strategy crossfire
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Hi,
I’ve been trying out combinations of donchian- and bollingerbands and found this interesting combination.
dow, 1 hour, spread 3,1, market orders, stoploss 1% & trailing stop.
4 parameters, each period optimised in range from 5 to 25 with interval of 5.
if trading long only, optional it can be closed op opposite signal. Same for short.
can trade long/short only or both
For robustness check, it’s possible to close & re-entry in same direction.
the question is, can it be improved?
Interesting strategy, thanks for sharing that.
As Donchian and Bollinger are both just channel indicators I wouldn’t have thought there was much significant relationship between them, but what you’ve produced is a sort of double confirmation of any breakout/breakdown, very effective.
Attached is a 100k 70-30 WF varying the settings 2 period values and stoploss. In every WF sector it chose the lowest possible values for each period: 2, 7, 2, 5 every time. I actually ran it twice and it did the same thing both times. First run returned 6, 11, 3, 15 so I lowered the range. Strange, no? Did you optimize over the full 200k?
Ignore my last post – I had the variables under settings=2 but settings=1 selected – doh! No wonder the weird result. This is better.
Values for the 4 WF periods were:
8,17,5,25
6,15,5,35
6,11,5,35
12,11,5,25
Paul thanked this post@nonetheless Thanks for picking this up. Nice description of the strategy btw!
It’s indeed optimised for 200k bars. Never ran WF myself so it’s interesting to see those results. Even with re-entry on the strategy doesn’t break down, looking at 100k bars a.t.m. Maybe it would be the best to have re-entry activated when optimising/WF?
I’ve been running this in demo sinds 13th january, long & short on settings 1. While not fantastic for such short period, it’s positive, even as it missed the first 2 weeks which where good in hindsight.
heres a picture of the 200K test.
I dont like how its flat and ugly until it takes off.
but it looks good in NQ from 2013 (see photo – removed spread!). Might just mean its “tuned in” to the past 6-7 years of “market regimes” but as soon as you go outside that, ur fucked it seems like.
Dosnt look good in ftse, spain, france, US 500 ++ which i wouldnt expect to see fantastic results, but these results look bad and account breaking to be honest..
nonetheless, Paul and winnie37 thanked this postWell at least for me, i dont run anything thats not looking OK on the whole backtest.
If you got like 40-60% looking good but rest is shit, thats not valid for me, that screams overoptimization (obviously, i would say!) and the risk of that system breaking is way higher.
Ive posted several screenshots of my systems (again, just me and my opinions as usual), heres one strategy tested in Wall st, US tech, Us 500
Edit: I really wanna put emphasis on the fact that even though a system has 40% bad and 60% good periods in the backtest, it might continue to work going forward! BUT and theres a big buttt here.. From my own experience, and from what ive read and listened to, The longer “Good backtest” you got, the more chance there is that the system will keep on living and performing.
I guess one could argue that Wings is looking good even tho the first years looks like ****! Take a look (code is last edited (according to code itself) Nov 2016.
If you backtest it from january 2017 -> 2020 today, it has 50% winrate and 1.25 profit factor, avg gain is 11€ (it has a bit more max DD than i would like so i dont run it. Just thought of it as an example of a code i wouldnt trust, but that has performed well OOS!
Edit i remembered my own that looked very similar to this when it comes to :
1. Having a bad few first years
2. Having an amazing middle part
3. Cracking as soon as it went “live” (also markets dropped like **** when it hit “live” so yea..
Look at that crazy drawdown which the system had never seen before.
I didnt run this live because i was sceptical to it because of the first years looking so bad + when looking at a different market (this is NQ 1h) it would look ****ty.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 02/18/2020 |
| Status: | Active |
| Attachments: | 14 files |
