Is this system to good too be true?

• 02/15/2017 at 7:31 PM #25197
  NDT

  Hi All,

  I’ve created my first system using two moving averages and have been testing it on the DAX, IT40 and Japan 225.

  The result I’m getting from the back tests are pretty good, since 2013, but I’m worried that I’m missing something and this system is to good too be true….

  The code is below:

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FLATAFTER = 215500 // Conditions to enter long positions indicator1 = ExponentialAverage[10](close) indicator2 = ExponentialAverage[35](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 THEN BUY 10 PERPOINT AT MARKET ENDIF // Conditions to exit long positions indicator3 = ExponentialAverage[10](close) indicator4 = ExponentialAverage[35](close) c2 = (indicator3 CROSSES UNDER indicator4) IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator5 = ExponentialAverage[10](close) indicator6 = ExponentialAverage[35](close) c3 = (indicator5 CROSSES UNDER indicator6) IF c3 THEN SELLSHORT 10 PERPOINT AT MARKET ENDIF // Conditions to exit short positions indicator7 = ExponentialAverage[10](close) indicator8 = ExponentialAverage[35](close) c4 = (indicator7 CROSSES OVER indicator8) IF c4 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP pTRAILING 6

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FLATAFTER = 215500   // Conditions to enter long positions indicator1 = ExponentialAverage[10](close) indicator2 = ExponentialAverage[35](close) c1 = (indicator1 CROSSES OVER indicator2)   IF c1 THEN BUY 10 PERPOINT AT MARKET ENDIF   // Conditions to exit long positions indicator3 = ExponentialAverage[10](close) indicator4 = ExponentialAverage[35](close) c2 = (indicator3 CROSSES UNDER indicator4)   IF c2 THEN SELL  AT MARKET ENDIF   // Conditions to enter short positions indicator5 = ExponentialAverage[10](close) indicator6 = ExponentialAverage[35](close) c3 = (indicator5 CROSSES UNDER indicator6)   IF c3 THEN SELLSHORT 10 PERPOINT AT MARKET ENDIF   // Conditions to exit short positions indicator7 = ExponentialAverage[10](close) indicator8 = ExponentialAverage[35](close) c4 = (indicator7 CROSSES OVER indicator8)   IF c4 THEN EXITSHORT  AT MARKET ENDIF   // Stops and targets SET STOP pTRAILING 6

  Too good to be true, or is this system displaying good results?

  

  NDT

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  02/15/2017 at 7:41 PM #25201
  Raul Vg

  What timeframe do you use?

  

  Raul Vg

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  02/15/2017 at 7:43 PM #25203
  Raul Vg

  With timeframe of 1 hour and a. Stop so short may not be real and the problem of zero bars

  

  Raul Vg

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  02/15/2017 at 7:49 PM #25208
  Joachim Nilsson

  Yes i´m sorry but it´s too good to be true. A 6p trailing stop on such a high timeframe doesn’t´t work.

  

  Joachim Nilsson

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  02/15/2017 at 7:54 PM #25210
  Raul Vg

  Test it in demo for a while and compare the results with the backtest

  

  Raul Vg

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  02/15/2017 at 8:01 PM #25214
  Joachim Nilsson

  I tweaked it a bit and now it performs quiet well.

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FLATAFTER = 215500 n=5 m=19 // Conditions to enter long positions indicator1 = ExponentialAverage[n](close) indicator2 = ExponentialAverage[m](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 THEN BUY 10 PERPOINT AT MARKET ENDIF // Conditions to exit long positions indicator3 = ExponentialAverage[n](close) indicator4 = ExponentialAverage[m](close) c2 = (indicator3 CROSSES UNDER indicator4) IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator5 = ExponentialAverage[n](close) indicator6 = ExponentialAverage[m](close) c3 = (indicator5 CROSSES UNDER indicator6) IF c3 THEN SELLSHORT 10 PERPOINT AT MARKET ENDIF // Conditions to exit short positions indicator7 = ExponentialAverage[n](close) indicator8 = ExponentialAverage[m](close) c4 = (indicator7 CROSSES OVER indicator8) IF c4 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP ploss 180 set target pprofit 150

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   DEFPARAM FLATAFTER = 215500   n=5 m=19   // Conditions to enter long positions indicator1 = ExponentialAverage[n](close) indicator2 = ExponentialAverage[m](close) c1 = (indicator1 CROSSES OVER indicator2)   IF c1 THEN BUY 10 PERPOINT AT MARKET ENDIF   // Conditions to exit long positions indicator3 = ExponentialAverage[n](close) indicator4 = ExponentialAverage[m](close) c2 = (indicator3 CROSSES UNDER indicator4)   IF c2 THEN SELL  AT MARKET ENDIF   // Conditions to enter short positions indicator5 = ExponentialAverage[n](close) indicator6 = ExponentialAverage[m](close) c3 = (indicator5 CROSSES UNDER indicator6)   IF c3 THEN SELLSHORT 10 PERPOINT AT MARKET ENDIF   // Conditions to exit short positions indicator7 = ExponentialAverage[n](close) indicator8 = ExponentialAverage[m](close) c4 = (indicator7 CROSSES OVER indicator8)   IF c4 THEN EXITSHORT  AT MARKET ENDIF   // Stops and targets SET STOP ploss 180 set target pprofit 150

   

  

  Joachim Nilsson

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  02/15/2017 at 8:14 PM #25215
  StantonR

  Ran the following code on japan 225 with good results.

  Only problem is the draw down is too high

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated DEFPARAM FLATAFTER = 215500 n=5 m=19 // Conditions to enter long positions indicator1 = ExponentialAverage[n](close) indicator2 = ExponentialAverage[m](close) c1 = (indicator1 CROSSES OVER indicator2) IF c1 THEN BUY 1 contract AT MARKET ENDIF // Conditions to exit long positions indicator3 = ExponentialAverage[n](close) indicator4 = ExponentialAverage[m](close) c2 = (indicator3 CROSSES UNDER indicator4) IF c2 THEN SELL AT MARKET ENDIF // Conditions to enter short positions indicator5 = ExponentialAverage[n](close) indicator6 = ExponentialAverage[m](close) c3 = (indicator5 CROSSES UNDER indicator6) IF c3 THEN SELLSHORT 1 contract AT MARKET ENDIF // Conditions to exit short positions indicator7 = ExponentialAverage[n](close) indicator8 = ExponentialAverage[m](close) c4 = (indicator7 CROSSES OVER indicator8) IF c4 THEN EXITSHORT AT MARKET ENDIF // Stops and targets SET STOP ploss 180 set target pprofit 150

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   DEFPARAM FLATAFTER = 215500   n=5 m=19   // Conditions to enter long positions indicator1 = ExponentialAverage[n](close) indicator2 = ExponentialAverage[m](close) c1 = (indicator1 CROSSES OVER indicator2)   IF c1 THEN BUY 1 contract AT MARKET ENDIF   // Conditions to exit long positions indicator3 = ExponentialAverage[n](close) indicator4 = ExponentialAverage[m](close) c2 = (indicator3 CROSSES UNDER indicator4)   IF c2 THEN SELL  AT MARKET ENDIF   // Conditions to enter short positions indicator5 = ExponentialAverage[n](close) indicator6 = ExponentialAverage[m](close) c3 = (indicator5 CROSSES UNDER indicator6)   IF c3 THEN SELLSHORT 1 contract AT MARKET ENDIF   // Conditions to exit short positions indicator7 = ExponentialAverage[n](close) indicator8 = ExponentialAverage[m](close) c4 = (indicator7 CROSSES OVER indicator8)   IF c4 THEN EXITSHORT  AT MARKET ENDIF   // Stops and targets SET STOP ploss 180 set target pprofit 150

   

  

  StantonR

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  02/15/2017 at 10:22 PM #25220
  NDT

  Thank you so much everyone for your feedback and for adjusting the code! That’s so kind of you :).

  I’m slightly confused though (pardon my ignorance here) but why are the back tests so mis-leading if in the real world they’re not really valid? And how can you determine if a system you’ve developed in actually going to work…?

  Best wishes

  

  NDT

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  02/15/2017 at 10:35 PM #25222
  Eric

  https://www.prorealcode.com/blog/avoid-equity-curve-fitting-with-probacktest-trading-strategy-optimisation/

  

  Eric

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  02/15/2017 at 10:38 PM #25224
  Wing

  In any backtest on the 10.2 version of PRT, trades that reach the SL and TP within the same bar that the trade is opened, will always count as a win. That is what can mislead you, which is why you must check for how many bars your trades in the backtest are held.

  

  Wing

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  02/15/2017 at 10:49 PM #25227
  NDT

  Thank you so much Eric and Wing! 🙂

  

  NDT

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  05/17/2017 at 1:48 PM #35839
  Francesco78

  It is flat after February no? Overfitting  here I presume.

  

  Francesco78

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