Trading What I see !?

[goat68]

I'd mistakenly believed that GOAT was a premature claim to Greatest Of All Time

Maybe it's a sign of my destiny

[goat68]

So this is the backtest for my current strategy which started on 1st April, "live" results fairly closely match this from the 1st, including today being the worst day!
2021/03/06 : Sat : 2.50
2021/03/07 : Sun : -0.92
2021/03/08 : Mon : 1.46
2021/03/09 : Tue : -0.91
2021/03/10 : Wed : 5.23
2021/03/11 : Thr : 5.24
2021/03/12 : Fri : -0.34
2021/03/13 : Sat : 6.97
2021/03/14 : Sun : -1.28
2021/03/17 : Wed : 1.05
2021/03/18 : Thr : 5.97
2021/03/19 : Fri : 4.97
2021/03/20 : Sat : 0.46
2021/03/21 : Sun : 0.19
2021/03/22 : Mon : -2.49
2021/03/23 : Tue : -0.20
2021/03/24 : Wed : 3.98
2021/03/25 : Thr : 0.56
2021/03/26 : Fri : -0.63
2021/03/27 : Sat : -1.75
2021/03/28 : Sun : -0.81
2021/03/29 : Mon : 6.41
2021/03/30 : Tue : 1.75
2021/03/31 : Wed : -0.21
2021/04/01 : Thr : 0.12
2021/04/02 : Fri : 0.02
2021/04/03 : Sat : 1.26
2021/04/04 : Sun : -0.50
2021/04/05 : Mon : -0.37
2021/04/06 : Tue : -2.53

==> Worst day = -2.53
==> Best day = 6.97
==> Winning days = 17
==> Losing days = 13
Sun : -3.32
Mon : 5.01
Tue : -1.89
Wed : 10.06
Thr : 11.89
Fri : 4.02
Sat : 9.44

Profit = 35.23
Wins = 157
Avg Win = 0.50
Losses = 104
Avg Loss = -0.41
S/Rate = 60%
Total trades = 261 from 1064 analysed markets
% turnOv = 0.61%

[Trader724]

It looks pretty decent, keep it up.

[goat68]

It looks pretty decent, keep it up.

Overall looks good doesn't it.. however since actually running it live 1stApril, it's not doing well... This seems to be a consistent trend, in that you find an algo that seems to show promise over the last month or so, it then performs pants going forward.. It's as-if algo creation is efficient, in that 1000s of algo creators are doing the same thing based on the last month, which thus makes forward trading -ve... So what I need to come up with is a strategy that is "not in the last month" ..yeah?

[ShaunWhite]

So....

Don't quite see what you mean. Which are the backtest numbers and which are the live numbers? Rather than a big list of daily results a chart of some sort would be easier to see what's happened.

[Tetras]

What makes it function so incredibly well on some days and not on other days? The Saturdays are somewhat obvious, I guess, but what about the other ones?

[goat68]

So....

Don't quite see what you mean. Which are the backtest numbers and which are the live numbers? Rather than a big list of daily results a chart of some sort would be easier to see what's happened.

I'm just hypothesising... the above numbers are ALL backtest, but live is very close, as in live from 1stApril pretty much match above. What i'm saying is say there are 1000s of automated traders out there all trying to find profitable systems based on the last month or so of data, what impact does this have on them using them forwards...?

[goat68]

What makes it function so incredibly well on some days and not on other days? The Saturdays are somewhat obvious, I guess, but what about the other ones?

Yeah, not sure on that yet... but maybe related to volume&quality

[ShaunWhite]

You said it's all backtest, but you're only showing one set of results. Where's the multiple backtest results from random subsets of your data? At the risk of being repetitive finding an edge in one set of data is fairly easy but not many hold up to more rigorous analysis which you'll need to give you some assurance about what future data might show.

[goat68]

You said it's all backtest, but you're only showing one set of results. Where's the multiple backtest results from random subsets of your data? At the risk of being repetitive finding an edge in one set of data is fairly easy but not many hold up to more rigorous analysis which you'll need to give you some assurance about what future data might show.

I've still not got enough data to fully dice, but i'll do some basic ones on what i've got, thanks for the idea

[ShaunWhite]

You said it's all backtest, but you're only showing one set of results. Where's the multiple backtest results.

I've still not got enough data to fully dice, but i'll do some basic ones on what i've got, thanks for the idea

I did mention it quite a while ago but you're forgiven because a lot of info came in fast and you didn't know who to listen to. Gotta be honest here, without in and out of sample testing you're wasting your time. Using all your data and excluding the losers makes finding something a self fulfilling prophecy rather than proving anything. The future is unknown, so your test sample has to be unknown having done your analysis elsewhere.

[goat68]

You said it's all backtest, but you're only showing one set of results. Where's the multiple backtest results from random subsets of your data? At the risk of being repetitive finding an edge in one set of data is fairly easy but not many hold up to more rigorous analysis which you'll need to give you some assurance about what future data might show.

So that didn't take long! i've just updated my backtest program to produce a random backtest on 30% of the data taken at random, here are 10 random samples:
% turnOv = 0.34%
% turnOv = 0.72%
% turnOv = 0.75%
% turnOv = 0.63%
% turnOv = 0.65%
% turnOv = 0.88%
% turnOv = 0.40%
% turnOv = 0.38%
% turnOv = 0.74%
% turnOv = 0.20%

So roughly: average=0.57%, each random bucket=~75 trades
Quite happy with that result even if i've not really got enough data to truly rely on, but gives me more confidence there maybe something there and to ignore any current weakness...
Thanks Shaun, grand idea!

[goat68]

I do have doubts though mainly because most of the profits come from this string of 8 days
2021/03/10 : Wed : 5.23
2021/03/11 : Thr : 5.24
2021/03/12 : Fri : -0.34
2021/03/13 : Sat : 6.78
2021/03/14 : Sun : -1.28
2021/03/17 : Wed : 1.05
2021/03/18 : Thr : 5.97
2021/03/19 : Fri : 4.92

[ShaunWhite]

I do have doubts though mainly because most of the profits come from this string of 8 days
2021/03/10 : Wed : 5.23
2021/03/11 : Thr : 5.24
2021/03/12 : Fri : -0.34
2021/03/13 : Sat : 6.78
2021/03/14 : Sun : -1.28
2021/03/17 : Wed : 1.05
2021/03/18 : Thr : 5.97
2021/03/19 : Fri : 4.92

Great news on the out of sample testing.
I wouldn't worry about things like that group of good days. Humans are programmed to look for patterns, and patterns occur in random data*, so unless you can think of a good reason why those days were different then it's just what it is.

Besides when you've got a large enough set of results the days will start to blur and you'll see that drawing a line through your results when the sun rises and sets is fairly arbitrary unless time of day matters to you.

* YouTube and Spotify 'random' playlists aren't random. When they were people complained it did things like played 4 tracks by the same artist in a row so they had use a pseudo-random that doesn't produce the patterns normal random makes. I haven't read this but I think a few people enjoyed it-> https://www.amazon.co.uk/Fooled-Randomn ... 0141031484

[Trader724]

It looks pretty decent, keep it up.

Overall looks good doesn't it.. however since actually running it live 1stApril, it's not doing well... This seems to be a consistent trend, in that you find an algo that seems to show promise over the last month or so, it then performs pants going forward.. It's as-if algo creation is efficient, in that 1000s of algo creators are doing the same thing based on the last month, which thus makes forward trading -ve... So what I need to come up with is a strategy that is "not in the last month" ..yeah?

Don't worry about competition right now, try to solve one problem at a time and make sure you fit your model to market behavior, not to market data. When you go from backtesting to live, the psychological factor comes into play, you can start directly with a drawdown period. For us, only long-term results matter and we have to be patient.

If you think you've found an edge, try to explain why it
works, and if you can't find an explanation, you're trying to explain the inexplicable, which is lying to yourself.

You should not rule out that you have partially curve fitted your strategy (I did it when I started out) and consequently the real edge is much smaller, so be careful what stakes you use, you may suffer too much drawdown wich will make you believe it doesn't work at all.