NAS scalping strategy

• 09/02/2021 at 12:35 PM #176659
  nonetheless

  Here’s a new algo I’ve had on forward testing for a while (US Tech 100), so far consistent with the BT results. It’s all on moving averages and more or less approximates what I do in manual trading, except where I normally work on a 1min chart, this drops down to 30sec to make up for the 1 candle delay at the entry.

  FOR:

  Very nice histogram, as good as it gets.

  High number of trades in the BT (4 0r 5 per day)

  Low drawdown

  Spectacular ‘potential returns’ when MM is active (2nd pic – haha, dream on…🤣)

  Against:

  Very short BT, 17 months – assume it’s curve-fit to that period and would need regular reworking

  Possibly over-optimized (???)

  Stoploss is > Target profit, meaning that loss of worst trade is also > Gain of best trade – not good but unavoidable.

  Very low gain per trade, easily eroded with slippage or at times of higher spread.

  No WF, as I prefer to do out-of-sample testing in demo (closer to real trading conditions)

  ***Requires lengthy forward testing before going live***

   

  As with most things in life – could be a winner, could crash and burn … who knows? Be sure to adjust the Tradetime for your time zone.

  // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated DEFPARAM preloadbars = 10000 //MONEY MANAGEMENT II MM = 0 // = 0 for optimization if MM = 0 then positionsize = 0.5 ENDIF if MM then MinSize = 0.5 // IG minimum position size allowed MaxSize = 2000 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = 370 //MinSize drawdown in instrument currency Multiplier = 3 //drawdown multiplier if ProfitAccrued + StrategyProfit >= DD*2 then Multiplier = 2 endif Capital = DD * Multiplier Equity = Capital + ProfitAccrued + StrategyProfit PositionSize = Max(MinSize, Equity * (MinSize/Capital)) if positionsize > MaxSize then positionsize = MaxSize endif PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 ENDIF once tradetype = 1 // [1] long/short [2]long [3]short once closeonreversal = 0 DLS =(Date >= 20100314 and date <=20100328) or (Date >= 20101031 and date <=20101107) or (Date >= 20110313 and date <=20110327) or (Date >= 20111030 and date <=20111106) or (Date >= 20120311 and date <=20120325) or (Date >= 20121028 and date <=20121104) or (Date >= 20130310 and date <=20130331) or (Date >= 20131027 and date <=20131103) or (Date >= 20140309 and date <=20140330) or (Date >= 20141026 and date <=20141102) or (Date >= 20150308 and date <=20150329) or (Date >= 20151025 and date <=20151101) or (Date >= 20160313 and date <=20160327) or (Date >= 20161030 and date <=20161106) or (Date >= 20170312 and date <=20170326) or (Date >= 20171030 and date <=20171105) or (Date >= 20180311 and date <=20180325) or (Date >= 20181028 and date <=20181104) or (Date >= 20190310 and date <=20190331) or (Date >= 20191027 and date <=20191103) or (Date >= 20200308 and date <=20200329) or (Date >= 20201025 and date <=20201101) or (Date >= 20210314 and date <=20210328) or (Date >= 20211031 and date <=20211107) or (Date >= 20220313 and date <=20220327) or (Date >= 20221030 and date <=20221106) or (Date >= 20230312 and date <=20230326) or (Date >= 20231029 and date <=20231105) or (Date >= 20240310 and date <=20240331) or (Date >= 20241027 and date <=20241103) If DLS then Tradetime = time >=133000 and time <200000//UK time elsif not DLS then Tradetime = time >=143000 and time <210000//UK time endif TIMEFRAME(15 minutes) ma = average[a,t](typicalprice) cb1 = ma > ma[1] mb = average[p2,t2](typicalprice) cs1 = mb < mb[1] TIMEFRAME(5 minutes) mc = average[a3,t3](typicalprice) cb2 = (mc > ma) cb3 = mc > mc[1] md = average[a4,t4](typicalprice) cs2 = (md < mb) cs3 = md < md[1] TIMEFRAME(default) me = average[a5,t5](typicalprice) cb4 = me > me[1] and me[1] < me[2] mf = average[a6,t6](typicalprice) cs4 = mf < mf[1] and mf[1] > mf[2] CB = Tradetime and (cb1 or cb2) and cb3 and cb4 CS = Tradetime and (cs1 or cs2) and cs3 and cs4 // Conditions to enter long positions if tradetype=1 or tradetype=2 then IF not longonmarket and CB THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS sl SET TARGET %PROFIT tp ENDIF ENDIF if tradetype=2 and longonmarket and closeonreversal and CS then sell at market endif // Conditions to enter short positions if tradetype=1 or tradetype=3 then IF not shortonmarket and CS THEN sellshort positionsize CONTRACT AT MARKET SET STOP %LOSS sls SET TARGET %PROFIT tps ENDIF ENDIF if tradetype=3 and shortonmarket and closeonreversal and CB then exitshort at market endif //% Break even (high/low) once breakeven =1 if breakeven then breakevenPC = be // long breakevenPCS = bes // short PointsToKeep = pk startBreakeven = tradeprice(1)*(breakevenPC/100) startBreakevenS = tradeprice(1)*(breakevenPCS/100) //reset the breakevenLevel when no trade are on market if breakeven>0 then IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND high-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- IF SHORTONMARKET AND tradeprice(1)-low>=startBreakevenS*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif endif // trailing atr stop once trailingstopATR = 1 if trailingstopATR then //==================== once tsincrements = tsi // set to 0 to ignore tsincrements once tsminatrdist = tsm once tsatrperiod = tsa // ts atr parameter once tsminstop = 4 // ts minimum stop distance tssensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== if barindex=tradeindex then trailingstoplong = tsl // ts atr distance trailingstopshort = tss // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10))/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 mypositionpriceatr = 0 endif positioncountatr = abs(countofposition) if tsnewsl > 0 then if positioncountatr > positioncountatr[1] then if longonmarket then tsnewsl = max(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) else tsnewsl = min(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) endif endif endif if tssensitivity=1 then tssensitivitylong=close tssensitivityshort=close elsif tssensitivity=2 then tssensitivitylong=high tssensitivityshort=low elsif tssensitivity=3 then tssensitivitylong=low tssensitivityshort=high elsif tssensitivity=4 then tssensitivitylong=typicalprice tssensitivityshort=typicalprice endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-positionprice>=tgl then if tsmaxprice-positionprice>=tsminstop then tsnewsl=tsmaxprice-tgl else tsnewsl=tsmaxprice-tsminstop endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if positionprice-tsminprice>=tgs then if positionprice-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs else tsnewsl=tsminprice+tsminstop endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif mypositionpriceatr = positionprice endif //=================================== RSIexit = 1 // in profit if RSIexit then myrsi=rsi[r](close) if myrsi<rl and barindex-tradeindex>1 and longonmarket and close>positionprice then sell at market endif if myrsi>rs and barindex-tradeindex>1 and shortonmarket and close<positionprice then exitshort at market endif endif

  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 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255

  // Definition of code parameters DEFPARAM CumulateOrders = false // Cumulating positions deactivated DEFPARAM preloadbars = 10000 //MONEY MANAGEMENT II MM = 0 // = 0 for optimization if MM = 0 then positionsize = 0.5 ENDIF if MM then MinSize = 0.5 // IG minimum position size allowed MaxSize = 2000 // IG tier 2 margin limit ProfitAccrued = 0 // when restarting strategy, enter profit or loss to date in instrument currency DD = 370  //MinSize drawdown in instrument currency Multiplier = 3 //drawdown multiplier if ProfitAccrued + StrategyProfit >= DD*2 then Multiplier = 2 endif Capital = DD * Multiplier Equity = Capital + ProfitAccrued + StrategyProfit PositionSize = Max(MinSize, Equity * (MinSize/Capital)) if positionsize > MaxSize then positionsize = MaxSize endif PositionSize = Round(PositionSize*100) PositionSize = PositionSize/100 ENDIF   once tradetype = 1 // [1] long/short [2]long [3]short once closeonreversal = 0   DLS =(Date >= 20100314 and date <=20100328) or (Date >= 20101031 and date <=20101107) or (Date >= 20110313 and date <=20110327) or (Date >= 20111030 and date <=20111106) or (Date >= 20120311 and date <=20120325) or (Date >= 20121028 and date <=20121104) or (Date >= 20130310 and date <=20130331) or (Date >= 20131027 and date <=20131103) or (Date >= 20140309 and date <=20140330) or (Date >= 20141026 and date <=20141102) or (Date >= 20150308 and date <=20150329) or (Date >= 20151025 and date <=20151101) or (Date >= 20160313 and date <=20160327) or (Date >= 20161030 and date <=20161106) or (Date >= 20170312 and date <=20170326) or (Date >= 20171030 and date <=20171105) or (Date >= 20180311 and date <=20180325) or (Date >= 20181028 and date <=20181104) or (Date >= 20190310 and date <=20190331) or (Date >= 20191027 and date <=20191103) or (Date >= 20200308 and date <=20200329) or (Date >= 20201025 and date <=20201101) or (Date >= 20210314 and date <=20210328) or (Date >= 20211031 and date <=20211107) or (Date >= 20220313 and date <=20220327) or (Date >= 20221030 and date <=20221106) or (Date >= 20230312 and date <=20230326) or (Date >= 20231029 and date <=20231105) or (Date >= 20240310 and date <=20240331) or (Date >= 20241027 and date <=20241103) If DLS then Tradetime = time >=133000 and time <200000//UK time elsif not DLS then Tradetime = time >=143000 and time <210000//UK time endif   TIMEFRAME(15 minutes) ma = average[a,t](typicalprice) cb1 = ma > ma[1] mb = average[p2,t2](typicalprice) cs1 = mb < mb[1]   TIMEFRAME(5 minutes) mc = average[a3,t3](typicalprice) cb2 = (mc > ma) cb3 = mc > mc[1]   md = average[a4,t4](typicalprice) cs2 = (md < mb) cs3 = md < md[1]   TIMEFRAME(default) me = average[a5,t5](typicalprice) cb4 = me > me[1] and me[1] < me[2] mf = average[a6,t6](typicalprice) cs4 = mf < mf[1] and mf[1] > mf[2]   CB = Tradetime and (cb1 or cb2) and cb3 and cb4 CS = Tradetime and (cs1 or cs2) and cs3 and cs4   // Conditions to enter long positions if tradetype=1 or tradetype=2 then IF not longonmarket and CB THEN BUY positionsize CONTRACT AT MARKET SET STOP %LOSS sl SET TARGET %PROFIT tp ENDIF ENDIF   if tradetype=2 and longonmarket and closeonreversal and CS then sell at market endif   // Conditions to enter short positions if tradetype=1 or tradetype=3 then IF not shortonmarket and CS THEN sellshort positionsize CONTRACT AT MARKET SET STOP %LOSS sls SET TARGET %PROFIT tps ENDIF ENDIF   if tradetype=3 and shortonmarket and closeonreversal and CB then exitshort at market endif   //% Break even (high/low) once breakeven =1 if breakeven then breakevenPC = be // long breakevenPCS = bes // short PointsToKeep = pk startBreakeven = tradeprice(1)*(breakevenPC/100) startBreakevenS = tradeprice(1)*(breakevenPCS/100)   //reset the breakevenLevel when no trade are on market if breakeven>0 then IF NOT ONMARKET THEN breakevenLevel=0 ENDIF // --- BUY SIDE --- //test if the price have moved favourably of "startBreakeven" points already IF LONGONMARKET AND high-tradeprice(1)>=startBreakeven*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)+PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN SELL AT breakevenLevel STOP ENDIF // --- end of BUY SIDE --- IF SHORTONMARKET AND tradeprice(1)-low>=startBreakevenS*pipsize THEN //calculate the breakevenLevel breakevenLevel = tradeprice(1)-PointsToKeep*pipsize ENDIF //place the new stop orders on market at breakevenLevel IF breakevenLevel>0 THEN EXITSHORT AT breakevenLevel STOP ENDIF endif endif   // trailing atr stop once trailingstopATR  = 1 if trailingstopATR then //==================== once tsincrements = tsi // set to 0 to ignore tsincrements once tsminatrdist = tsm   once tsatrperiod    = tsa // ts atr parameter once tsminstop      = 4 // ts minimum stop distance   tssensitivity = 2 // 1 = close 2 = High/Low 3 = Low/High 4 = typicalprice (not use once) //==================== if barindex=tradeindex then trailingstoplong     = tsl // ts atr distance trailingstopshort    = tss // ts atr distance else if longonmarket then if tsnewsl>0 then if trailingstoplong>tsminatrdist then if tsnewsl>tsnewsl[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-tsincrements endif else trailingstoplong=tsminatrdist endif endif endif if shortonmarket then if tsnewsl>0 then if trailingstopshort>tsminatrdist then if tsnewsl<tsnewsl[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-tsincrements endif else trailingstopshort=tsminatrdist endif endif endif endif tsatr=averagetruerange[tsatrperiod]((close/10))/1000 //tsatr=averagetruerange[tsatrperiod]((close/1)) // (forex) tgl=round(tsatr*trailingstoplong) tgs=round(tsatr*trailingstopshort) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then tsmaxprice=0 tsminprice=close tsnewsl=0 mypositionpriceatr = 0 endif positioncountatr = abs(countofposition) if tsnewsl > 0 then if positioncountatr > positioncountatr[1] then if longonmarket then tsnewsl = max(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) else tsnewsl = min(tsnewsl,positionprice * tsnewsl / mypositionpriceatr) endif endif endif if tssensitivity=1 then tssensitivitylong=close tssensitivityshort=close elsif tssensitivity=2 then tssensitivitylong=high tssensitivityshort=low elsif tssensitivity=3 then tssensitivitylong=low tssensitivityshort=high elsif tssensitivity=4 then tssensitivitylong=typicalprice tssensitivityshort=typicalprice endif if longonmarket then tsmaxprice=max(tsmaxprice,tssensitivitylong) if tsmaxprice-positionprice>=tgl then if tsmaxprice-positionprice>=tsminstop then tsnewsl=tsmaxprice-tgl else tsnewsl=tsmaxprice-tsminstop endif endif endif if shortonmarket then tsminprice=min(tsminprice,tssensitivityshort) if positionprice-tsminprice>=tgs then if positionprice-tsminprice>=tsminstop then tsnewsl=tsminprice+tgs else tsnewsl=tsminprice+tsminstop endif endif endif if longonmarket then if tsnewsl>0 then sell at tsnewsl stop endif if tsnewsl>0 then if low crosses under tsnewsl then sell at market // when stop is rejected endif endif endif if shortonmarket then if tsnewsl>0 then exitshort at tsnewsl stop endif if tsnewsl>0 then if high crosses over tsnewsl then exitshort at market // when stop is rejected endif endif endif mypositionpriceatr = positionprice endif   //=================================== RSIexit = 1 // in profit if RSIexit then myrsi=rsi[r](close) if myrsi<rl and barindex-tradeindex>1 and longonmarket and close>positionprice then sell at market endif if myrsi>rs and barindex-tradeindex>1 and shortonmarket and close<positionprice then exitshort at market endif endif

  Total of 12 users thanked author for this post. Here are last 10 listed.

  Ipsch, Pica, Fabiano, lnskrlssn, reb, VinzentVega, Roger, OboeOpt, Midlanddave

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  09/02/2021 at 1:59 PM #176666
  murre87

  Impressive work!

  

  murre87

  Participant

  Topics: 17

  Replies: 162

  Been thanked: 21 times
  09/02/2021 at 4:47 PM #176675
  phoentzs

  Impressive. Can that also be recoded to M1? My 200000bars are only a few days in a 30 second timeframe.

  

  phoentzs

  Participant

  Topics: 86

  Replies: 962

  Been thanked: 200 times
  09/02/2021 at 5:03 PM #176678
  eckaw

  Hi @nonetheless

  Thanks for sharing this with us!

  Do you have PRT version that is sponsored via prorealtime directly rather than the version IG provides? I need to move over to that version. I’m also curious about how it performs in 1minute compared to 30s.

  

  eckaw

  Participant

  Topics: 13

  Replies: 118

  Been thanked: 61 times
  09/02/2021 at 5:15 PM #176679
  nonetheless

  I

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  09/02/2021 at 5:16 PM #176680
  nonetheless

  phoentzs wrote:

  Can that also be recoded to M1?

   

  I haven’t tried. My guess is that it relies on getting an early entry as the MA changes direction. The margins are quite small (€2.55 per trade means an average gain of just 5 points) and could be wiped out by waiting another 30sec before opening the trade.

  I’m going to be away for a couple of weeks but I’ll try it on 1 min when i get back.

  1 user thanked author for this post.

  Midlanddave

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  09/02/2021 at 5:21 PM #176682
  nonetheless

  eckaw wrote:

  Do you have PRT version that is sponsored via prorealtime

   

  I have a PRT sponsored Premium account with IG. You have to open it through the PRT website. There’s no fee and you can do it even if you already have an IG account so it’s a no-brainer IMHO.

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  09/02/2021 at 5:29 PM #176683
  deletedaccount051022

  Thank you very much for sharing!  A clean approach to trade entry.  Very impressive  🙂

  

  deletedaccount051022

  Participant

  Topics: 26

  Replies: 139

  Been thanked: 99 times
  09/03/2021 at 7:43 AM #176703
  Ryugin

  Thanks a lot for sharing this algo, I’m already testing it in demo. I’ve been trying to code something similar but based on my manual trading strategy, hopefully I’ll share it soon too once I finish it.

  2 users thanked author for this post.

  eckaw, GraHal

  

  Ryugin

  Participant

  Topics: 1

  Replies: 21

  Been thanked: 4 times
  09/03/2021 at 8:00 AM #176708
  VinzentVega

  nonetheless wrote:

  “Very short BT, 17 months”

  Did you optimized it beginning at the first day and ended on last day?

  The problem with the optimizations up to the present day is, that we don´t see how the algo is working in realtime. The problem with the optimizations up to the present day is, that we don’t see how the algo is working in realtime. I have so many algo´s working fine in backtest, and after starting it in realtime demo, it fails. The realtime results are much more better, if i finish the BT´s a few moths befor present day and let them run after end of BT.

  So, can you pls stop optimizing of this algo as of 4/1/2021 and then backtest it from 5/1 to today?

  

  VinzentVega

  Participant

  Topics: 6

  Replies: 115

  Been thanked: 27 times
  09/03/2021 at 9:20 AM #176713
  nonetheless

  If you do it like that you still don’t see how it works in realtime because BT conditions, whether in-sample or out-of-sample, are nothing like real trading (for reasons that have been discussed countless times). Better is to optimise on max data (esp if you’ve only got 17 months), then forward test in demo.

  In my opinion, a backtest only tells you if something is worth putting on demo for a few months. Only then will you get an idea of how it works out of sample.

  I did already say this in my original post.

  

  nonetheless

  Participant

  Topics: 83

  Replies: 1237

  Been thanked: 978 times
  09/03/2021 at 10:34 AM #176717
  PeterSt

  VinzentVega wrote:

  So, can you pls stop optimizing of this algo as of 4/1/2021 and then backtest it from 5/1 to today?

   

  nonetheless wrote:

  If you do it like that you still don’t see how it works in realtime because BT conditions, whether in-sample or out-of-sample, are nothing like real trading

  Trying to learn something …

  When I read about the idea of VinzentVega, I actually thought it would be a good idea. Not that I would apply it for real, but I think it should work. Thus :

  Backtest (literally) until a few months ago (e.g. April vs today’s September) and no bar further. 🙂
  When done and optimized to your ideas, run a final backtest (not literally – it is just a final check) from the bar you stopped optimizing (April) until today (September). Let it further run in real time from there if you want. I personally see no difference in this final check done from April till today on one hand, and back in April starting a Paper run till today on the other. If there *is* a difference, then something is wrong with the approach in the backtest program vs what would be reality.
  Of course one golden rule is in order : It is totally forbidden to optimize further after you saw the results of that final check (the run from April till today). And, if the final check tells you “FAIL” then just stop with that strategy. It would also be forbidden to optimize the first part (until April) so-called not looking at the final check, because inherently you will be doing this latter (optimize the first part so the last part looks better – DON’T).

  Is this wrong somewhere ?
  Thanks !
  Peter

  

  PeterSt

  Participant

  Topics: 73

  Replies: 2555

  Been thanked: 837 times
  09/03/2021 at 10:52 AM #176721
  GraHal

  PeterSt wrote:

  Is this wrong somewhere ?

  Yes … we miss out on optimising for the market cycles  / price action existing today, last week , last month etc.

  Far better to leave an unoptimised period at the beginning of backtest (10k bars, 50k bars, whatever) and then run the optimised Algo over that OOS period. If Algo stays above zero / not go into deep loss (during the OOS period) then proceed to Forwrd Test / Paper Trade on Demo Account.

  

  GraHal

  Participant

  Topics: 214

  Replies: 8885

  Been thanked: 2225 times
  09/03/2021 at 11:11 AM #176723
  pableitor

  Thanks for sharing ! I understand you have optimized it over the whole backtest period …How did you manage to optimize more than 20 variables over 1M candles ??

  

  pableitor

  Participant

  Topics: 20

  Replies: 127

  Been thanked: 47 times
  09/03/2021 at 11:25 AM #176725
  VinzentVega

  PeterSt wrote:

  I personally see no difference in this final check done from April till today on one hand, and back in April starting a Paper run till today on the other. If there *is* a difference, then something is wrong with the approach in the backtest program vs what would be reality.

  It’s easy to prove it. Take one algo, duplicate it, optimize it, based on the two backtest scenarios, and finally backtest it and compare the results. I ensure you, that there will be diffrences.

  GraHal wrote:

  Far better to leave an unoptimised period at the beginning of backtest (10k bars, 50k bars, whatever) and then run the optimised Algo over that OOS period.

  This is also a possibility. If you have enough backtest time (in higher timeframe) , then you can disregard one period BEFORE and one period AFTER in optimization. And than ckeck the results.

   

  

  VinzentVega

  Participant

  Topics: 6

  Replies: 115

  Been thanked: 27 times
• Author
  Posts