Dax long term adaptable strategy

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04/28/2017 at 1:16 PM #33863 quote

Francesco78
Participant

Master

Dear all

I have tested a slight variation on the them of my previously described strategy on short TF.

This time I took a very long timeseries, used Daily timeframe and modified the exit strategy in term of number of bars, all is optimized with Reiner’s seasonal parameters

Although the return of 180% with a drawdown of ~20k on a such a long timeseries is not great, I though it was worth posting because of the ability of this strategy to survive all the 1998/2001/2008 shocks and because it’s relative smoothness.

Any idea to reduce the drawdown even more would be greatly appreciated.

Best Regards

Francesco

Nicolas thanked this post

Dax1DMNandBreak.itf statdax1d.png daxdailylong.png

04/28/2017 at 1:26 PM #33869 quote

Maz
Participant

Veteran

If the system flattens off in 2014 = it doesn’t work any more! Re-optimize for the last 2 years and see what happens. Keep in mind the spread in 1999 wasn’t 1 point 🙂

Francesco78 thanked this post

04/28/2017 at 1:40 PM #33876 quote

Francesco78
Participant

Master

Thank you Maz! will do, I have a lot of concern on overoptimization on this code, thats why I didnt want to limit on the recent past.

True, I didnt think about the spread tightening.

Have a great day

04/30/2017 at 11:54 AM #34020 quote

Francesco78
Participant

Master

Optimized for the last 5 years,shorter than that I think is not significative given the nature of the strategy as the number of trader becomes too small.

Regards

Francesco

DAX1D_last5yr.png

05/10/2017 at 5:12 PM #35101 quote

Francesco78
Participant

Master

Hello everyone,

I did a little bit more work on the strategy and the results now are really good in my opinion

Please let me know your thoughts.

Regards

Francesco

Dax1Dsurvivor_v2.itf

05/10/2017 at 5:13 PM #35104 quote

Francesco78
Participant

Master

backtest details

daxsurvivor_2.png

05/11/2017 at 10:19 AM #35178 quote

victormork
Participant

Veteran

Hi! Nice work Francesco. I haven’t looked to much in detail at your system but I was wondering about if you turn off the seasonal multiplier the equity curve gets very unstable, what are your thoughts about that?

Francesco78 thanked this post

05/15/2017 at 2:09 PM #35591 quote

Francesco78
Participant

Master

Hi VictorMork, my apologies for such adelay in answering, the point of seasonal multiplier is exactly to make the equity curve more stable, so it is not surprising the fact that removing them worsen the performance, it actually a proof that they do what they should do.

The concern is instead to cosider if the multiplier provide an overfitting or not. I still dont have a clear idea about it.

Regards

Francesco

05/15/2017 at 3:27 PM #35597 quote

Nicolas
Keymaster

Master

To get rid of overfitting, a strategy should first be tested with a fixed lot size. If the strategy is so-so or already good, then the seasonal multiplier should be added, why not .. 🙂 It should not be considered as a way to make a strategy better, because it only increase the risk exposure of your account (I did not test your strategy Francesco, it is just a general idea).

05/15/2017 at 4:16 PM #35611 quote

Francesco78
Participant

Master

Thank you Nicolas for your coments, I totally agree with what you wrote. Only thing Id like to point out is that in this specific case I renormized the positions size to take into account the risk magnifying effect of the seaso als parameters. Specifically i divided the position size by the average if the factors (2.666in this case).
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