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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 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.

<blockquote data-quote="Wilham" data-source="post: 1114630" data-attributes="member: 84784">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&#039;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&#039;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&#039;t run, I think this is linked to the low DD characteristics but investigating it3. It didn&#039;t open new trades Feb-Jul 2020 which I&#039;ll like to try improve.I&#039;ve gained so much from this forum over the years of lurking, hopefully this can be useful to others as well.</blockquote>

[QUOTE="Wilham, post: 1114630, member: 84784"] 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. [B]At a high level the system[/B]: - 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 [B]Back test details[/B]: 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 [B]Current thoughts:[/B] 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. [/QUOTE]

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