Author Topic: Crazy Strategy or Glitch?  (Read 7428 times)

danucalovj

  • Newbie
  • *
  • Posts: 3
  • Karma: +0/-0
Crazy Strategy or Glitch?
« on: January 09, 2014, 02:13:18 am »
Hi everyone, I'm new to the forums and new to both the Trade Ideas and OddsMaker platform(s) so bare with me on this please :) I do have some experience with other platforms and lots of coding but so far this product is amazing... before I jump to conclusions I'd like to validate my thinking and results.

I created a strategy that mainly focuses on momentum and uses the "Block Trade" alert to detect big institutional movements which can help with price direction.

The results are absolutely mind blowing to me (but maybe for you experienced users this will be "normal"?). In my strategy I don't really care about % winners vs losers. Why? Because my commissions are low ($1.00) and the movements I'm expecting to happen with winning trades offset my losses in commissions. Also, my exit price is 0.1% the entry, so as soon as the trade becomes slightly unprofitable I get rid of it and move on. Trading hours are 9:30 AM - 4:00 PM PST. No timed exits, and 3 % profit target.

Here are the results:

Profit Factor: 14.21
579 Trades, 47.3 % winners
Strategy Return: 44 %
Projected Annual Return: > 1000%

Starting capital is 30K, total ending capital is 43K after 30 days of trading.

Screenshot attached.

Sorry if I do not attach the actual settings for this strategy but it took me quite some time to come up with something like this. My question really comes down to accuracy of the back tester. Even with increased slippage the strategy performs very well.

Additionally, I had to modify the share size a bit to allow for greater profit in the case the trade turns profitable.

Thank you!

« Last Edit: January 09, 2014, 12:21:42 pm by danucalovj »

braddoubleu

  • Administrator
  • Sr. Member
  • *****
  • Posts: 451
  • Karma: +8/-0
    • Trade-Ideas
Re: Crazy Strategy or Glitch?
« Reply #1 on: January 09, 2014, 07:51:43 am »
Without sharing the strategy, you will want to make sure of a couple of things. 

First, make sure you have a max distance from the inside market set (something like .3 is fine).  This way you will not be modelling in bad prints into the strategy. 

Another items you want to test to ensure you do not have any price outliers would be to also check the strategies equity curve using dollar amounts (in addition to share size).

Barrie Einarson

  • Administrator
  • Hero Member
  • *****
  • Posts: 610
  • Karma: +20/-1
Re: Crazy Strategy or Glitch?
« Reply #2 on: January 09, 2014, 08:26:12 am »
The other thing I would add is that you have an average of 26/27 trades per day which can be manageable if they are spread out during the day.  But if they are clustered together, unless you are using a bot to trade, it may be difficult to execute all of the trades. 

If you are not bot trading, you may want to try to optimize the strategy in order to reduce the number of trades.  I would look at the time of day, share price, entry time and hold time and see whether or not you can better optimize the strategy.  I would also use 0.05 for the slippage.

Barrie Einarson
Trade Ideas Trading Room Moderator
http://forums.trade-ideas.com/

danucalovj

  • Newbie
  • *
  • Posts: 3
  • Karma: +0/-0
Re: Crazy Strategy or Glitch?
« Reply #3 on: January 09, 2014, 12:25:06 pm »
Without sharing the strategy, you will want to make sure of a couple of things. 

First, make sure you have a max distance from the inside market set (something like .3 is fine).  This way you will not be modelling in bad prints into the strategy. 

Another items you want to test to ensure you do not have any price outliers would be to also check the strategies equity curve using dollar amounts (in addition to share size).

Hi Brad, I think the image wasn't posted correctly so I reposted it to my post. Please note the equity curve. Also, thanks for the note on the distance to the inside market, it was already set to 0.5.

danucalovj

  • Newbie
  • *
  • Posts: 3
  • Karma: +0/-0
Re: Crazy Strategy or Glitch?
« Reply #4 on: January 09, 2014, 12:29:17 pm »
The other thing I would add is that you have an average of 26/27 trades per day which can be manageable if they are spread out during the day.  But if they are clustered together, unless you are using a bot to trade, it may be difficult to execute all of the trades. 

If you are not bot trading, you may want to try to optimize the strategy in order to reduce the number of trades.  I would look at the time of day, share price, entry time and hold time and see whether or not you can better optimize the strategy.  I would also use 0.05 for the slippage.

Barrie Einarson
Trade Ideas Trading Room Moderator
http://forums.trade-ideas.com/

Barrie, thank you for the reply. Yes, the intention would be to use a bot trader to perform the trades automatically as they are alerted - I agree with you, it would be difficult to manage this otherwise due to the frequency of trades. I'm assuming the slippage would be far less with a robot, would anyone have any information on average slippage of a trading robot running in live mode?

JayTrade

  • Newbie
  • *
  • Posts: 7
  • Karma: +2/-0
Re: Crazy Strategy or Glitch?
« Reply #5 on: June 10, 2015, 01:43:04 am »
If the OP is still around, I'm curious how this strategy turned out trading in real time. I have to say it would seem there is some serious curve-fitting. If not, this is the greatest strategy ever created.

Miland

  • Newbie
  • *
  • Posts: 1
  • Karma: +0/-0
Re: Crazy Strategy or Glitch?
« Reply #6 on: February 19, 2017, 01:23:46 am »
Sometimes it's a glitch, but sometimes your broker is not reliable enough. Once I also thougt that was a glitch while trading with AlpariUk, but a little bit later that company became a bankrupt.