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Futures blog, GB

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Roller_1 said:
Have you got there GB
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Pretty happy with the edge. It's probably the first 'organic' edge I've used in that it depends upon how the price behaves around the first HL or LH after a trend, and it's very minimally optimized. It's quite a 'bare bones' approach. I'm waiting on some minor programming tweaks/

The correct mindset is something I haven't stabilized yet. Doing more work on that than the system.
 
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Backtest is good, walk-forwards are ok. Very hard to get a smooth set of walk-forwards, but they're good enough. Backtest has 70% WR, but WR for the WF are in the 50-55% range, and that needs to come up with the addition of discretion.

Emotional intensity is whatever it is, and can't be trained. That leaves emotional regulation, which can only be estimated by paper trading it alone, without using any technical system. So as to not spend forever on this last aspect, better to guess at very short term movements. The research says if you do it right, there's an edge in it. Let's see using R:R of 1:1.
 
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In order to see the market clearly, one needs to be capable of registering negative signals in the chart, feeling them fully (recognizing the embodied sensation of danger) and acting accordingly.

To be able to do this requires that the mind allow any/all inputs and related thoughts, regardless of polarity (negative or positive). The usual state of affairs is to prefer positive thoughts & feelings, which creates perceptual bias.

An inability to percieve danger signals will be in proprtion to the degree of pain a losing trade would create. And it's no good saying "it didn't hurt" if you blocked the pain, because that's self-deception. The degree of pain will be inversely proprtional to the amount of 'buffer'. 'Buffer' is most easily created by paying attention to what you already have.
 
Wysiwyg said:
Especially this ...

Above all else, what you should consider first and foremost is that this backtest means very, very little, on its own.
I can't possibly overemphasize the importance of this.
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One important exception though. If the backtested equity curve is smooth++, and this smoothness persists through different market conditions. Such backtests will usually survive walkforward testing.
 
Gringotts Bank said:
One important exception though. If the backtested equity curve is smooth++, and this smoothness persists through different market conditions. Such backtests will usually survive walkforward testing.
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This was posted as though a fact and if it were then show me the money. All good GB, your thread buddy.
 
Wysiwyg said:
Been there, done that. You keep them safe from the worlds prying eyes GB.
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It's not about prying eyes. It's about guarding against people trying to bring you down. Post #86!

When you put someone's name at the end of the sentence rather than at the start, it changes the tone significanty.
 
US markets.

15 min is doing a mini version of the 4 hour. I think this happens to test what will ensue on the larger time frame.
 
"The chief cause of fear is overtrading". Wyckoff.

I think that depends on the reason for trade frequency. If the higher frequency is in desperation, then you're giving in to fear. Fear can make you grab and grasp. Grabbing and grasping makes you more fearful. Circular.
 
Wondering whether the US has more upside. I think it will revisit the high - at the least - and perhaps add another leg up.

Testing support right now.
 
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Gringotts Bank said:
One important exception though. If the backtested equity curve is smooth++, and this smoothness persists through different market conditions. Such backtests will usually survive walkforward testing.
Click to expand...

I might have to retract this.

This is the FDAX backtest. MDD is 14% (highlighted in yellow), othwerwise very low DD over the 4 year period of 10 min bars, and a strong recovery factor. WR is 71%. Slippage and comms accounted for.



Walk forward tests were also very good, no matter which way I chopped up the data. On average, WF WRs dropped into the 50's, and MDD increased to about 30%, but still highly profitable.

The data I used stopped at the end of 2017. As you know, market volatility changed substantially in February and still hasn't settled. I bought new data to get up to date, and whilst the metrics remain ok, if I'd been trading this I would have reached the MDD of the WF tests already (30%). So it's not something I'm willing to trade. I wouldn't handle it. The only way I might consider trading it is as an automated strategy which I can't be bothered doing now. I don't have the programming expertise or patience.

Meanwhile, my real money discretionary account is up 18% in its first 2 weeks, 90% WR. Based roughly on the same theme. So I'll just see what happens with that as to whether it's a good long term propspect.
 
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