Some general questions i need answered about automatic trading

Viewing 8 posts - 1 through 8 (of 8 total)
  • Author
    Posts
  • 10/18/2017 at 8:06 AM #49766 quote
    jebus89
    Participant
    Master

    Hi there! Thank you so much for your time to read my post and answering!

    First question: I’ve been getting some decent (not great) results on a 10 m strategy that I’m working on, but I’m unsure of how much time i should put into it tho, if the short timeframe is going to suck anyways or not.

    Are >1h strategies worth building/making/spending time on? Anyone got one or more running? Im thinking they would be less suitable because of the small datasample for your backtesting. Any other reason why >1h strats suck/are good?

     

    Question 2: When do you know if a strategy is bad or not? Let’s say you get a 60% winrate and 1,5 gain in backtest, maximum drawdown $500 and max cons. losses: 5. Then you backtest for a month and u get OK results, then you run it live. Then you start loosing money.

    When do you call it off and say “geez this didnt go as i planned”? is it when you exceed the maximum amounts of losses? Drawdown? Any real life experience is good to know! Not knowing about this has been an issue for me since day 1 algotrading/coding 🙂

     

    Question 3: Lets say you have a working strategy, makes good entries, and exit is close by, just 20 pips away (example). Your run it live and seem to get good results. Should you/could you then use the same strategy for the same entry but just another exit? (Lets say 100 pips away)

    Sure you’d loose some of that winrate% I’d assume, but maybe up the gain alot. Is that a good idea or is it a rookie mistake? As far as i can think of, the risk is being able to fuck up 2 trades from the same entry, so double your losses when a loosing trade occurs, then again if a trade goes your way you get the 20 + maybe 100 pips… Of course the numbers are just examples but the question remains: Should you run the same strategy, on the same market & timeframe, but with different exits?

     

    Question 4: How long should you paper-trade your strategy before you run it live? I realise this might be a very personal thing, some might just run strategies live from day 1 while others wait X amount of time. I’m currently running stuff on a demo account just because I’m afraid I’d loose money if the backtest proves to be curve-fitted to much.

    I’m new to the game so any real life experience is very welcome! 🙂

    10/18/2017 at 1:13 PM #49827 quote
    Nicolas
    Keymaster
    Master
    1. Yes, definitely, whatever timeframe, even if you don’t have enough long history. The best you can do is to make Out Of Sample analysis, with paper trading or even by live simulation in ProBacktest. Develop your ideas on 70% of the whole history and test it over the complete one.
    2. Same as 1/, use OOS validation.
    3. Depends of the strategy itself, but if it has been designed for a 20 points SL, do not change it. Take care of your Risk Reward ratio.
    4. Same as 1/, use OOS validation. If your running strategy in paper trading is doing well, technically (same as backtest behavior) and with expected performance (DD%, consecutive wins/losses), you are about to validate it. If not, go back to your blue print.

    In fact, there is no good or definitive answers to your questions, we got all the same problems of validation 🙂

    10/18/2017 at 3:38 PM #49845 quote
    jebus89
    Participant
    Master

    Nicolas, thank you for taking time to reply. You have given me some insight. I think that I wasn’t clear enough on question 3, let me rephrase: If you have an algo that enters the market with good entries, is it smart or dumb to duplicate the same algos with the same entry, timeframe and market, but with different exits?

     

    For example if you make an algo that follows a trend, you might want an algo that takes quick profits/secure profit along the way, but at the same time you might want one that runs longer and tries to capture the whole trend. Is it dumb to have the same entry but different exit on the same market and timeframe?

    I hope I was more clear 🙂 OOS ftw!

     

    Ps thanks the for the guide on walk forward testing!

    10/18/2017 at 4:27 PM #49850 quote
    Nicolas
    Keymaster
    Master

    That’s not a bad idea (sorry for misunderstanding) you are thinking of a partial exit (which is not possible with ProOrder), so that’s the appropriate technical solution to do it.

    BUT: bear in mind that you will double your loss (in points) and not your profit this way.

    10/18/2017 at 7:24 PM #49876 quote
    jebus89
    Participant
    Master

    Right you are Nicolas, about the loss. I need to calculate in the fact that i might face a maximum drawdown on both algos at the same time. I’m glad to hear that your positive to the idea tho.

    10/19/2017 at 8:56 AM #49905 quote
    Nicolas
    Keymaster
    Master

    it has already been discussed on forums many times, but think of diversification by making a portfolio of different kind of strategies and if possible without correlation between them.

    10/19/2017 at 11:35 AM #49929 quote
    jebus89
    Participant
    Master

    Im sure it has Nicolas! Im trying to read and absorb everything in here, but its a lot to take in! 🙂

    10/19/2017 at 11:42 AM #49930 quote
    Despair
    Blocked
    Master

    Diversification is the holy grail. Everybody I know or heard of who has some success with automated trading is running a portfolio of many strategies.

    Have them as uncorrelated as possible and watch your overall risk exposure (size of your positions). Begin with small order sizes and when the strategy proofs itself by producing profit increase the position size gradually. Do not take too big positions (IMO one of the most common mistakes ) even if it seems “boring” in the beginning.

  • Author
    Posts
Viewing 8 posts - 1 through 8 (of 8 total)
  • You must be logged in to reply to this topic.

Some general questions i need answered about automatic trading


ProOrder: Automated Strategies & Backtesting

New Reply
Author
author-avatar
jebus89 @jebus89 Participant
Summary

This topic contains 7 replies,
has 3 voices, and was last updated by Despair
8 years, 4 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 10/18/2017
Status: Active
Attachments: No files
Logo Logo
Loading...
Do you like cookies? 🍪 We use cookies to ensure you get the best experience on our website. (Learn more)
©2026 ProRealCode - Trading & Coding with ProRealTime™