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Trade another day through Systematic Trading

  • #141
  • May 15, 2019 2:35pm May 15, 2019 2:35pm
Quoting alphadude
{quote} post the equity curve
Stupid Sierra has no equity curve to generate lol
Staying in my lane...
  • #142
  • May 15, 2019 2:41pm May 15, 2019 2:41pm
Quoting VEEFX
{quote} Stupid Sierra has no equity curve to generate lol
use excel
  • #143
  • May 15, 2019 2:42pm May 15, 2019 2:42pm
Quoting Weyk
https://oxfordstrat.com/trading-stra...hannel-filter/ https://oxfordstrat.com/trading-strategies/orbp-trend/
thats where i originally got it from. i also read his book; Toby Crablel

the book teaches you a good methodology on how to study and research the raw edge before designing the strategy.
  • #144
  • May 15, 2019 2:59pm May 15, 2019 2:59pm
Quoting alphadude
{quote} use excel
Got a sample for me to cut/paste trade data?
Staying in my lane...
  • #145
  • May 15, 2019 3:59pm May 15, 2019 3:59pm
Quoting VEEFX
{quote} Can't do bro. Celebrating our daughter's graduation this weekend (double major in business and computer science with honors!). She won $10K from me to travel throughout Asia in June because of her immense accomplishments. I am now flat broke so bring it on bro. I will try any shit to make a few bucks or ticks lol It takes less than 30 mins to develop a quick algo in Siera for this setup. Already tried it on NQ during first two hours of range breakout. Any such strategies can be quickly implemented and tested with my current design. plug...
Vee, congratulations for your daughter. It must be a GREAT pride, so hats off to her (and for you as a successful father).
  • #146
  • May 15, 2019 4:58pm May 15, 2019 4:58pm
Quoting Viktory
{quote} Vee, congratulations for your daughter. It must be a GREAT pride, so hats off to her (and for you as a successful father).
Thanks man. It is indeed a great feeling to raise kids well. Every bit of all the sacrifices we made is worth it.... but kudos goes solely to my wife. I am just there for them (and to hear my wife talk some senses in them :-)
Staying in my lane...
  • #147
  • May 15, 2019 9:43pm May 15, 2019 9:43pm
Quoting VEEFX
{quote} Got a sample for me to cut/paste trade data?
Vee, common man; if you can't plot an equity curve; you better seek another hobby
  • #148
  • May 15, 2019 9:52pm May 15, 2019 9:52pm
Quoting VEEFX
{quote} Stupid Sierra has no equity curve to generate lol
Check in studies, you can use some studies to see account balance... vs as a graph
  • #149
  • May 15, 2019 11:24pm May 15, 2019 11:24pm
Quoting crazyfizikci
{quote} Check in studies, you can use some studies to see account balance... vs as a graph
These two only work on live accounts and not for SIM account with backtesting results. My SIM balance always has stayed a constant $5000 for all backtests. Are you referring to these two or something else?
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Staying in my lane...
  • #150
  • May 15, 2019 11:30pm May 15, 2019 11:30pm
Quoting VEEFX
{quote} These two only work on live accounts and not for SIM account with backtesting results. My SIM balance always has stayed a constant $5000 for all backtests. Are you referring to these two or something else? {image}
you can try the following studies
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  • #151
  • May 15, 2019 11:51pm May 15, 2019 11:51pm
Quoting alphadude
{quote} Vee, common man; if you can't plot an equity curve; you better seek another hobby
I will let you have this second strike on me bro but choose your 3rd strike wisely as it would be the last one towards our continued interaction for sure.

Let me bring some clarity:

  1. I am not here to try this or that! Those days are far gone for me. I don't need to stare at good looking equity curve will convince me to go live if it decays in 3months. There is a LOT of thought that has gone into coming up with my success criteria. Finding ideas from forums is just that.... they all fail in 3 months and you probably know this already. I am looking for 3+ yrs of proven performance. Hobby it is until I find one that suits my long term needs. With that said, I deal with data analytics EVERYDAY with data sets that don't even fit in excel lol
  2. If I gave the impression of desperately seeking a so-called raw edge from this thread, I am NOT because I know what happens to raw edges on all such publicly available strategies with no SL. They are suitable only for penny and microdollar accounts. Whatever filters you or others come up with, I am pretty certain I have already applied it to all such session open breakout strategies. If they would work, common sense tells me that no idiot will openly share or write a book about it (in reference to whoever this Toby dude is).
  3. I have tested over a thousand so-called candleshit ohlc strategies. They all fail or slowly drain your account.

Staying in my lane...
  • #152
  • May 15, 2019 11:53pm May 15, 2019 11:53pm
Quoting crazyfizikci
{quote} you can try the following studies {image} {image} {image}
Yep. Have all these on my chart but none of them represent true "Equity Curve"
Staying in my lane...
  • #153
  • May 16, 2019 12:12am May 16, 2019 12:12am
Quoting VEEFX
{quote} Yep. Have all these on my chart but none of them represent true "Equity Curve"
I use google sheets. Extract Flat to flat p/l or closed p/l from Trades Row ,use explore AI option from google sheet will allow you to create all type of charts.
on a postive roll...
  • #154
  • May 16, 2019 7:01am May 16, 2019 7:01am
Quoting VEEFX
{quote} I will let you have this second strike on me bro but choose your 3rd strike wisely as it would be the last one towards our continued interaction for sure. Let me bring some clarity: I am not here to try this or that! Those days are far gone for me. I don't need to stare at good looking equity curve will convince me to go live if it decays in 3months. There is a LOT of thought that has gone into coming up with my success criteria. Finding ideas from forums is just that.... they all fail in 3 months and you probably know this already. I am...

ok boss, no more strikes
  • #155
  • May 16, 2019 7:56am May 16, 2019 7:56am
Raw edge in play on USDJPY today; +43 pips and still going
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  • #156
  • May 16, 2019 8:05am May 16, 2019 8:05am
Quoting alphadude
Raw edge in play on USDJPY today; +43 pips and still going {image}
have you tried this across all 28 pairs as a basket? There is definitely edge on good trending days but decays on rangy days as expected with any breakout/trend following styles. Also, profits are left on the table with end of session exits. TP of 1 or 2 multiple of range size or tight SL of 10 ticks and stop trading after one winner per session gives better results as well.

For some reason my historical chart does not go beyond 4/1/2018. looks like there is a limitation in Sierra ??
Staying in my lane...
  • #157
  • May 16, 2019 8:31am May 16, 2019 8:31am
Quoting VEEFX
{quote} have you tried this across all 28 pairs as a basket? There is definitely edge on good trending days but decays on rangy days as expected with any breakout/trend following styles. Also, profits are left on the table with end of session exits. TP of 1 or 2 multiple of range size or tight SL of 10 ticks and stop trading after one winner per session gives better results as well. For some reason my historical chart does not go beyond 4/1/2018. looks like there is a limitation in Sierra ??
Indeed I tried it on many pairs; but found USDJPY and DAX to be the best.

you can improve this strat with filters and exit logic to improve the performance. also diversify the parameters.

sky's the limit
  • #158
  • Edited 9:35am May 16, 2019 9:05am | Edited 9:35am
Quoting alphadude
{quote} Indeed I tried it on many pairs; but found USDJPY and DAX to be the best. you can improve this strat with filters and exit logic to improve the performance. also diversify the parameters. sky's the limit
Indeed possibilities of applying filters are endless in any strategy. I have tried most of such filters on called raw edges and you know where I stand. I have also time sliced every 15/30/60 mins of NYSE session breakout and run over 100+ iterations on each of such setups to no success (towards my pre-defined success criteria)
I have, by design, invested incredible amount of time in Sierra to build a strategy development framework which allows me to rapidly test any and many such combinations across any potential strategy. That is all I have been doing since January. 3 consecutive week losses - next, initial capital depletion - next, 3 months of consecutive losses - next.... rinse and repeat. I have over 100+studies collection built in Sierra just to try and rule out shit but please... don't let me discourage anyone here. I will play along as long as it takes to prove my point which I think applies universally to ALL strategies..... "Raw Edge will always decay over time once you apply filters or device a strategy around it". Maybe you already know this and decided a workaround to be intervention or recycle strategies every 3 months or so which is fine if net outcome is positive expectancy across multiple strategies. Recycling one strategy every 3 months on one pair is not something that excites me personally :-)

Please clarify what you mean by "diversify the parameters"?

EDIT: I should have said... "Raw Edge will always decay over time once you apply price-based filters on a price indicator-based strategy".
Staying in my lane...
  • #159
  • May 16, 2019 9:25am May 16, 2019 9:25am
Quoting VEEFX
{quote} Indeed possibilities of applying filters are endless in any strategy. I have tried most of such filters on called raw edges and you know where I stand. I have also time sliced every 15/30/60 mins of NYSE session breakout and run over 100+ iterations on each of such setups to no success (towards my pre-defined success criteria) I have, by design, invested incredible amount of time in Sierra to build a strategy development framework which allows me to rapidly test any and many such combinations across any potential strategy. That is all I...
Here... one more time. 15 Min ORB with SL @ 0.5xRange and TP @ 2xRange with time stop and/or stop after 1 winning trade. This equates Reward to be 4 times the Risk and it is still a loser! Anyone who trades NQ would learn how easy it is for a Trend Following strategy to decay during ranging period. Just run any algo in Jan to feel good, then comes feb/mar for slow decay to appear and come april, losses accumulate into a new losing strategy.

Better if you list all the filters. I am sure I have not tried every possible permutation and combination :-)
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Staying in my lane...
  • #160
  • May 16, 2019 9:29am May 16, 2019 9:29am
Quoting VEEFX
{quote} Indeed possibilities of applying filters are endless in any strategy. I have tried most of such filters on called raw edges and you know where I stand. I have also time sliced every 15/30/60 mins of NYSE session breakout and run over 100+ iterations on each of such setups to no success (towards my pre-defined success criteria) I have, by design, invested incredible amount of time in Sierra to build a strategy development framework which allows me to rapidly test any and many such combinations across any potential strategy. That is all I...
parameter diversification; using different values for the filters, exit, sl, tp etc.
Even the open range time; instead of 2 hours, try 90 minutes, 60 minutes, etc.

same strategy can be diversified using various parameter sets. This will smooth the curve a bit.
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