Test System inspired from the PRT-ProOrder_Workbook pdf
-
Hello Everybody,
At the moment i learn from reading the First pages PRT-ProOrder_Workbook pdf and making some simple experiments and different markets and Timeframes an try to tuning them up. Here is what i found on the Dow on 2h Timeframe with a spread of 2. I wanted to ask if you see potential in this system or not? And when Not/yes, then why.The Problem i have with this, is that i couldnt take it live if i would to. IG Proorder says that i cango live with an %trailingstop. Are there any ways to get around that?
// Hanbuch_Beispiel_02 // Allg. DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS = 200 // Positionen ab 9 Uhr noEntryBeforeTime = 090000 timeEnterBefore = time >= noEntryBeforeTime // Positionen bis 18 Uhr noEntryAfterTime = 210000 timeEnterAfter = time < noEntryAfterTime // Trading am Mo, Di, Mi, Do, Fr daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 // Menge der Kontrakte n = 2 // Indikatoren GD20 = Average[20](close) GD41 = Average[41](close) // Bedingungen c1 = GD20 CROSSES OVER GD41 c2 = GD20 CROSSES UNDER GD41 // Gültigkeit Limitorder ONCE NbBarLimit = 12 // Bedingung der Limitorder IF c1 THEN MyLimitBuy = Close MyIndex = BarIndex ENDIF IF BarIndex >= MyIndex + NbBarLimit THEN MyLimitBuy = 0 ENDIF // Long IF MyLimitBuy > 0 AND not LongOnMarket AND not daysForbiddenEntry AND timeEnterBefore AND timeEnterAfter THEN BUY n SHARES AT MyLimitBuy LIMIT ENDIF // Long Exit IF c2 THEN SELL AT MARKET ENDIF //Stop + Trailing SET STOP %Loss 0.75 SET STOP %TRAILING 0.75Okay i delete row 53. In the testrun it comes to the same Result. But Proorder forbids me to go live (see screenshot). It Says that, i cant go live with an %Stop oder %Trailingstop. It must be a $ Stop, Points or else… why does IG make such restrictions? 🙁
if i would change the stop, i would come possibly to worse results.
Okay with this trailing i get slightly diferent but also good results, whitch ist good. but there is a bit more Drawdown, at the End.
SET STOP $TRAILING 369.4I did try applying my SEB (Strategy Every Bar) robustness test idea to your strategy and the results seemed too good to be true – because they were.
After thinking about how the code worked this was to be expected from the test as the strategy simply waits for a cross of two lagging averages and then buys if price crosses the closing price at the time of the cross within 12 bars. This sort of strategy is not very easy to robustness test as basically you get 12 chances to open pretty much the same trade. However it was a good lesson in how not every strategy suits every robustness test.
Basically the strategy is about getting in to a trade within 12 bars after a lagging average cross has occurred and then trailing a 0.75% profit. Testing the variables it is actually better to give an even bigger window to open a trade – but perhaps that just works because the market has been pretty much in an upward trend with one major drop which the the averages were tuned to exit early in. It did however seem to be profitable over a large range of variable values though which is a good sign – although perhaps also due to the large amount of long trending data.
It is a difficult strategy to robustness test and so I think long term forward testing before risking real money is the only way to see how it truly performs.
I have attached the results of the SEB test even though they are pretty meaningless!
GraHal thanked this post… thx. After I replace the stop, I get good Results. If I also change the NbBarLimit, i get even better results.
GraHal thanked this postIt seems that the system is curve-fitted to the Dow from the end of 2016 until today. If you run it from end 2006 to now the results are not so good (see attached img). I have only been able to test 100k bars, we would have to see the result with 200k bars…
- You must be logged in to reply to this topic.
Author
Summary
This topic contains 10 replies,
has 5 voices, and was last updated by
5 years, 2 months ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 11/28/2020 |
| Status: | Active |
| Attachments: | 8 files |
