Wednesday, October 12, 2005

Test your system with real data

You found some cool settings for the Backtest Module? 

Test them with live data. I added IB TWS realtime data as datafeed for the backtest module.

Globetrader_040

Getting great results on past data is just the first step of every Backtest. Testing these settings in todays market is the crucial second step. So setup the Backtest parameters, select TWS as datafeed, connect Futures-Trader to IB TWS (File/Connect) and click Run on the Backtest Module.

The Layout got streamlined a bit and I added labels, so you know what is what.

Globetrader_043

In a trade (actually applicable only while running on the Realtime datafeed) you will see a new Button labelled “Cover”, as sometimes you might want to override the system to secure some extraordinary profits. Just be aware, that the moment you use this button your results will no longer be replicable in a backtest.

The Scale-In module got a further selection, as I found it necessary to make sure that the number of open contracts was limited to a certain maximum.

So now you can specify how many contracts will be opened per strategy as a max:

Globetrader_042

Here you want to trade 1 additional contract, if the trade goes 5 ticks against you, but that’s it. If you have already 2 contracts once the trade is 5 ticks in the profit, you don’t want a third. But you want another one, if the trade never got to -5, but just started to run. The max c entry takes care of that.

In case you are already familiar with Futures-Trader and have played with the link from Ensign to Futures-Trader or ESignal to Futures-Trader, you might also run a Playback in these Chartprograms and have your tradesignals transmitted to the Futures-Trader Backtest module. The moment you select TWS as datafeed, you will have an option to select Tradesignals as Backtest System.

Globetrader_041

 

There still is a lot to do, but the Backtest Module already gave me invaluable information for my real trading. My statistics always told me, Chris, finetuning your entries will get you from 72% winners to 75% winners, if you are lucky. And that’s a big big IF, because finetuning aka optimization usually leads to a less profitable system, as the filters introduced will not only filter bad but good trades as well.

But working on the Exits, working on Trademanagement, that’s something totally different. I’m getting 10%–50% profits out of the possible profits on a profitable trade right now. Increasing this number to an average of 45%-50% or better will be a huge step forward. And knowing how to Scale-in or -out of a trade backed by the statistics gives a lot of confidence. Especially when you see, that using the wrong strategy will really hurt your performance and can actually be the reason for a losing system.

Here is the link to a current Sierra Euro file, so you have a bit more data to backtest on.

 

7 comments:

SunSeeker said...

croc, from what i understand sierra does backfill now. however, if it collects backfill from IB then its not teh true tick data so the charts will be off. whwereas if you collect live data then the date files will be true tick files.

did you collect that data by keeping EUR live always? or is some of it backfill?

thanks

SunSeeker said...

i would love to be able to autopost but cant do yet.

im getting chopped this morning but up a bit.

current trade tiggered a bit ago at:

long er2 618.20

SunSeeker said...

(from long er2 618.20)

exit/reverse short er2 621.4

SunSeeker said...

(from short er2 621.4)

exit er2 619.90

SunSeeker said...

ok i cant stay here all day. got errands to run. ill post the day end results later.

Globetrader said...

I use ESignal Tickfiles and Sierra Minute charts for backtesting at the moment. The tickfiles are accurate, but go back only 10 days, while the minutefiles are not as accurate, but go back 3 to 6 months

SunSeeker said...

Totals for today are:

Gross Profit: $12,570
Trades: 274

Days Profit: $890
Days Trades: 10
Net Profit not including slippage is $842 per contract.

Doing well so far as i expect. Wish I could auto post to show it realtime for folks.