategies on both a 1min and 5min timeframe late May ’20 in incubation and scaled up through to July, adding a few more strategies as I went. After my first year I was up 484% but it was a choppy ride and not one I would wish to repeat. I also benefited from a year of strong momentum which really helped and I was able to leave the aglos alone whilst I invested a lot of time into learning more about coding and strategies in general.
What I have learnt that has really helped;
-The wholly grail is very much about finding strategies that fit your personality.
-Whilst everyone wants to make the big bucks, the path to achieving that goal is more important. If the path includes huge drawdowns, low win rates then it is unrealistic to keep running such a system.
-Not wishing to run strategies that are active in all market conditions (overtrading). Sitting on the sidelines is a legitimate trading decision that is overlooked sometimes.
-Higher time frames fulfill my preference in reduce number of orders but still allow the smoothing out of an equity curve. Also I no longer reoptimize once a strategy is launched like I did on lower timeframes.
-Price action is a leading indicator. Any indicator that derives its value from price over a defined period is automatically lagging. However, they form great tools to filter out and define different market conditions.
-Authors I would recommend: Van K Tharp, Kevin Davey, Andreas Clenow and Ernest Chan to start.
I also trade options manually and use scans which I have coded to create daily signals. The approach I use there has benefited my algos. Alignment on multiple timeframes. This will ensure that you only trade an A+ setup every time and help reduce the number of losing trades to a degree.
Hope this helps.
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