30 min universal system – rough & simple

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  • 01/05/2018 at 10:57 AM #57329
    jebus89

    Let me start by saying that this algo is not even nearly “done”, not optimized even once, no trailing stop… in fact no stop or target at all.

    I have optimized a version just slightly on the dax and it looked really good when optimized, so dont get discouraged from the “bad numbers” in the backtest (see photo)

    I also just want to take 1 min to talk about how i create systems:

    1. First i use 10.000 bars just for the easy loading time on custom indicators

    2. if i find something profitable on 10K bars i go to full 200K bars, if still profitable and looking good, i cut the data sample so im left with 2013 january -> 2016 january (3 years data sample/backtest data) and i start optimizing on that alone.

    3. When done optimizing for the 3 year data sample, i run it on full 200K bars again to check if its clearly curve-fitted or not.  If its still profitable i run 1 more optimizing on all 200K bars for optimal stop loss and target, and if everything else seems fine ill keep the system. This means that whole of 2016 + 2017 is “out of sample”

    Regarding THIS spesific system i just created it in 10K bars and checked 200K and it looks profitable year after year in many markets.. No optimizing done what so ever.

    Also clearly as u can see: no money management yet.

    Anyone willing to work with me on this one? 🙂
    Any reason as to why i should not keep working on it?

    In photo are the following indicies:

    Dax
    Wall st/dow
    Nasdaq (very little data to go on for 30m though..)
    Nikkei
    Hang seng

    I created this about 30 minutes ago so i have not really checked “everything” or every timeframe.. 30m seems good though

    Edit: i like the fact that the %winning trades and gains are sort of the same for all indicies, i would say this would speak in favor of algo being robust (?)

    Edit2: Forgot to add code..

     

    4 users thanked author for this post.
    avatar Francesco78, avatar GraHal, avatar Nicolas, avatar Henrik
    01/05/2018 at 12:23 PM #57345
    Leo

    Hi,

    Can you tell me why c2 = (indicator3 < indicator4)   for entry Long?

     

    01/05/2018 at 12:45 PM #57349
    jebus89

    Ok so the main goal of the strategy is capturing trends. Ive added a photo showing 2 failed trades and then the actual trend that makes the strategy worth while..

    Obviously i would like help to remove the failed trades and keep as much of the good trade as i can!

    Also money management for all the failed trades would also do good.

    The reason as to why you want wilderaverage 25 < wilderaverage 50 is because im trying to catch the trend as early as possible. i dont want to chase, i want to capture the ones that grant you good profits.

    As it is now, its loosing alot of money on all the “fakeouts”/failed trades, but its capturing alot of the good trends going up.

    Again i have not optimized any variables here so 25 / 50 is probably not the “best values” 🙂

    Hope this explained

     

    edit: I belive the system could definitly use 1 more condition/indikator to help it from failing too often. im not sure what tho, im going to try to experiment, i would love any thoughts on the strategy tho.

    Edit2: Leo, i belive my thoughts when making this was something like: “What if you have a down trend, that is turning into an uptrend, and i could capture the trend pretty much at the bottom of the downtrend (obviously i cant time every top and bottom, i would be stinky rich by now 🙂 )

    So im using the longer wilderaverages to determine that there is indeed a downtrend, but then the shorter wilderaverage + TEMA works as indications that the trend might turn now.

    01/05/2018 at 12:52 PM #57351
    jebus89

    Sorry for double posting but option for editing is gone 🙂

    From just looking at the trades i see that alot of the failed trades could be positive with the right trailing stop, however that same trailing stop would obviously cut alot of the big winners, alot shorter… and that might not make the strategy worth it.. im not sure, will continue to work on this for now. Would love feedback, good or bad 🙂

    01/05/2018 at 8:53 PM #57435
    Nicolas

    Post editing is possible only during 5 minutes.

    A rough idea: Divide the strategy into different ones with different objectives or closure conditions. The compound results might be the best solution. I subscribe to the post, will get back here once in a while.

    01/05/2018 at 11:40 PM #57467
    jebus89

     

    Nicolas wrote:

    Post editing is possible only during 5 minutes. A rough idea: Divide the strategy into different ones with different objectives or closure conditions. The compound results might be the best solution. I subscribe to the post, will get back here once in a while.

    This is why i think sharing is important.

    I think i understand what youre saying and it makes sense. I think there are some big downtrends that creates many losses, but could be avoided very easily if you could tell the algo that we are indeed in a big downtrend. Many of the entries in a downtrend could easily make 40-80 pips, but instead they now end up as loosing trades because of no money management / no better defining of the market (downtrend, sideways, uptrend). if i could tell it to make target = 60 when in downtrends, much could be avoided i think.

    Im adding a photo of 2* walk forward in Wall st/Dow CFD 1€.

    #1 is anchored
    #2 is NOT anchored

    I found some interesting results that might back up what your talking about Nicolas.

    1. The majority of the best trends in the EQ curve, both anchored and not anchored, got stop loss = 60

    2. Anchored test had mostly Stop loss = 60 and target = 60-80 on the last 10+ repetitions if i remember correctly

    3. A couple of times in the not anchored WF, the optimized results for some periods had stop loss as low as 20. Meaning, to me at least, that it should definitly be possible to identify bad periods and either tweak stop/take no trades. If 70% of the period is so bad it thinks stop should be 20pips for the next 30% of the period to save you the money, i think thats should be a big enough datasample to work with. usually these periods are big down-trends. Shouldnt be… too hard i hope, to identify these downtrends and either avoid or use smart money management

     

    A quick optimizing just to check proves that 60 / 60 is the best combo throughout the whole dataset of 200K backtest.

    I dont think 60/60 pip target/stop is the correct, i just found the quick study interesting.

     

     

    Edit: woopsie i cropped the first image wrong.. And i cant remove it i think? Added a non-shit-cropped picture

    01/06/2018 at 11:13 AM #57491
    Nicolas

    Every entry should be checked on the price chart first. Be prepared that no statistical edge could exist with entries and exit.

    This simple strategy is definetely interesting, did you include spread and fees while backtesting?

    01/10/2018 at 9:54 AM #58802
    jebus89

    Spread included on some photos. Such long trades anyways that spread isnt that much of a worry.

     

    Edit: This system needs money management and better conditions, no doubt. But i find it interesting that its this profitable being this rough

    01/10/2018 at 10:48 AM #58808
    Nicolas

    Yes, “let the profit run and cut losses quickly”  seems to be an adapted adage here 😉

    The worst scenario appears when losers are accumulated in the same row.

    01/10/2018 at 10:58 AM #58810
    jebus89

    That is definitly a major problem, and solving this might help a lot.

    As you mentioned earlier, if i understood correctly, a major improvement would be if we could somehow define the market (up/down/sideways) and set rules/conditions based on this.

    im trying with different approaches but i cant seem to get it right.

     

    as i mentioned earlier i think alot of the downtrend-trades could be profitable if cut very fast, in other words a good form of dynamic stop loss/trailing stop loss would probably help a lot.

    01/10/2018 at 1:28 PM #58840
    Nobody

    Expectancy not in the ball park for me , any system where the broker makes as much as the trader is a pass as well .  The curves are smooth but just way to0 shallow . Index ETF beat em easy  , sorry for seeming negative but this is my reality . Second thoughts couple curves there way too much drawdown considering the meagre returns  .  Expectancy like that with suboptimal win rates increases risk of ruin  .

    01/10/2018 at 2:03 PM #58847
    jebus89
    Brisvegas wrote:

    Expectancy not in the ball park for me , any system where the broker makes as much as the trader is a pass as well . The curves are smooth but just way to0 shallow . Index ETF beat em easy , sorry for seeming negative but this is my reality . Second thoughts couple curves there way too much drawdown considering the meagre returns . Expectancy like that with suboptimal win rates increases risk of ruin .

    I might not have been clear enough in my earlier posts, but BY NO MEANS SHOULD YOU RUN THIS SYSTEM LIVE AS IT IS TODAY 🙂 

    This is just a rough idea, it seems to basicly cut away the worst dipps in the market!

    I belive that if you COMBINE this with some good entry/exit strategies, then maybe we might have something 🙂

    Another thing i cant get my head around, why should any system “beat” any ETF/indicies… you dont KNOW that the ETF is going to be up 20%, but if you KNOW that theres a 90% chance that your system will be up 15% i would much rather use the system? also you can just add amount of contracts if you think the profits are too small?

    The only thing to actually think about is the % winning trades, amount of trades and avg gain vs avg loss, the stability of profits say pr quarter etc. But the profits themselves? not interesting because you can always up the amount of contracts (in my opinion at least)

     

    Edit: dont get me wrong, i would love a system that beats any ETF/index any day man! But if you run this system with 10* contracts im guessing you would beat the etf ^_^ in amounts of profit that is

     

    Edit2: I love negative and positive comments! Any comment is better than no comment 🙂  If someone could say “hey this strategy sucks because of THIS” I would gladly welcome that comment! But again this is just a very rough idea/thought that seems good when backtested, it seems to be picking up alot of the positive momentum in the market and leaving out the worst. If you could get crispy entry/exits while the positive momentum is present, im guessing you could make something out of this…

    01/10/2018 at 2:17 PM #58850
    Nobody

    ”  nother thing i cant get my head around, why should any system “beat” any ETF/indicies… you dont KNOW that the ETF is going to be up 20%, but if you KNOW that theres a 90% chance that your system will be up 15% i would much rather use the system? also you can just add amount of contracts if you think the profits are too small? ” well all we do know is that index etfs beat these systems over the periods tested   . I am not trying to rain on your parade so dont get defensive . if you cant handle reality maybe trading isnt for you  . If you cant beat an index etf why would you bother actively trading is the question i ask  in return ?  I will refrain from posting again in your threads , good luck and trade well

     

    Edit  couple those systems if you add many more contracts they will go to ruin  , its not that easy to just leverage up .  I can suggest you read a couple Howard Bandy books on quantitative trading , they will help you understand expectancy , probability curves and risk of ruin  .

    01/10/2018 at 2:21 PM #58851
    jebus89
    Brisvegas wrote:

    ” nother thing i cant get my head around, why should any system “beat” any ETF/indicies… you dont KNOW that the ETF is going to be up 20%, but if you KNOW that theres a 90% chance that your system will be up 15% i would much rather use the system? also you can just add amount of contracts if you think the profits are too small? ” well all we do know is that index etfs beat these systems over the periods tested . I am not trying to rain on your parade so dont get defensive . if you cant handle reality maybe trading isnt for you . If you cant beat an index etf why would you bother actively trading is the question i ask in return ? I will refrain from posting again in your threads , good luck and trade well

    Oh im sorry man, i didnt mean to sound defensive! 🙂 let me try to answer some of your questions!

    If you cant beat an index etf why would you bother actively trading is the question i ask in return ?  -> Because you dont KNOW that the ETF is going to go better then your trading, but with the correct system you know that theres a XX% chance that your system is going to bring in X amounts of pips in profits. meaning i would rather trade what i know then putting my money in etf that can go south the next day for some reason i cant fathom 🙂

    As i said in my other post, i gladly welcome any comment, positive or negative, so please dont refrain from replying in my post, i didnt mean to put you off. Im just trying to explain my thoughts around the same issues that you brought up.

    At the end of the day, we’re just 2 members of the same forum trying to achieve the same thing! Teamwork is much better then resentment! 🙂

     

    Edit: maybe its the amount of caps lock that im using haha, im really not trying to offend you, or defend my system. just offering my thoughts and ideas 🙂 <- I should start highlight things in bold rather then using caps lock..

     

    Edit2: Thanks for booktip! Also as you can see, im pretty noobish, so if im saying something that just does not make sense, just explain it in a way i can understand and ill do my best to read up on the subject and figgure out what im missing 🙂 I’d rather be wrong and evolve as a trader then to “be right” in my own mind alone and broke 🙂

    01/10/2018 at 2:25 PM #58853
    Nobody

    I dont want to be the ” Bad ” man  sorry  .

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