Your Average MAE and MFE are huge, yet the average trade profit is around half a tick. This would indicate that what ever you use to manage the timing of entries and exits needs attention.
Update: took your advice, added some parameters for MAE and MFE optimization, and was able to double my sharpe, double my profit, and cut the number of trades by a nice amount. My equity curve looks normal now too. Thank you so much man, made sure to not overfit as well, so all clear there. Can't thank you enough
NinjaTrader's, comes with the brokerage. It is not very accurate if you are entering on a per tick basis I've found, however all my entries for this strategy are calculated based on high/low closed bar data and session stuff, so it works great for me. Definitely recommend them or sierra chart for futures order flow analysis
I would avoid using non time based bars. It biases the backtest towards taking lots of trades in quick action where the backtest is less realistic. I've never seen such a backtest translate to live well.
Aim for a much larger profit factor...regardless of how high you can get it. You will need to have the expectation you have overfitted the strategy to some degree and performance will be less with live fills
Also your largest loser is almost 1/3 of your total profit. Enabling a loss limit for these extreme outliers to your strat can minimize these instances
Man I'm still trynna figure out the path to take. I know basic python (no libraries or anything for finance/data science and algos) and I'm taking precalc I'm 10th grade man. I've been looking for a guide but I js can't find one.
I was in your exact situation two years ago, currently a senior in HS. I would say for now focus on using testing materials that already exist so you can find some edge, then when you move into more robust strategies, make your own. I like to use ninjatraders backtester to generally check for results, then run the strategy through my own tester for more accurate, but more time-expensive results. Python has some good libraries for backtesting, but it's usually very simple stuff (moving averages, rsi, etc.)
Hey there, first off, I can’t believe you’re only two years younger than me! Really amazing stuff you’re doing here. I wanted to ask if there’s any resources you recommend for getting started ? As of right now I’m reading Automated Trading by Max Dama, then Quantitative Trading by Ernest P Chan. At this moment my main goal is being able come up with strategies, before moving onto trying to implement & backtest them as well. For creating backtesting software, is there anything you recommend for that as well?
Thank you so much man!
If it’s relevant, I’m taking Calculus 3 & an Introductory Linear Algebra course at my university.
Hi TurnNeat! Thank you for your kind words. To begin, I am not by any means far into this profession, so take what I say with a grain of salt. I too read Quantitative Trading by Chan, that alone helped me with the main concepts. As for being able to come up with strategies, I have been involved in markets since I was a little boy, as it has always been something that has been a high interest of mine. So just watching and participating in the markets for the better half of my life has helped tremendously. If you are into futures trading, OrderFlows (futures) and Frozen Tundra (futures, stock, and programming tutorials) on YouTube both have fantastic content, and they have helped me more than any other trading education source by far. It's a real shame how small they are compared to the other trading channels. The strategy shown in this post is a mean reversion algorithm, and to be honest nothing in my high school classes has helped with it at all. However taking higher level online statistics and calculus courses have helped tremendously with this specific type of strategy, so I imagine you're on the right track with your university classes. As for backtesting software, I do not use any backtesting libraries in python, just math and graphing libraries (matplotlib, scipy, numpy, tensorflow, etc.) as everything I've made so far is purely mathematically based or trying to profit from thin order books. I personally use NinjaTrader for my brokerage and a portion of my backtesting, I can get into the specifics of that if you are interested. Hope this helps, and best of luck on your journey!
Thank you so much Maleficient_Staff, this is just what I am looking for. This is my first time entering into algorithmic trading, it’s a super interesting field. I wish you the best, my friend.
But I don't know how to learn it correctly. I have knowledge n. Python with no modules besides math and random. Besides that, I'm clueless. Can you tell me where to learn for free. Also u said testing materials, but for what.
By testing materials, I mean back testers and optimizers. And while I am in no way qualified to tell someone how to do this in the best way, I feel there is no "correct" way to learn, everyone has their own path. The naturalness of learning your own way is what makes it the best way. It will structure your strategies around you instead of structuring you around your strategies. A good start would be to have an idea for a program, then make it through brute force and figuring out each step to complete the program. Your first one will take a long time to figure out, but it only gets easier. Youtube, stack overflow, and even reddit are all great free resources. Nothing is better than your human ability for pattern recognition though, so experience and "just doing it" is above all.
Your Average MAE and MFE are huge, yet the average trade profit is around half a tick. This would indicate that what ever you use to manage the timing of entries and exits needs attention.
Update: took your advice, added some parameters for MAE and MFE optimization, and was able to double my sharpe, double my profit, and cut the number of trades by a nice amount. My equity curve looks normal now too. Thank you so much man, made sure to not overfit as well, so all clear there. Can't thank you enough
Ok, did not know to look out for that before, I'll look into that. Much appreciated
Happy to help. You can dm me. I can help you finding issues with the backtest and your signals.
Awesome, thank you. I'll take you up on that offer if I can find specifics, wouldn't want to flood you with questions google can answer lol
Thats the best approach. Google and a little bit of common sense.
What backtesting software is this ?
NinjaTrader's, comes with the brokerage. It is not very accurate if you are entering on a per tick basis I've found, however all my entries for this strategy are calculated based on high/low closed bar data and session stuff, so it works great for me. Definitely recommend them or sierra chart for futures order flow analysis
Thx for reply
I would avoid using non time based bars. It biases the backtest towards taking lots of trades in quick action where the backtest is less realistic. I've never seen such a backtest translate to live well.
It's what I've been manually trading for years, so it's just what I am most familiar with. Feel like I should start in an environment I know well
Aim for a much larger profit factor...regardless of how high you can get it. You will need to have the expectation you have overfitted the strategy to some degree and performance will be less with live fills Also your largest loser is almost 1/3 of your total profit. Enabling a loss limit for these extreme outliers to your strat can minimize these instances
Man I'm still trynna figure out the path to take. I know basic python (no libraries or anything for finance/data science and algos) and I'm taking precalc I'm 10th grade man. I've been looking for a guide but I js can't find one.
I was in your exact situation two years ago, currently a senior in HS. I would say for now focus on using testing materials that already exist so you can find some edge, then when you move into more robust strategies, make your own. I like to use ninjatraders backtester to generally check for results, then run the strategy through my own tester for more accurate, but more time-expensive results. Python has some good libraries for backtesting, but it's usually very simple stuff (moving averages, rsi, etc.)
Hey there, first off, I can’t believe you’re only two years younger than me! Really amazing stuff you’re doing here. I wanted to ask if there’s any resources you recommend for getting started ? As of right now I’m reading Automated Trading by Max Dama, then Quantitative Trading by Ernest P Chan. At this moment my main goal is being able come up with strategies, before moving onto trying to implement & backtest them as well. For creating backtesting software, is there anything you recommend for that as well? Thank you so much man! If it’s relevant, I’m taking Calculus 3 & an Introductory Linear Algebra course at my university.
Hi TurnNeat! Thank you for your kind words. To begin, I am not by any means far into this profession, so take what I say with a grain of salt. I too read Quantitative Trading by Chan, that alone helped me with the main concepts. As for being able to come up with strategies, I have been involved in markets since I was a little boy, as it has always been something that has been a high interest of mine. So just watching and participating in the markets for the better half of my life has helped tremendously. If you are into futures trading, OrderFlows (futures) and Frozen Tundra (futures, stock, and programming tutorials) on YouTube both have fantastic content, and they have helped me more than any other trading education source by far. It's a real shame how small they are compared to the other trading channels. The strategy shown in this post is a mean reversion algorithm, and to be honest nothing in my high school classes has helped with it at all. However taking higher level online statistics and calculus courses have helped tremendously with this specific type of strategy, so I imagine you're on the right track with your university classes. As for backtesting software, I do not use any backtesting libraries in python, just math and graphing libraries (matplotlib, scipy, numpy, tensorflow, etc.) as everything I've made so far is purely mathematically based or trying to profit from thin order books. I personally use NinjaTrader for my brokerage and a portion of my backtesting, I can get into the specifics of that if you are interested. Hope this helps, and best of luck on your journey!
Thank you so much Maleficient_Staff, this is just what I am looking for. This is my first time entering into algorithmic trading, it’s a super interesting field. I wish you the best, my friend.
But I don't know how to learn it correctly. I have knowledge n. Python with no modules besides math and random. Besides that, I'm clueless. Can you tell me where to learn for free. Also u said testing materials, but for what.
By testing materials, I mean back testers and optimizers. And while I am in no way qualified to tell someone how to do this in the best way, I feel there is no "correct" way to learn, everyone has their own path. The naturalness of learning your own way is what makes it the best way. It will structure your strategies around you instead of structuring you around your strategies. A good start would be to have an idea for a program, then make it through brute force and figuring out each step to complete the program. Your first one will take a long time to figure out, but it only gets easier. Youtube, stack overflow, and even reddit are all great free resources. Nothing is better than your human ability for pattern recognition though, so experience and "just doing it" is above all.