Mother of Dragons, long and short
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Taking Vonasi’s suggestion to try this long-only, I broke it into 2 separate strategies, long and short. With each optimized for just one task the result seems better on every metric. It may have the added advantage that in an uncertain market they hedge each other – would require forward testing.
Image at left is the combined performance in one code. When you map the other two onto each other, every month where the long has taken a loss the short has more than made up for it. That doesn’t happen when combined.
Unfortunately, in this case, it doesn’t get around the fact that it is probably curve-fit to the last 100k but i think it does make a good case for separating strategies into long and short.
Can’t believe I hadn’t tried this before. Is there ever a good reason for having one code go both ways?
Original code is here: https://www.prorealcode.com/topic/mother-of-dragons-trading-strategy/page/2/
Hi @nonetheless
thank you for the code
I have had a quick look at the results and have some observations that I would welcome your thoughts on:
Based on the attached image it appears that if you are able to get the trailing stop to kick in then the strategy will make money but if it just draws down then a loss much greater than the return of an average trade tends to occur, have you experimented with a closer hard stop/alternative stop?
Given the mix of a long term average and a short term signal it looks like you have occasions on which the trade is stopped out but then opened again promptly as you are looking for a market condition ie x is above y rather than x cross y. Have you looked into altering the moving stop so that they would not get stopped out when the conditions still exist or perhaps having a condition that prevents a quick reopening?
I do like that you have success on the short side on a market that has been trending up for so long
Thanks
Ruark
GraHal and nonetheless thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 01/29/2020 |
| Status: | Active |
| Attachments: | 6 files |
