Automation and backtesting - Page 4
Page 4 of 614 FirstFirst ... 234
Results 31 to 33 of 33

Thread: Automation and backtesting

  1. #31
    My comprehension is backtesting period means nothing! Since you are able to stretch or shorten the period and you get completely opposite results.


    Therefore the line chart above, the period could have from peak 125000 to 9000 which means you end up with 10% of your account.

    Having saying that if we prolong 15 years of backtest into 20 or even 30 years the upward move (positive expectancy) in 15 years might be a correction in a bigger down move (negative expectancy).


    Do you concur?

  2. #32

  3. #33
    Quote Originally Posted by ;
    quote So all backtestings are doomed to fail then?
    No, they are not. It demones your egy/method has some defects. Likely the defects are constructed.

    Example: when I started trading back in 2010, I had been crazy enough to use a pure Martingale system. At some stage I risked $10k in order to bring in anything between $5 and $500 in a trade. It worked for nearly one year. What happened? Huge volatility in August 2011 killed my account. Since nobody can forecast the market volatility, then you are likely to kill your account with Martingale. Would any variant of Martingale survive the SNB crash in Jan 2015 and continue to give a profit, for example?

    My advice: out of those backtests, take some of those unprofitable ones and analyze them, find the reason for the collapse. That will be the reason for the additional losses. Check if your rules could be fixed and/or accommodated.

    You have to prove to yourself, through the backtest, that you have an edge. With no edge can you truly feel plogically secure to enter a string of trades ?

    * string of trades: that's a terminology used by Mark Douglas, the author of Trading in the Zone. If you don't know him, take a look - you will find some of the seminars. By the way, he passed away...

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts
  •  
This website uses cookies
We use cookies to store session information to facilitate remembering your login information, to allow you to save website preferences, to personalise content and ads, to provide social media features and to analyse our traffic. We also share information about your use of our site with our social media, advertising and analytics partners.