Sunday, October 16, 2005

Backtest Question

Hey Chris,
 
I've been working with the Backtest module you created - man alive - that technique of scaling in if the trade pulls back against you is a real lifesaver!  Looking forward to doing a lot more testing with it.
 
But, before I do, I need to make sure I'm using the thing correctly.  And I'm having a heck of a time duplicating the results you posted Oct. 11 in your "Scale In" post on your blog.  I swear I've got the same settings that you do, but as you can see from the attached screen shot my results aren't the same.  Not even close.  What am I doing wrong?
 
Thanks in advance, and again, thanks for this nice little tool.
 
Phil Davis
 
Backtest
 
Phil,
you are doing nothing wrong. And today I get the same results as you got. The reason being, that I changed the way Minute files are processed.
While in the first versions of the Backtest Module I had it going from Open to High to Low to Close (if the Open was above the Close  and vice versa if the Open was lower than the Close),
I now take the more "cynical" or conservative approach, that the market always tries to shake you out first:
So IF you are in a Long the bar is going from Open to Low to High to Close,
if Short it's Open to High to Low to Close. And that had the effect, that you get a lot more conservative result than earlier, as
  • you are stopped more often and
  • your targets are not reached as often before being stopped.
As I can't know, how the market really traded, when looking at a minute bar, I think this more conservative approach is a better way to backtest with minute bars.

4 comments:

vlad said...

Hi Christian,
Reading your blog on daily basis now I would like to try and test your autotrade system in FT. If I understood well there are two systems built-in. First one is modificated Sport's first bar trade that is repeated every time in chosen period eg. 30 min. Second one is a secret for me because I didn't read "Zen in markets" ... (I have to order it on Amazon).
I have downloaded and installed FT and then upgrade 3.32 but then I am getting this message:
Laufzeitfehler 13: Typen unvertraglich
I think it is some run-time error. So I completely reinstall FT but with the same result. What is wrong? Can you help me some way?
Btw. I like your FT very much. It looks to be a very sophisticated platform made by real trader! Unfortunately it seem little (rather more) difficult for me to use and trade with it. For that reason I am using Bracket Trader for my trading that is very simple and easy to use. Can you give me an advice how to "get in" your software? Is there any simple manual "How to" for newbies as me? Hope it is not stupid question :-)
Vladimir

Globetrader said...

Vlad,
correct the systems are
1. Time-based: Take a trade every 30min, if a breakout out of the user-defined range occurs
2. Trend-based (Zen in the markets): FT just looks for a High or Low in the market. Then once there has been one found FT waits for a trend-reversal and takes a trade in the direction of the new trend. Only open question is, when does a trend-change happen. Answer: When the market has gone a certain number of ticks in the new direction.

Maybe a better answer would be, when the market has made a Low and then makes a higher low, or when the market has made a High and then makes a lower high. But that's beyond the current tradesystem implemented. Instead I suggest you try the Swing trading system with a certain retracement parameter. Say Euro makes a Low, reverses 24 ticks triggering your Trend Long condition. But now you don't take the trade immediatly, but wait for a 8-12 tick reversal to happen.

You got the error message, because you did not install the IB API 8.61Beta before you installed FT 3.32.
Be aware that this IB API might be incompatible with the current BT version, or (if you installed IB API 8.61) it might be, that BT forces your computer on IB API 8.3.
In any case using FT 3.31 will solve your problem. Just download the update to FT 3.31 from my website. Unfortunatly the download of historic data from IB won't work with FT 3.31. For this you need the new IB API 3.61 and FT 3.32.

There is just the documentation I have on my website and the What's new list on the website.

As someone I really value as a trader once told me: croc is the worst marketeer he has ever seen:-)
FT has a lot of features, which might seem overwhelming at the start, but
1. You can safely ignore most of them (and switch them off, so you won't see them)

Start with the Tower, a tradebook, an orderbook and your account window. Additional windows can be added later.

Grab the upper border of a window to move it around, grab the dot in the lower right corner to scale a window. Click File/Settings/Save Settings to save your Layout or load some preconfigured Layouts by clicking File/Settings/Load Layout and going to the \program files\futures-trader\Layout folder

2. I myself use maybe just 20% of all the functions available, because I no longer need them. FT is a work in progress, it is my trading platform and, if I have an idea I implement it and see, if it works in a real market. If yes, great, if no, maybe it will be of use for someone else or maybe I just have not yet seen, how it can be really be usefull. As I have made FT available to the public, I'm very reluctant to remove functionality, because somewhere someone might need exactly this functionality for his/her edge in the markets.

So maybe, if there is interest, we could schedule a session to answer questions or I might setup a live forum in IRC to do so.

vlad said...

Christian,
thank you very much for your prompt reply. I very appreciate it. I upgrade to beta 8.61 API but still the same error. I don't want to bother here with my technical problems. I will send you an e-mail with screen a shot.
To FT: I will have to explore your program little bit more. I'll take your advice and start with simple screen.
Personally I think it would be great to make an IRC session with Q&A regarding FT but I dont know how many FT users would welcome that. Anyway I am reading your blog regularly and sitting in Safari room as well. Thank you once again.
Vladimir

Randy said...

Hi Christian,

Long time no see... Like vlad and many others this past 2-3 weeks I have been reintroduced to your FT this past week and would be very interested in a "sit down" intro- session on IRC (or ventrilo)... I'm aware of at least 3-5 other power Ensign users that would enjoy this event as I think we could all learn from each others experieces, and jump start a newusers group with your product. I obvious you've come a long way with this over the past year and over the recent couple of week even. Currently I'm rebulding some signal profiles to exploit the ensign listening feature and desporately need a hand holding session (or 3) to get plugged into your application. I realize a "manual" would be out of the question being in constant beta versions but I think and intro session or two would be most helpful. Please let us know when you plan for this I'm sure we can pick your brain for a couple of hours with all of the features this app has.

I also gave your link to Howard A. (Ensigns' developer)last evening in hopes to get some additional input and ideas from his side of the equation. Also he may know of others that would be interested in an "introduction" to FT.

Thanks for constant effort in development and look forward to adding to the trading arsenol. :-)

Randy