Dump it Here

[Skate]

Backtest Period #6
1st June 2021 to today.



Skate.

 

[Skate]

Backtest Period #7
1st July 2021 to today.



Skate.

 

[Skate]

Backtest Period #8
1st August 2021 to today.



Skate.

 

[Skate]

Backtest Period #9
1st September 2021 to today.



Skate.

 

[Skate]

Backtest Period #10
1st October 2021 to today.



Skate.

 

[Skate]

Backtest Period #11
1st November 2021 to today.

It was unfortunate that I started trading "The Platinum Strategy" in November, the timing couldn't have been worse in retrospect but that's trading.



Skate.

 

[Skate]

Back to my original question
If you could pick only one strategy to trade which would it be?

I'm really not expecting many answers if any as it involves a bit of effort
Thinking about it a little further, there would be "no one" who would put in the effort to answer the simple question, which is understandable. But if it was a strategy "you" were planning to trade I'm sure the same effort would be applied.

Other than looking at a few backtest results what did it achieve?
Well, nothing really.

What was the exercise?
It was an exercise to display what you have to endure to evaluate a strategy after you have spent months coding it. It appears all the strategy have their moment in the sun even though at different times. Trend trading is highly correlated but those three strategies above have low correlation.

Comparing the exits
Each of those systems has different exit strategies. The different types of exits are reflected by the number against that type even the dollar expectancy differs from month to month. In my humble opinion, any of the strategies would be okay to trade. They all have relatively low drawdowns which is a bonus trading in these trying times.

In all honesty
The question doesn't need answering.

Skate.

 

[Skate]

Luck
I'm also at odds with @peter2 when it comes to mentioning the word "luck" with "trading" as his way of trading revolves around skill.

I believe we all need a degree of luck
All systematic traders need to be aware of the significance of "timing & luck" when they start trading. As an example, system traders who started last year in January 2020 got hammered with the COVID-19 flash crash. In hindsight, they were just unlucky to start when they did. After any major drop, traders are normally fearful to get back in. Restarting to trade again also relies on a degree of luck to kick them off on the right foot.

Starting the new "The Platinum Strategy" in November was sheer bad luck
Another failure will make it even harder to start trading the strategy next time around - "if there is a next time for many".

Abandoning a strategy too quickly
When strategies are not performing as expected or they don’t follow the backtest results we tend to start fiddling & modifying a perfectly good strategy disguised as a trading strategy improvement. The development stage of a system is when these measures are crafted & certainly not during the paper trading phase. @cynic has made a stack of posts in this thread where he mentions that trading doesn't always follow the backtests results. I'd suggest you do a search for his posts as they are worthy of a re-read.

Phew....



Skate.

 

[qldfrog]

Luck
I'm also at odds with @peter2 when it comes to mentioning the word "luck" with "trading" as his way of trading revolves around skill.

I believe we all need a degree of luck
All systematic traders need to be aware of the significance of "timing & luck" when they start trading. As an example, system traders who started last year in January 2020 got hammered with the COVID-19 flash crash. In hindsight, they were just unlucky to start when they did. After any major drop, traders are normally fearful to get back in. Restarting to trade again also relies on a degree of luck to kick them off on the right foot.

Starting the new "The Platinum Strategy" in November was sheer bad luck
Another failure will make it even harder to start trading the strategy next time around - "if there is a next time for many".

Abandoning a strategy too quickly
When strategies are not performing as expected or they don’t follow the backtest results we tend to start fiddling & modifying a perfectly good strategy disguised as a trading strategy improvement. The development stage of a system is when these measures are crafted & certainly not during the paper trading phase. @cynic has made a stack of posts in this thread where he mentions that trading doesn't always follow the backtests results. I'd suggest you do a search for his posts as they are worthy of a re-read.

Phew....

View attachment 134273

Skate.

Sorry, a bit of time i do not have today to do a proper answer

 

[MovingAverage]

I'm a believer in shorter-term backtests to evaluate the metrics as IMHO its usefulness diminishes the longer the backtest period.

Skate.

This is a very surprising statement...you're in fact suggesting that long term tests somehow mask the true performance of a system, which can only truly be seen through short term term testing? If you plan to trade your system for an length of time you can't seriously suggest that just a few hundred simulated trades is good enough? You need to understand the steady state dynamic of your system over the longer term. I like my coin flip analogies so you are in effect suggesting that to flip a coin once and land heads (that is in effect your short term analysis) is all the evidence you need to assume that any future coin flip will be 100% guaranteed to turn up a heads. I think you are confusing short term back test (a handful of trades) with relevance to current market dynamics--to conflate the two is a major mistake. This is why WF testing is so important.

Your sim result run out to a few hundred trades--anyone with half a brain wouldn't go live with a system after only simulating a few hundred trades. But, hey...it's your money so trade away.

 

[Skate]

This is a very surprising statement...you're in fact suggesting that long term tests somehow mask the true performance of a system, which can only truly be seen through short term term testing? If you plan to trade your system for an length of time you can't seriously suggest that just a few hundred simulated trades is good enough? You need to understand the steady state dynamic of your system over the longer term. I like my coin flip analogies so you are in effect suggesting that to flip a coin once and land heads (that is in effect your short term analysis) is all the evidence you need to assume that any future coin flip will be 100% guaranteed to turn up a heads. I think you are confusing short term back test (a handful of trades) with relevance to current market dynamics--to conflate the two is a major mistake. This is why WF testing is so important.

Your sim result run out to a few hundred trades--anyone with half a brain wouldn't go live with a system after only simulating a few hundred trades. But, hey...it's your money so trade away.

The backtest period is important
We have canvased the ideal of what length a backtest should be used to have meaningful results. Others have posted their views which is completely opposite to mine.

Skate.

 

[Skate]

you're in fact suggesting that long term tests somehow mask the true performance of a system, which can only truly be seen through short term testing? If you plan to trade your system for an length of time you can't seriously suggest that just a few hundred simulated trades is good enough?

@MovingAverage, I'm not suggesting that at all.

Confidence is required
Once you have coded a system with a positive expectancy, the entry & exit can be modified to suit the "times" or a particular "market". Parameters & filters likewise can be re-tuned.

Having a differing point of view on how to develop a strategy doesn't put us at odds
Using one time-frame over another doesn't mean one of us is "right & the other is wrong". All we have is a different view on the length of the journey to give us the confidence to trade one system over another.

The Turtles System
I'll explain why "The Turtle System" worked in the 1980s & up to 1996 "then it stopped".

The core reason the system stopped is that the markets changed
This is the main reason why I add more emphasis on recent data to be in line with the state & volatility of the market. Also, in recent times technology has changed. Back in the early day's traders didn't trade with software. Interest rates were different, risk management was different, philosophy was different. Market predictability has also changed since COVID with a vast amount of people trying their luck, entering the markets on mass.

Markets change & evolve
The world of money is now different from years ago, trading has changed considerably so systems need to evolve or go the way of the dinosaurs. My view of backtesting has evolved over time. After I realised the markets have changed a lot it didn't take me long to work out "what once held true doesn't hold true today". The understanding of this has been a bit of a problem for some to comprehend or accept.

Below are some of your posts
Take what you will from them but I suggest you read them carefully to understand nothing is set in concrete.

I'm pretty bloody minded about sticking to the rules of my systems and have been pretty good over the years, if my systems say buy I buy and if my systems say sell I sell...nothing more and nothing less matters.

I know I should have done nothing and run my system at close today, but I just couldn't ignore the profit given the crappy state of the market. Shame on me, so feel free to strip me of my system trader title and call me a discretionary trader

I pretty much overrode all my systems today and closed out all my positions. I’ve found it mentally too tough to continue trading in this market despite what my backtesting tells me.

Started trading the system in early 2015. It basically did nothing for the first 2.5 years, but really found it's momentum around mid 2017 and has really got some good traction since then. It was a real test of my patience to keep trading that system for 2.5 years and make little progress.

Three trading periods
I'm guessing the trade results below are from the same strategy. Looking at those distinct periods, I believe something changed & I'm not suggesting you fiddled with your strategy but rather it was that the "market that changed" over that short period of time.

If I run backtests now over that period ( Jan 2015 to Aug 2017) the real performance you see above is inline with the backtest

It is seriously tough trading through a lot of consecutive losers and for me that messes with my head so is something I'm very sensitive to. My backtests over 4000 historic trades have this particular system sitting at max consecutive winners of around 36 and max consecutive losers at around 20. The current figures on the live version of the system (which is shown in the graphs above) has consecutive winners at 10 and consecutive losers at 9, but that is after around 351 live trades, which is clearly far less than the 4000 trades executed in my backtests.

What to believe
Everybody talks about technical or fundamental analysis as they know it intimately & feed it to others with the best of intentions (most of the time). Like all skills, if you are trading for financial freedom you better make yourself comfortable as it takes an extraordinary length of time to be good at it. My point is, "there are different trading methods" that work & all you need to do is to find something that suits your lifestyle, schedule, & most of all is your personality. Your personality will ultimately decide if you can stick to a plan even when the going gets tough.

Skate.

 

[Skate]

Does turtle trading still work in today’s market?
Dennis and Eckhardt did not invent trend following but used it "successfully" during the 1980s "their period in the sun". While turtle trading worked in the 1980s, there are differing opinions about whether the turtle trading system would work today.

Looking for perfection
For those looking for the perfect strategy, there isn’t one, so in the meantime, why re-invent the wheel – pick an idea that’s been backtested, proven to work & modify the idea to suit the job you want it to achieve.

The markets have changed a lot
"It’s important to adjust a system, adjusting the system is important,” said Dennis. His system, his core system of entries & exits unfortunately doesn't work today.

Skate.

 

[Skate]

Jerry Parker, a disciple of Dennis & one of the original turtle investors
Jerry believes that turtle trading is timeless but risk management when trading is pivotal. He goes on to remark that constant research, parameter adjustments & re-tuning of the entry & exit conditions are the "keys" to trading profitably.

“You’re continuing to do research, finding robust systems, and that means systems with the least amount of parameters that tell you how to initiate, liquidate, or stay out of a trade. We’re always looking to build systems that are based on momentum or based on range dependent discrete time frames where you’re confirming that a trend is in place”, said Parker.

“So, you’re always looking to capture directional price movement. Obviously, managing risk is paramount, so you manage risk from the trade size, you limit it in the markets and sectors that you trade,” added Parker.

Skate.

 

[Skate]

Is turtle trading past its prime?
Turtle trading was innovative in the 1980s, but wouldn’t be effective now. Inflation was higher & there were more solid trades to follow in the 1980s than there are now. Dennis noted that mental discipline was just as important to turtle trading as following his rules.

Parker also said that the risk management strategy can be tweaked to adapt to today’s stock market
“We have a risk management concept that overlays the portfolio that’s based on marginal utility. So, we’re harvesting profits along the way which is very different than what we did learn in the original Turtle trading programs. We’re still doing the same things, just a little bit differently than we used to,” said Parker.

Skate.

 

[Skate]

Why do trading systems stop working?
Trading systems often work for a while but some traders will stick to the system believing it can't fail. When you start to lose money consistently the penny will eventually drop. When it does you will realise the truth that your strategy is no longer working.

Something has changed
When the system stop working some cease trading altogether. They will start trading the same strategy when they perceive the system has come back to life. In reality, they become a glutton for punishment finding themselves back in the saddle riding a lame horse.

Over time systems fail
The purpose of this post was to highlight that some systems do fail, not because the methodology was wrong but merely because the markets have changed over time & "your system didn't". All I wanted to say is when your system stops working there is an alternative. I should also say in closing, "some systems stop working because they never really worked in the first place".

Skate.

 

[qldfrog]

Seen in term of engineering, most trading systems do not have feedback loops.or only a basic one gtfo on index, and mostly rely on an implied system loop( SP and volume).
The holy grail would be an inbuild feedback loop which would create a dynamic system..probably via dynamic parameters.
Not easy task..not only code wise but mostly concept algorithm wise.
I tried starting from a very very basic base and so far no success
but between full AI ML, and a feedback loop, i will try first the feed back loop.
At least you can understand the decisions

 

[MovingAverage]

Below are some of your posts
Take what you will from them but I suggest you read them carefully to understand nothing is set in concrete.



Skate.

What have those prior posts of mine got to do with the comment I made in relation to backtest period and number of trades taken? Please don't confuse my comments on you backtest results as not agreeing market conditions have changed. I'm simply saying that your original post asked people to pick 1 of your 3 strategies. And I'm suggesting I wouldn't pick any based on your sim results of a few hundred trades--not that using recent data is wrong.

 

[MovingAverage]

Three trading periods
I'm guessing the trade results below are from the same strategy. Looking at those distinct periods, I believe something changed & I'm not suggesting you fiddled with your strategy but rather it was that the "market that changed" over that short period of time.

View attachment 134289








Skate.

Nope--I have made two very significant changes to my system that are responsible for this change in performance. The first is the universe of stocks from which buy set-up are looked for (this drove the improvement in the second block you identified) and the second is a profit exit (the drove the improvement in the third block you identified). Yes and even on non-recent data these changes drive a significant change so it is good to assume that any change in market dynamics has had only marginal impact on the system's performance

 

[Skate]

Please don't confuse my comments on you backtest results as not agreeing market conditions have changed. I'm simply saying that your original post asked people to pick 1 of your 3 strategies. And I'm suggesting I wouldn't pick any based on your sim results of a few hundred trades--not that using recent data is wrong.

I'll take that as a comment about not selecting any of the strategies on a few hundred trades.

The original Backtest period was selected because it was the date I elected to start trading (July 2015)

What have those prior posts of mine got to do with the comment I made in relation to backtest period and number of trades taken?

The previous posts confirmed that you had not followed your trading strategy but over-ridden your strategy with more information. It was a way to explain that nothing is set in stone. When we are talking about "strategy improvements" that's a different kettle of fish & you shouldn't confuse the two.

Nope--I have made two very significant changes to my system that are responsible for this change in performance. The first is the universe of stocks from which buy set-up are looked for and the second is a profit exit. Yes an even on non-recent data these changes drive a significant change.

Bingo, that's my point
Strategy improvements never cease, why? because market conditions change & so should your strategy. I made this remark in my previous posts.

Also, "Kudos to you" for finding improvements on non-recent data. By the way, that's harder said than done & highly unusual.

Skate.