Trial to Transform a Donkey in to a RaceHorse !

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09/17/2020 at 9:28 PM #144595 quote

zilliq
Participant

Master

Bad CCI Donkey works weel today +20 % (OOS results as always)

Win/loss : 3.17 is very good

Still one day tomorrow to have results after one week

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09/18/2020 at 1:42 PM #144663 quote

zilliq
Participant

Master

Well, end of Week test. The system stopped for today because of Goal Reach : 1000 USD today = + 10 % today

After one week of testing, we have + 59 % of gain in OOS results. I think we can say it could be a racehorse 🙂

Now I will let the system continue, to see how it evolves (How do we need to reevaluate variables with backtest on IS) but the test is concluant

Now, I will do some tests with others Donkeys (I already think about some improvments)

But as you can see, the answer is not the strategy but the money management, the code, the market structure and so on …

Keep It Always Simple !

thanked this post

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09/18/2020 at 1:49 PM #144667 quote

deletedaccount051022
Participant

New

Hi zilliq

Thanks for sharing, always interesting to read new ideas.

Out of interest, what is the Target Profit and Stop Loss that you have on this particular strategy in terms of risk to reqrds?

Thanks very much,

S

09/18/2020 at 3:44 PM #144683 quote

zilliq
Participant

Master

Hi @samsampop

Dynamic Target and Stop loss based on crossing of the CCI and change of market structure. That’s why lost can vary but is limited

thanked this post

09/25/2020 at 2:44 PM #145392 quote

zilliq
Participant

Master

Well,

As could be expected, performance diminish with time if we don’t update the parameters with backtests

The first backtest was on 100 000 bars and the performance was still good after 9 days*1440=12 960 = 12960/100 000 = 13 % of the length of the period of backtest +/- 1/8 of the period

We should update but I won’t (Because of time and others trials to do)

But very interesting

christofferR thanked this post

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10/02/2020 at 9:00 PM #146249 quote

paisantrader
Participant

Senior

zilliq wrote:

But as you can see, the answer is not the strategy but the money management, the code, the market structure and so on …

Keep It Always Simple !

NOW I know what you mean. I understood what you meant, but had to see it for myself.

I tried the most simple strategy from the library that had a regular stop and target profit. Result was quite bad. Switched it out to Ale’s logic trailing stop and there we go. From a loser to a winner (also switched 1h to 15min).

So much learnt from this. Thank you!

GraHal and thanked this post

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10/03/2020 at 6:03 AM #146259 quote

christofferR
Participant

Average

Thanks for a great lesson!

inspiring and meaningful, probably something all new users should read.

10/03/2020 at 10:48 AM #146266 quote

deletedaccount051022
Participant

New

Thank you once again for the intellectual exercise, and the recommendation of some good literature. I read Quantitative Trading by E. Chan, one of your recommendations, and it was extremely useful. The Exit strategy and Money Management are now on a par with the Entry Signals.

You posts in this topic have inspired me to test a range of strategies with renewed focus on Risk, Exit and MM methodology. Start of a new and exciting journey!

10/04/2020 at 9:03 AM #146317 quote

zilliq
Participant

Master

Hi Guys, happy you like the approach !
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