Thoughts and questions from a beginner
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What are your benchmarks of indicators as sharpe ratio and risk/reward ratio? Do you prefer other ratios or indicators? I read about AROR, is the benchmark the same as SHARP-ratio?
At the moment I am quite careless about those kind of measurements. I just use the basic: %Win, P/L, MaxDD…
How do you meassure robustnes? I think strategies having more than 70% of the parameter sets giving positive results is good, but how do I calculate this in an easy way? Can’t find a way to export the optimization results to excel or similar.
I have played with some ways to measure robustness (this one is quite good IMO: https://www.prorealcode.com/topic/day-month-year-strategy-robustness-tester/) but right now I have no fixed rule about it. I mostly use my knowledge/impression of the system to consider its robustness.
Your idea about the “70% positive results” is interesting but I am not sure about its implementation: a variable usually kind of have an infinite number of values, if you are chossing a rank of them you are already optimizing
What are your thoughts on how long you hold a position? Intraday or over several days? My thought is that holding a position for too long will result in a lot of slipage, how do you count for slipage in the backtest? Any markets or strategies that are more suitable for longer positions?
I am very concerned about the “broker costs” of operating (spread, slippage and overnight costs). I think most of people, as Grahal ;), aren´t but I try to minimize them as possible. For instance using limit orders and trying to do my systems intraday when possible, but the honest truth is that I don´t know if I am loosing more money that way that just going along.
In my case I am struggling with my results, in the long run kind of winnig but for a little margin and with a lot of ups and downs. Without those costs my results would be quite good for my expectations so… thats why I am very concerned about them even if I know is more of a wishfull thinking to avoid it.
Thoughts on diversification in portfolios? Having mean reversal-, break out- and trend following strategies (are there others?)? Different markets? Different parameter sets for a few strategies?
I try to diversify about type of systems and markets but I am not very concerned about that neither right now. Right now just trying to learn to make good systems whatever they are.
I will add seasonal and pattern systems to the types you mention
What are your take on filters of different kinds? I have started with a MR strategy that I think have some potential. Do you have any good thoughts how to improve it?
I tend to use the same indicators in all my systems: average, ROC, RSI, BollingerBandsWidth, ATR… Somewhere I read the most usefull indicator was BollingerBandsWidth and now I kind of agree, I use it more and more. But I don´t belive there are magic indicators, they are just tools and depending of what measurement I am lookin for I use one or another.
From your system I like that it use a signal to exit no just Stop/profit. Have you tried to optimize the entry hours, depending of the instrument you operate it can be also important to avoid high spread hours.
Good luck
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