Simulated trading

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03/22/2021 at 7:03 PM #164960 quote

Peter
Participant

Average

Nice! What are the effects on max Drawdown and average p/l per trade?

03/23/2021 at 11:17 AM #165013 quote

Mattias
Participant

Senior

The effects are quite big. But that’s probably because the strategy itself is not very satisfying. Although that is the interesting part I think, quite often we take something that might look good in backtest, but it doesn’t perform very good in live trading. Maybe this could be a way to make a bad or mediocre strategy perform better.

The screenshot shows the original to the right and the other to the left.

Detailed-report.png

03/23/2021 at 11:52 AM #165019 quote

Vonasi
Moderator

Master

Mattias wrote:

The black line is the average (20 periods) of the blue line.

…and that is the bit where you curve fit your simulated trading filter to work with how your back test winning and losing trades were distributed (in both location and size of win or loss) but in the future your trades could be distributed very differently and a 20 period average of equity could just see you hitting more losers than winners and all the big losers and miss all the big winners.

Historical averages of equity curves are just the same as historical averages of price – pick the right period and they look great…. but the future is not the past.

03/23/2021 at 12:11 PM #165022 quote

Mattias
Participant

Senior

Yes, wise words as always Mr. Vonasi, I completely agree.

Now I haven’t tested anything else than 20 though, it’s a number I often use in order to determine a shorter average curve.

But as I stated before in the topic, I also think this is curve fitting, but I can’t help finding it interesting to check out for myself and that it perhaps can be used in some circumstance in the future.

03/23/2021 at 1:54 PM #165031 quote

Link
Participant

Senior

And the Code to “my sim stat V2”, please?

03/23/2021 at 3:48 PM #165059 quote

Mattias
Participant

Senior

Sorry, but the code is so badly written it would make all the coding pro’s here bleed through their eyes. The exit is also limited to a normal trailing stop, so it’s not very versatile.

But I will post it as soon as I have developed it further. 🙂

03/24/2021 at 11:56 PM #165245 quote

Monochrome
Participant

Senior

This idea from ‘better systems trader’ podcast sounds interesting.

A moving average on an equity curve. If avg below equity curve, turn off algo and start stimulated trading. Turn back on when moving average above equity curve.

Would coding this be possible on PRT?

03/25/2021 at 8:31 AM #165272 quote

Vonasi
Moderator

Master

Yes that is the basic simulated trading idea and exactly what is shown in this post by Mattias:

Simulated trading

…but as said before it is very easy to curve fit an average to anything – including a historical equity curve. The future trades will be distributed differently to the past trades and you can just as easily find that you have chosen the worst possible period for your average going forward and not the best.

03/25/2021 at 10:11 AM #165286 quote

Monochrome
Participant

Senior

Sorry I got excited with the idea and posted immediately.
I should of checked the previous posts.

Can I request the code for this idea please.

I have no idea how to even start

03/26/2021 at 11:38 AM #165398 quote

Mattias
Participant

Senior

Have you read through the posts in this topic? There’s lots of information. E.g., Paul wrote an excellent code that you can build on. Good luck!
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