Tuesday, October 11, 2005

Scale-In

I really did not know, that changing so little can mean the difference between -4000$ or +10000$ for the month. I have been adding a lot of new features to the Backtest Module, as one add-On led to another. So don’t be confused, when you see a lot of new choices on the Module.

1. Native Sierra Datafiles (*.mnd) as well as ESignal Tickfiles (Playback) and (Ensign) Minute files are supported.

Globetrader_032Just select the appropriate Datafeed.

For Sierra and Minutefiles you need to preset the contract, as these do not include contract information.

Click Ticker (The Button might show contract information instead. EG: EURz5)

 

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Now select the Contract you want to backtest on the leftmost buttonrow.

 

 

2. You can Stop-reverse or Fade the Market on a tradesignal and you can define to take trades with the Trend only on the Time Breakout Strategy.

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Globetrader_034There you set 2 MA’s (Simple Moving Averages) and these decide what the trend is. During a backtest run the yellow boxes will show the value of the moving averages.

 

3. You can change the Target Settings to values you like

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Use the Target Settings Box to set the values you like in Ticks

 

4. The Retracement Setting has been moved, as it can be applied to both the Switch and the Time Breakout system.

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What this setting does is wait for a retracement after a Tradesignal has been received.

 

4. You can define 3 Scale-In and 3 Scale-Out levels together with an adjustment of the Stop, in case the level is hit. The Stop is calculated in Ticks from the Initial Entry Price

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To add a rule to your strategy place a checkmark in the leftmost box. You can add any values you like in these boxes, so make sure it makes sense.Be aware, that Stops and P/L are set inversely.

See the first Scale-In line: It means Add 1 contract , if my trade is at a loss of 5 ticks and move the Stop to 10 ticks from my original entry price. So effectively the Add-On contract has a Stop of 5 ticks.

The Second line makes no sense, as the moment the contract would be added at a loss of 8 ticks, the Stop would be moved to 2 ticks behind the Original Entry Price, which means, your trade would be stopped immediatly.

The third line works again: Add 1 contract, if you have a profit of 10 ticks and move the Stop to 5 ticks. This secures a Breakeven Trade.

Same rule apply for the Scale-Out module.

5. Once a test is complete, you can save the results in an Excelfile.

Globetrader_038This file currently has just the tradedata, but no Settingsdata. I intend to change that in the future to make it easier to recreate a result.

 

BTW: Before someone asks: Minutefiles and Sierradatafiles contain Bar information, meaning they have information about the Open, High, Low and Close of the Bar, but no individual tickinformation. So how the price moved from Open to Close, you can’t possibly know looking at a Minutebar. But this can be important! Therefore I tried to assume the worst case scenario in case the system is in a trade: If Long, the price always moves from the Open to the Low of the bar to trigger any Stops and only then the move to the High is made and from there to the Close. Vice versa on a Short.

The question, which intrigued me most was:

What happens with my profitability, if I trade an All-In, All-Out approach (as I do right now) compared to a Scale-In in a profitable trade and compared to a Scale-In into a losing trade Strategy.

Say Euro trades at 1.2060:

A: 2 Long 1.2060 Stop 1.2050 compared to

B: 1 Long 1.2060 Stop 1.2050, Add-On 1.2065, Stop for both to 1.2055 and compared to

C: 1 Long 1.2060 Stop 1.2050, Add-On 1.2055, Stop for both remains at 1.2050

I leave it to you to test it for yourself. For me the answer to this question was already worth the work invested into this module.

The results you see here are not so different from what I already got using an All-In, All-Out approach, but now I could use a 10 tick Stop instead of the 20 tick Stop, meaning the emotional roller-coaster with this trademanagement strategy isn’t as worse as it is with a 20 tick stop trademanagement strategy.

http://www.futures-trader.net/Blog/Globetrader_030.gif

To test for yourself, just download the FuturesTrader Update from www.futures-trader.net

7 comments:

SunSeeker said...

hi croc, everyone,

i have created an always in trade system where the method is private. it is meant to give me exits both long and short. however, i calculated the results and here they are:

er2, 24 or so days so far.
1 contract, no stops, no targets.
$10,520 gross profit.
252 trades. remember always-in.
net profit at 4.80/trade $9210.40.

$9210 - slippage in under 25 days of trading seems really good to me.

anybody else come up with anything like this?

the nice thing is that it works very well just to take me out of my trades like i created it for. i am still tuning it and trying to 'view' it from all sides to make it better.

----------------------------
croc, two things im thinking about.

first, you have made so many changes, wow, i cant figure out in general how i can use your tools. i use sierra charts and IB.

Questions:

how can i use your tools to do sim trading with real data?

how can i backtest my live data?

how much does it cost to do this?

also, using sierra charts live IB data, if i can get my sierra charts to spit out a file that says "long at market, size x", "exit trade size x", "short at market size x", "exit and reverse all" then can your programs pick this up and go with it while tracking the results?

sierra charts does reply. when i replay tick by tick and it spits out these signals in a file can your programs work with this too?

second thing i was thinking about... any ideas or can you create something that allows us to post our trades so we can show realtime results to others. what would be slick is a .exe that we all could download and connect to and post trades. guess that would be a mini chat room. maybe we could use some mirc room instead and have the auto-posting go to it.

or, can you write something and have something on your site that allows us to use your program and autopost to it in realtime.

just some ideas to ponder.

Piper said...

Hi Croc,
Slick simulator you have here. Your work is much appreciated. Try this switch system on your 10 day sample file:
Stop 20 Target 40 1 contract
Trend switch = 24 Retracement =8
Trailing stop ON
BE +1 after T1 on
T1 = 6 (first target setting I presume)
Scale in = Add 1 @ P/L -5 Stop to -10
Trend Only, M/A's 9 / 50
Start 01:30 Stop 16:00 Sync 09:00

Amazing results 88 / 12 WL%
$ Reward ratio 19 / 1

Am I curve fitting or what? LOL

Questions..how is the trailing stop calculated? I didn't see a place to set this.

Can FT be setup to autotrade these strategies?

Again, Thanks!

SunSeeker said...

update for todays trades. did pretty good.

now at a total of $11,680 with 264 trades. its actually on its 22 day of trading.

net would be $10412.80 not including any slippage.

today it made 12 trades for $1,160 gross. no bad at all. remember its all in market formula.

two points about that is 1-you take the risk of gaps and 2-how do you figure slippage. sometimes its to your favor and sometimes not. imo you should always figure 1 tick at least for fluid contracts like er2. but with all-in trading seems like slippage one way is a bonus for the other way.

what do you guys think?

Globetrader said...

Sunseeker,
re your questions:
1. How can i use your tools to do sim trading with real data?

Download the FT 3.30 version to run the Backtest Module with real live data

2. How can i backtest my live data?

I have no way at the moment to transmit tradesignals from Sierra to Futures-Trader. Users of Ensign software or ESignal are able to do so, as there a link to FuturesTrader exits, which can be used for Playback trading and sending of realtime Tradesignals.

3. How much does it cost to do this?
To use Futures-Trader in Sim-mode is free. Only when you want to use FuturesTradser for real trading you will have to subscribe. So as long as you use it for Backtesting only it's free.
Of course I would appreciate a donation in case your trading results improve dramatically due to the information you got from backtesting.

4. sierra charts does reply. when i replay tick by tick and it spits out these signals in a file can your programs work with this too?

If you would be willing to share your routine, which is able to write a tradesignal in a file with the Sierra community, I would be willing to implement the necessary routines to read such a file into futurestrader in realtime

5. can you create something that allows us to post our trades so we can show realtime results to others.
That's already implemented in FuturesTrader: Click Options/Preferences and select either the Hotcomm room to post a trade into or the program which should receive the tradeinformation. I'm not sure the Tradeposter will work with MIRC, but we can test it.

Globetrader said...

Piper,
I tried your startegy. It's not as good on longer time data, but still profitable so it's fine with todays markets.
The Switch system uses no MA's as the trend is determined by the reversal of 24 ticks in your case from the highs or lows.

The trailing Stop is always the 2nd target behind the current one: EG your trade is 19 ticks in the profit and your targets are set to 5, 8, 10, 12, 15, 20, 25
Last target made was 15 ticks, so the trailing Stop is at 12 ticks.

Can FT be setup to autotrade these strategies?
Not yet. This is the last step to implement, as first I need to know, that the backtest Module has no major bugs.
As long as it's just a statistic, the statistic might be wrong in case I made an error. But linking it to the trade-routines, even if that means just adding one simple Button and a few lines of code in the trade open and close routines of the Backtest module, a bug might cause havok once you decide it's time to run the strategy in your real account.
So this will have to wait another one or two weeks until I'm fairly sure, that the Backtest module is stable and running smoothly on a live datafeed.

SunSeeker said...

croc,

the code to write to a file in sierra is just c code in the dll to open a file and write to it. it has to be placed in the DLL that the person wrote.

im not sure if this is understood. its not a secret or special so maybe i misunderstood what you need. let me know.

SunSeeker said...

also, i hate hotcomm lol. too much money imo. i dont like mirc either but its free. do you have a bulletin board that futures trader could post live posts too. that would be cool and could even be verified by looking at the date and time posted.