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  • #115383 |
    Customer
    46 Posts

    I want to share a strategy with you, which passed walk forward optimization. Please tell me, what do you think about it. i am still learning and very unsure.

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    #138454
    Customer
    435 Posts

    i dont know what is UJ. but does it makes sense to use SL based on ATR and TP not? Is it not better when use SL based on fixed pips use also TP on fixed pip and same with ATR?

    #138456
    Customer
    97 Posts

    I think UJ = USDJPY
    I ran a real tick test but got a negative result instead. Perhaps due to difference in tick data source.

    #138460
    Customer
    435 Posts

    i retested the strategy on Ducascopy Tick Data  GMT+2/3 (use those, we use it for a long time without problems, no need to pay or search for different data) Just use Ducascopy.

     

    result was RDD 6 for 12 years, which is much less than it should be.. RDD per 1 year of backtest should be >1. The stategy is weak.

     

    Also, use only adaptible SL/PT based on ATR to have a better results and bigger chance the strategy will work when volatility will change in future.

    #138462
    Customer
    97 Posts

    I am also using Dukascopy tick data but i am using the default timezone setting which is UTC+0.
    I am looking to redownload my tick data to change to UTC+2/3 to align to most brokers.

    #138463
    Customer
    46 Posts

    i retested the strategy on Ducascopy Tick Data  GMT+2/3 (use those, we use it for a long time without problems, no need to pay or search for different data) Just use Ducascopy.

     

    result was RDD 6 for 12 years, which is much less than it should be.. RDD per 1 year of backtest should be >1. The stategy is weak.

     

    Also, use only adaptible SL/PT based on ATR to have a better results and bigger chance the strategy will work when volatility will change in future.

    Thank you für your fast answers! I used the complete asirikuy data for optimizing and WFM/WFO. Why should RDD per year backtest >1? There is another strategy…

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    Stability 97%

    MaxDD 1.23%

    Stagnation 246 days in 20 years

    RetDD 40.21

    #138650
    Customer
    7 Posts

    Hello Heilpraktiker,

    Thanks for sharing your strategy.

    I found it a good strategy and only alittle sensitive to spread and commission.

    Did you build in any trading costs such as commission? It would be very improbable to get sub 1 pip spread without a commission charge

    using 2171 trades times 0.06 commission per 0.01 lot that only means $130.26 in and $130.26 in commission closing the trade. So possibly subtract 10% from the $2572 net profit

    #138652
    Customer
    46 Posts

    Hello Heilpraktiker,

    Thanks for sharing your strategy.

    I found it a good strategy and only alittle sensitive to spread and commission.

    Did you build in any trading costs such as commission? It would be very improbable to get sub 1 pip spread without a commission charge

    using 2171 trades times 0.06 commission per 0.01 lot that only means $130.26 in and $130.26 in commission closing the trade. So possibly subtract 10% from the $2572 net profit

    Thank you for your answer. I dont pay commissions and the spread for EURUSD is 0.7-0.9 pips at ActiveTrades. But maybe we should subtract a little bit.

    I am still learning and i think there is a lot to learn… 🙂

    #138654
    Customer
    7 Posts

    Wow, I stand corrected!

    i went to the ActiveTrades website and it is indeed commission free trading with low spreads for all account types.

    I  live in the US and I think the best spreads come from FXCM which has a commission charge to get those spreads or large account balances, otherwise its  a EURUSD spread above 2 pips commission free and we have Oanda with a EURUSD spread of around 1 but the spreads widen a lot around rollover times and “illiquid” times. The regulatory climate here severely reduces competition and choice. Good trading to you!

    #138772
    Customer
    46 Posts

    I am a little bit disappointed: 10 downloads of my shared strategy and no feedback 🙁

    #138801
    Customer
    16 Posts

    Thank you für your fast answers! I used the complete asirikuy data for optimizing and WFM/WFO. Why should RDD per year backtest >1? There is another strategy…

    attachicon.gif10.21 EU H1 15.7.zip     attachicon.gif10.21Walk Forward Optimization results.zip

    Stability 97%

    MaxDD 1.23%

    Stagnation 246 days in 20 years

    RetDD 40.21

    Hi!

     

    The strategy is profitable in my tests for different brokers and with a spread of 2.5. But: It is not profitable for timeframe H4 in the last 5 years. My stategies always need to be profitable in the next higher timeframe as well.

     

    Regards,  PK

    #138817
    Customer
    46 Posts

    Hi!

     

    The strategy is profitable in my tests for different brokers and with a spread of 2.5. But: It is not profitable for timeframe H4 in the last 5 years. My stategies always need to be profitable in the next higher timeframe as well.

     

    Regards,  PK

     

    Thank you for testing! Do you backtest all over 5 years or only H4?

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