NAS scalping strategy

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Viewing 15 posts - 1 through 15 (of 31 total)
  • #176659

    Here’s a new algo I’ve had on forward testing for a while (US Tech 100), so far consistent with the BT results. It’s all on moving averages and more or less approximates what I do in manual trading, except where I normally work on a 1min chart, this drops down to 30sec to make up for the 1 candle delay at the entry.

    FOR:

    Very nice histogram, as good as it gets.

    High number of trades in the BT (4 0r 5 per day)

    Low drawdown

    Spectacular ‘potential returns’ when MM is active (2nd pic – haha, dream on…🤣)

    Against:

    Very short BT, 17 months – assume it’s curve-fit to that period and would need regular reworking

    Possibly over-optimized (???)

    Stoploss is > Target profit, meaning that loss of worst trade is also > Gain of best trade – not good but unavoidable.

    Very low gain per trade, easily eroded with slippage or at times of higher spread.

    No WF, as I prefer to do out-of-sample testing in demo (closer to real trading conditions)

    ***Requires lengthy forward testing before going live***

     

    As with most things in life – could be a winner, could crash and burn … who knows? Be sure to adjust the Tradetime for your time zone.

    Total of 12 users thanked author for this post. Here are last 10 listed.
    #176666

    Impressive work!

    #176675

    Impressive. Can that also be recoded to M1? My 200000bars are only a few days in a 30 second timeframe.

    #176678

    Hi @nonetheless

    Thanks for sharing this with us!

    Do you have PRT version that is sponsored via prorealtime directly rather than the version IG provides? I need to move over to that version. I’m also curious about how it performs in 1minute compared to 30s.

    #176679

    I

    #176680

    Can that also be recoded to M1?

     

    I haven’t tried. My guess is that it relies on getting an early entry as the MA changes direction. The margins are quite small (€2.55 per trade means an average gain of just 5 points) and could be wiped out by waiting another 30sec before opening the trade.

    I’m going to be away for a couple of weeks but I’ll try it on 1 min when i get back.

    1 user thanked author for this post.
    #176682

    Do you have PRT version that is sponsored via prorealtime

     

    I have a PRT sponsored Premium account with IG. You have to open it through the PRT website. There’s no fee and you can do it even if you already have an IG account so it’s a no-brainer IMHO.

    #176683

    Thank you very much for sharing!  A clean approach to trade entry.  Very impressive  🙂

    #176703

    Thanks a lot for sharing this algo, I’m already testing it in demo. I’ve been trying to code something similar but based on my manual trading strategy, hopefully I’ll share it soon too once I finish it.

    2 users thanked author for this post.
    #176708

    “Very short BT, 17 months”

    Did you optimized it beginning at the first day and ended on last day?

    The problem with the optimizations up to the present day is, that we don´t see how the algo is working in realtime. The problem with the optimizations up to the present day is, that we don’t see how the algo is working in realtime. I have so many algo´s working fine in backtest, and after starting it in realtime demo, it fails. The realtime results are much more better, if i finish the BT´s a few moths befor present day and let them run after end of BT.

    So, can you pls stop optimizing of this algo as of 4/1/2021 and then backtest it from 5/1 to today?

    #176713

    If you do it like that you still don’t see how it works in realtime because BT conditions, whether in-sample or out-of-sample, are nothing like real trading (for reasons that have been discussed countless times). Better is to optimise on max data (esp if you’ve only got 17 months), then forward test in demo.

    In my opinion, a backtest only tells you if something is worth putting on demo for a few months. Only then will you get an idea of how it works out of sample.

    I did already say this in my original post.

    #176717

    So, can you pls stop optimizing of this algo as of 4/1/2021 and then backtest it from 5/1 to today?

     

    If you do it like that you still don’t see how it works in realtime because BT conditions, whether in-sample or out-of-sample, are nothing like real trading

    Trying to learn something …

    When I read about the idea of VinzentVega, I actually thought it would be a good idea. Not that I would apply it for real, but I think it should work. Thus :

    Backtest (literally) until a few months ago (e.g. April vs today’s September) and no bar further. 🙂
    When done and optimized to your ideas, run a final backtest (not literally – it is just a final check) from the bar you stopped optimizing (April) until today (September). Let it further run in real time from there if you want. I personally see no difference in this final check done from April till today on one hand, and back in April starting a Paper run till today on the other. If there *is* a difference, then something is wrong with the approach in the backtest program vs what would be reality.
    Of course one golden rule is in order : It is totally forbidden to optimize further after you saw the results of that final check (the run from April till today). And, if the final check tells you “FAIL” then just stop with that strategy. It would also be forbidden to optimize the first part (until April) so-called not looking at the final check, because inherently you will be doing this latter (optimize the first part so the last part looks better – DON’T).

    Is this wrong somewhere ?
    Thanks !
    Peter

    #176721

    Is this wrong somewhere ?

    Yes … we miss out on optimising for the market cycles  / price action existing today, last week , last month etc.

    Far better to leave an unoptimised period at the beginning of backtest (10k bars, 50k bars, whatever) and then run the optimised Algo over that OOS period. If Algo stays above zero / not go into deep loss (during the OOS period) then proceed to Forwrd Test / Paper Trade on Demo Account.

    #176723

    Thanks for sharing ! I understand you have optimized it over the whole backtest period …How did you manage to optimize more than 20 variables over 1M candles ??

    #176725

    I personally see no difference in this final check done from April till today on one hand, and back in April starting a Paper run till today on the other. If there *is* a difference, then something is wrong with the approach in the backtest program vs what would be reality.

    It’s easy to prove it. Take one algo, duplicate it, optimize it, based on the two backtest scenarios, and finally backtest it and compare the results. I ensure you, that there will be diffrences.

    Far better to leave an unoptimised period at the beginning of backtest (10k bars, 50k bars, whatever) and then run the optimised Algo over that OOS period.

    This is also a possibility. If you have enough backtest time (in higher timeframe) , then you can disregard one period BEFORE and one period AFTER in optimization. And than ckeck the results.

     

Viewing 15 posts - 1 through 15 (of 31 total)

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