What happens if you think you have struck gold?

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Any advice - this robot has gone from £10 000 to over £2million in 13 months


Panthers Claw

 

Omitted the "good2be" from your username?


CB

 
cloudbreaker:

Omitted the "good2be" from your username?


CB

Nice and sharp CB

 

No worries, how many years have you backtested it over?

Any live trading results?

Can you post the stats?


CB

 
cloudbreaker:

No worries, how many years have you backtested it over?

Any live trading results?

Can you post the stats?


CB

Just running it on every tick for valid results: Run it from 1/April/2008 to current date No Live testing yet - I was about to give up as I start an MSc in September and then this result just popped up!

Pete

 
tootrue:

Just running it on every tick for valid results: Run it from 1/April/2008 to current date No Live testing yet - I was about to give up as I start an MSc in September and then this result just popped up!

Pete

I wouldn't get too carried away just yet.

Have a read about proper disciplined backtesting, inverse testing, forward walk analysis.

And get some more data, and more data sources.


CB

 
Bars in test 470391
Ticks modelled 10844536
Modelling quality 25.00%
Mismatched charts errors 0
Initial deposit 10000.00
Total net profit 1782227.01
Gross profit 1782227.01
Gross loss 0.00
Profit factor
Expected payoff 22002.80
Absolute drawdown 4795.78
Maximal drawdown 422965.83 (33.71%)
Relative drawdown 89.64% (45052.64)
Total trades 81
Short positions (won %) 40 (100.00%)
Long positions (won %) 41 (100.00%)
Profit trades (% of total) 81 (100.00%)
Loss trades (% of total) 0 (0.00%)
Largest
profit trade 155958.30
loss trade 0.00
Average
profit trade 22002.80
loss trade 0.00
Maximum
consecutive wins (profit in money) 81 (1782227.01)
consecutive losses (loss in money) 0 (0.00)
Maximal
consecutive profit (count of wins) 1782227.01 (81)
consecutive loss (count of losses) 0.00 (0)
Average
consecutive wins 81
consecutive losses 0
 
cloudbreaker wrote >>

I wouldn't get too carried away just yet.

Have a read about proper disciplined backtesting, inverse testing, forward walk analysis.

And get some more data, and more data sources.

CB

Hi Cloudbreaker

I am interested in your comment about disciplined backtesting, inverse testing, forward walk analysis. I'm highly suspicious of all my backtesting results, but you seem to know of more rigorous techniques for testing. Would you please give me some pointers on the inverse testing and forward walk analysis?

Cheers

Jellybean

 

I seem to strike gold quite alot only i think is fools gold


Bars in test 777742

Ticks modelled 1487219
Modelling quality n/a
Mismatched charts errors 0
Initial deposit 500.00
Total net profit 134.33
Gross profit 134.42
Gross loss -0.09
Profit factor 1493.51
Expected payoff 0.88
Absolute drawdown 119.09
Maximal drawdown 189.33 (33.20%)
Relative drawdown 33.20% (189.33)
Total trades 153
Short positions (won %) 30 (100.00%)
Long positions (won %) 123 (99.19%)
Profit trades (% of total) 152 (99.35%)
Loss trades (% of total) 1 (0.65%)
Largest
profit trade 1.64
loss trade -0.09
Average
profit trade 0.88
loss trade -0.09
Maximum
consecutive wins (profit in money) 152 (134.42)
consecutive losses (loss in money) 1 (-0.09)
Maximal
consecutive profit (count of wins) 134.42 (152)
consecutive loss (count of losses) -0.09 (1)
Average
consecutive wins 152
consecutive losses 1
 

FWIW, i have been running this on a demo account and here is some recent results

Closed Transactions:
TicketOpen TimeTypeSizeItem PriceS / LT / PClose Time PriceCommissionTaxesSwapProfit
578122682009.07.14 19:29sell1.00eurusd1.393261.392041.388022009.07.14 20:061.392040.000.000.00122.00
578113392009.07.14 19:25sell1.00eurusd1.393881.393441.388642009.07.14 19:291.393440.000.000.0044.00
577900122009.07.14 16:58sell1.00eurusd1.394861.394071.389622009.07.14 19:251.394070.000.000.0079.00
577881002009.07.14 16:50sell1.00eurusd1.395461.395021.390222009.07.14 16:581.395020.000.000.0044.00
577376652009.07.14 11:50buy1.00usdchf1.085801.086911.091042009.07.14 16:501.086910.000.000.00102.12
572671682009.07.09 18:23buy1.00audusd0.785640.786550.790882009.07.14 08:350.786550.000.0017.1091.00
572603762009.07.09 17:49buy1.00gbpusd1.631091.634961.636332009.07.09 18:221.634960.000.000.00387.00
572598512009.07.09 17:47buy1.00gbpusd1.630231.630791.635472009.07.09 17:491.630790.000.000.0056.00
572060462009.07.09 13:01buy1.00gbpusd1.627331.629971.632572009.07.09 17:471.629970.000.000.00264.00
572058512009.07.09 13:01buy1.00gbpusd1.624231.625061.629472009.07.09 13:011.625060.000.000.0083.00
572051992009.07.09 13:00buy1.00gbpusd1.622181.624121.627422009.07.09 13:011.624120.000.000.00194.00
571986032009.07.09 12:15buy1.00gbpusd1.621021.621901.626262009.07.09 13:001.621900.000.000.0088.00
571940222009.07.09 11:43buy1.00gbpusd1.620781.620791.626022009.07.09 12:151.620790.000.000.001.00
571909622009.07.09 11:28buy1.00gbpusd1.618681.620431.623922009.07.09 11:431.620430.000.000.00175.00
571903232009.07.09 11:24buy1.00gbpusd1.617781.618431.623022009.07.09 11:281.618430.000.000.0065.00
571832102009.07.09 10:29buy1.00gbpusd1.615981.617771.621222009.07.09 11:241.617770.000.000.00179.00
571782032009.07.09 10:02buy1.00gbpusd1.614921.615671.620162009.07.09 10:291.615670.000.000.0075.00
571747352009.07.09 09:51buy1.00eurusd1.394181.395381.399422009.07.09 10:021.395380.000.000.00120.00
571631932009.07.09 08:50buy1.00eurusd1.393541.393981.398782009.07.09 09:501.393980.000.000.0044.00
571603072009.07.09 08:27buy1.00eurusd1.392861.393361.398102009.07.09 08:501.393360.000.000.0050.00
 

> running this on a demo account

Well... maybe run this carefully on a micro or nano account - I cant see all these moves on a typical live data feed...

-BB-

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