Validate the efficiency of the system before position

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  • 08/24/2020 at 3:59 PM #142448 quote
    winnie37
    Participant
    Veteran

    I would like to add a very simple condition to my systems, based only on observation.

    When the profit curve goes below its moving average (to be defined), positions are not taken in real life. This is a sign that the system is no longer efficient enough.

    When the profit curve drops below its moving average, positions are taken. This is a sign that the system is working well.

    This condition could apply to any system.
    Help to code these additionnal conditions?

    For example, positions on this system would not have been taken in july (profit under the moving average)

    Capture-d’écran-2020-08-24-à-16.56.58.png Capture-d’écran-2020-08-24-à-16.56.58.png
    08/24/2020 at 4:18 PM #142450 quote
    Vonasi
    Moderator
    Master

    Perhaps you have not read this blog by Nicolas yet?

    https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/

    We are all still waiting for Part 2 because Nicolas is a very busy person!

    08/24/2020 at 4:37 PM #142451 quote
    winnie37
    Participant
    Veteran

    Yes, I had indeed read it. The idea dates back to 2018. That’s why I’m relaunching the subject to our talented coders 🙂
    I currently test it manually, not very pratical but for testing.

    08/24/2020 at 5:30 PM #142456 quote
    Nicolas
    Keymaster
    Master

    The moving average is calculated upon orders, not time. How do you calculate the MA if you don’t want to take order? The solution is to take fake orders to simulate the strategy in order to see it performs well again…

    08/24/2020 at 6:10 PM #142461 quote
    Vonasi
    Moderator
    Master

    Perhaps this topic from when I was playing with ideas on trading the equity curve is also of interest:

    Simulated Trading

    winnie37 thanked this post
    08/25/2020 at 11:16 AM #142500 quote
    winnie37
    Participant
    Veteran

    that’s the whole problem. Currently, I do a weekly backtest. And when the moving average goes under the profit basket, I manually stop the live system for the week.
    And I check again the following week for a restart or not of the system …

    Not very practical and precise, I admit.

    08/25/2020 at 11:56 AM #142502 quote
    MAKSIDE
    Participant
    Veteran
    winnie37 wrote:

    I would like to add a very simple condition to my systems, based only on observation.

    When the profit curve goes below its moving average (to be defined), positions are not taken in real life. This is a sign that the system is no longer efficient enough.

    When the profit curve drops below its moving average, positions are taken. This is a sign that the system is working well.

    This condition could apply to any system.

    Help to code these additionnal conditions?

    For example, positions on this system would not have been taken in july (profit under the moving average)

     

    I saw that you use Day Dax of Doctrading.
    The system isn’t efficient because it’s over optimized..  (it’s my point of view..)

    It’s the same with Day DJI or Cac..  everything is wonderful until bots are put in production.

    GraHal thanked this post
    08/25/2020 at 12:52 PM #142510 quote
    Nicolas
    Keymaster
    Master

    BTW, with arrays, simulated orders for equity curve trading would be easier to code now. Need v11 and an example of code now 😉

    winnie37 thanked this post
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Validate the efficiency of the system before position


ProOrder: Automated Strategies & Backtesting

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winnie37 @winnie37 Participant
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This topic contains 7 replies,
has 4 voices, and was last updated by Nicolas
5 years, 6 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 08/24/2020
Status: Active
Attachments: 1 files
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