Simulated Trading

Vonasi · Fri, 14 Sep 2018 10:44:45 +0000

As Nicolas has posted a great new blog on using simulated trading to improve strategy performance at: https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/ I thought that I would post something a little similar (but not as good!) that I wrote a while back. I have never used it in anger in a live or demo strategy as I felt the value of the average period was too critical as to whether it worked well or not. Maybe a better filter can be used? x = 20 //average period positionsize = 5 //tradesize if equitycurve >= average[x](equitycurve) or tradecount <= x then trading = 1 endif if equitycurve < average[x](equitycurve) and tradecount > x then trading = 0 endif if trading and not onmarket then buy positionsize contracts at market buyprice = close tradecount = tradecount + 1 endif if trading = 0 and not onmarket then buyprice = close tradeonmarket = 1 endif if onmarket and close > positionprice or onmarket and close > high[1] then sell at market equitycurve = equitycurve + (close - buyprice) endif if tradeonmarket and close > buyprice or tradeonmarket and close > high[1] then tradeonmarket = 0 equitycurve = equitycurve + (close - buyprice) endif graph equitycurve graph average[x](equitycurve) graph trading I tested it on the SP500 weekly. Obviously there is no real strategy involved as it just buys every week if it is not on the market and sells at the close of a week if it is in profit or if the week has closed higher than the previous weeks high. As with all uses of an average it will be curve fitted dependent on the average period selected. Also just like Nicolas’s example the filter does not come into play until x number of trades have passed. It would be possible to alter the code so that these are either real trades or simulated trades depending on your appetite for risk I guess. Here are the results with a period of 20: Maybe a discussion on similar codes and the use of simulated trades will be of interest to someone?

This topic has 52 replies, 7 voices, and was last updated 3 years ago by zilliq.

Tagged: equity curve, simulated trades

Viewing 15 posts - 31 through 45 (of 53 total)

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12/25/2020 at 9:50 PM #155208

Vonasi

….and how would that equity curve look if you had a big loser so stayed out of the market until the simulated equity curve went positive (so totally missed that great bit of positive equity curve) and then entered a trade and that trade was a big loser so you stayed out of the market again until the simulated equity curve went positive (so totally missed that great bit of positive equity curve)? If you don’t know the answer then it is you would go broke faster than if you had taken every trade.

The idea is great but the reality is that you can easily turn a fantastic equity curve into an average or awful equity curve. Better to have a good strategy and know that the bad trades are compensated for by the good trades than look for a way to avoid the bad trades that might actually end up with you missing all the good trades and taking all the bad trades.

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12/25/2020 at 10:03 PM #155211

Fran55

Its no probable when the positive operations are 90%+-, and only 110+- operations on three years.

This is what i want it to explain.

I hope similars results with minor risk, minor drawdown, and minor time on markets.

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12/25/2020 at 10:17 PM #155213

Vonasi

If the win rate is 90% then don’t worry about trying to miss the 10% losers. Worry about how much each win wins compared to how much each loser loses and forget about trying to avoid some of the 1 in 10 losers with simulated trading magic.

If you only have 110 trades in 3 years in a backtest then forward test it for the next 10 years before worrying about trying to avoid the 1 in 10 losers.

I’m only trying to save you time and effort. Make a good, well tested, robustness proved strategy before trying to turn a turd into a diamond with simulated trading.

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Edmond

Vonasi

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12/26/2020 at 3:03 PM #155246

Fran55

🙁

Fran55

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12/27/2020 at 1:19 PM #155322

Fran55

I believe that this event that I propose is different.
There is no equity curve, the results will be different, without a doubt.

It is not about average, nor about being above or below it.

Just an example:
The system reaches a maximum profit, if then it begins to lose, it would never operate again, there would be no bankruptcy.

You’re mixing pears with Vonasi crocodiles.

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12/27/2020 at 2:04 PM #155332

Fran55

positionsize = 5


lasttradestotal = trade1


if lasttradestotal >= 0 and Maxprofit > Strategyprofit then
trading = 1
endif


if lasttradestotal < 0 and Maxprofit < Strategyprofit then
trading = 0
endif


if trading and not onmarket then
buy positionsize contracts at market
buyprice = close
endif


if trading = 0 and not onmarket then
buyprice = close
tradeonmarket = 1
endif

positionsize = 5

lasttradestotal = trade1

if lasttradestotal >= 0 and Maxprofit > Strategyprofit then

trading = 1

endif

if lasttradestotal < 0 and Maxprofit < Strategyprofit then

trading = 0

endif

if trading and not onmarket then

buy positionsize contracts at market

buyprice = close

endif

if trading = 0 and not onmarket then

buyprice = close

tradeonmarket = 1

endif

Fran55

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12/27/2020 at 2:33 PM #155338

Vonasi

Fran55 – I cleaned up the mess of cut and paste HTML and also inserted your PRT code. You must know by now where to find the ‘Insert PRT Code’ button?!

Please try to be much more careful when posting future messages in the forums.

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12/27/2020 at 2:35 PM #155340

Fran55

Sorry.

Fran55

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12/27/2020 at 2:40 PM #155342

Fran55

Please, help me with the code.

I think is more important to my estrategies.

And i think important to the estrategies of other persons.

No equity curve, this is different.

Fran55

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12/27/2020 at 2:42 PM #155343

Vonasi

Your code makes no sense at all. If you turn off trading by switching ‘trading’ to zero then you will never open a trade again and so strategyprofit will never change so you will never ever switch trading back on again. That’s why you have to simulate the trades and keep a record of them – but as I said before using simulated trades to decide when to turn trading on or off just gives you one more curve fit. Fit it one way and you hit all the winners in the back test and miss all the losers but you will just as easily hit all the losers in future trading when the distribution of wins and losses is in a different order to the past.

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12/27/2020 at 2:52 PM #155345

Fran55

https://www.prorealcode.com/topic/drawdowns-safety/

This is an example, and correctly function on my bots, really good and similar results.

Minor risk, minor drawdown, similar economic results.

The only difference is operate to middle of money on next operations when drawdown.

In this case is, no operate on next operations when drawdown.

My logic say when the new code the new results are good.

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12/27/2020 at 3:06 PM #155348

Vonasi

That topic is about money management and has nothing to do with a strategy making decisions based on simulated trades which is what this topic is about.

Vonasi

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12/27/2020 at 3:16 PM #155349

Fran55

and?

This is the idea.

Fran55

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12/28/2020 at 1:30 PM #155431

Vonasi

Try something like this example code – and stop double posting and asking the same questions in multiple places. Follow the forum rules!

defparam cumulateorders = false

positionsize = 1
spread = 1.6
entrycond = close < open and close[1] < open[1] 
exitcond = (close > positionprice * 1.02) or (close < positionprice *0.95)

once tradeon = 1

if not onmarket and tradeon and entrycond then
buy positionsize contract at market
entryprice = close
endif

if not tradeon and entrycond then
entryprice = close
endif

if (onmarket or not tradeon) and exitcond then
sell at market
myprofit = myprofit + (close - entryprice - spread) * positionsize
maxprofit = max(maxprofit, myprofit)
if myprofit < maxprofit then
tradeon = 0
else
tradeon = 1
endif
endif

graph tradeon
//graph myprofit
//graph maxprofit

defparam cumulateorders = false

positionsize = 1

spread = 1.6

entrycond = close < open and close[1] < open[1]

exitcond = (close > positionprice * 1.02) or (close < positionprice *0.95)

once tradeon = 1

if not onmarket and tradeon and entrycond then

buy positionsize contract at market

entryprice = close

endif

if not tradeon and entrycond then

entryprice = close

endif

if (onmarket or not tradeon) and exitcond then

sell at market

myprofit = myprofit + (close - entryprice - spread) * positionsize

maxprofit = max(maxprofit, myprofit)

if myprofit < maxprofit then

tradeon = 0

else

tradeon = 1

endif

graph tradeon

//graph myprofit

//graph maxprofit

Vonasi

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12/28/2020 at 1:42 PM #155433

Vonasi

….and here are the results of that stupidly simple strategy with and without simulated trading that stops tarding if you have a loss until the simulated equity curve goes back into profit. On the left with the simulated trade filter and on the right without it.

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zilliq

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