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Hi all,Thanks everyone for your contributions to this thread, so much interesting information and discussion![USER=57364]@Skate[/USER], I hope this post fits within the dump it here ethos.I've been back testing a version of a BBO from unholy grails (nothing new here haha) and have made some modifications to it to lower the draw downs I feel quite significantly. I was hoping to get some pointers and/or constructive criticism of the backrest report or things I should consider to determine if this strategy is robust? I appreciate there is a limit to information in the backrest report.At a high level the system:- buys a Bollinger bands break out- exits when the lower band is broken or exits with a market filter- uses a trailing stop that also changes tightens with a market filterBack test details:Start: 100kPositions: 2% of equity, haven't limited max open positionsCommissions: 0.25% to allow for some slippageUniverse: norgate platinum ~1992 to present all ords including delistedCurrent thoughts:1. Trade volume is high, ~1 per day2. Winners don't run, I think this is linked to the low DD characteristics but investigating it3. It didn't open new trades Feb-Jul 2020 which I'll like to try improve.I've gained so much from this forum over the years of lurking, hopefully this can be useful to others as well.
Hi all,
Thanks everyone for your contributions to this thread, so much interesting information and discussion!
[USER=57364]@Skate[/USER], I hope this post fits within the dump it here ethos.
I've been back testing a version of a BBO from unholy grails (nothing new here haha) and have made some modifications to it to lower the draw downs I feel quite significantly. I was hoping to get some pointers and/or constructive criticism of the backrest report or things I should consider to determine if this strategy is robust? I appreciate there is a limit to information in the backrest report.
At a high level the system:
- buys a Bollinger bands break out
- exits when the lower band is broken or exits with a market filter
- uses a trailing stop that also changes tightens with a market filter
Back test details:
Start: 100k
Positions: 2% of equity, haven't limited max open positions
Commissions: 0.25% to allow for some slippage
Universe: norgate platinum ~1992 to present all ords including delisted
Current thoughts:
1. Trade volume is high, ~1 per day
2. Winners don't run, I think this is linked to the low DD characteristics but investigating it
3. It didn't open new trades Feb-Jul 2020 which I'll like to try improve.
I've gained so much from this forum over the years of lurking, hopefully this can be useful to others as well.
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