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How to optimize a Trading system So That win % or RR increase

  • #121
  • Oct 19, 2020 5:02am Oct 19, 2020 5:02am
In the Trading view, I found this strategy, I don't know how this strategy work
It is HA-based strategy, It is profitable with a Little big DD.
Here is the code-


//@version=2
strategy("Heikin-Ashi Strategy", overlay=true)
// Plots Color Of Heikin-Ashi Bars while Viewing Candlestics or Bars
//Works on Candlesticks and OHLC Bars - Does now work on Heikin-Ashi bars - But I have verified its accuracy
// Created By User ChrisMoody 1-30-2014 with help from Alex in Tech Support
// === BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1)
FromDay = input(defval = 1, title = "From Day", minval = 1)
FromYear = input(defval = 2017, title = "From Year", minval = 1998)
ToMonth = input(defval = 1, title = "To Month", minval = 1)
ToDay = input(defval = 1, title = "To Day", minval = 1)
ToYear = input(defval = 9999, title = "To Year", minval = 1998)

haclose = ((open + high + low + close)/4)//[smoothing]
haopen = na(haopen[1]) ? (open + close)/2 : (haopen[1] + haclose[1]) / 2
heikUpColor() => haclose > haopen
heikDownColor() => haclose <= haopen
barcolor(heikUpColor() ? aqua: heikDownColor() ? red : na)

if (heikUpColor() and (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59)))
strategy.entry("LONG", strategy.long, comment="LONG")

if (heikDownColor() and (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59)))
strategy.entry("SHORT", strategy.short, comment="SHORT")

//plot(pos, title="pos", style=line, linewidth=1, color=red )
MA provides the market's current direction and strength.
  • #122
  • Oct 19, 2020 10:25am Oct 19, 2020 10:25am
Don't overcomplicate your path in learning and developing strategies. Keep it simple.

I was shocked today about how "applying filters to boost win rate / RR" can actually point you to a path further away from your profitable strategy. A profitable method may be simpler than you think and lays in your existing strategies.

Today I was testing out my EAs and had a wild thought of reducing rules instead of adding. I was thinking that may lower my win rate, as the RR did not change at all and with less "filters"...
But it became a much higher frequency trading strategy with INCREASED win rate! And the profit from backtest was...... Anyway it made me think of the meaning of "finding the holy grail"...

Here are the backtest result.....
GBPUSD H4, RR ~1:3.2, Starting with $10000 and risk 0.7%/trade
1/1 to 10/7

Normal rule, looked pretty neat.
Attached Image (click to enlarge)
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Less rule.... More profit... More Accurate... Less DD (~5% only)... Profit factor WENT UP!
Attached Image (click to enlarge)
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I felt like wasted the time spent on "optimizing" this strategy previously...
  • #123
  • Oct 19, 2020 10:27am Oct 19, 2020 10:27am
Quoting tommydoginti
Don't overcomplicate your path in learning and developing strategies. Keep it simple. I was shocked today about how "applying filters to boost win rate / RR" can actually point you to a path further away from your profitable strategy. A profitable method may be simpler than you think and lays in your existing strategies. Today I was testing out my EAs and had a wild thought of reducing rules instead of adding. I was thinking that may lower my win rate, as the RR did not change at all and with less "filters"... But it became a much higher frequency...
Modelling quality is trash
  • #124
  • Oct 19, 2020 10:39am Oct 19, 2020 10:39am
Quoting Trader4818
{quote} Modelling quality is trash
Thanks for your comment and Yea I know. But it doesn't really matter, as this is just illustrating how strategies play out

1) I manually put in the daytime max spread for backtesting. and 2) I add spread threshold as criteria to avoid trade near market close/news, 3) Trading decision is made at instant candle stick close/open and only one trade / candle, no lot size adjustment no hedge, 4) SL/TP are wide enough to be either guess correctly or entirely wrong, so the ticks in the candle do not affect much I guess..

I don't put high hope on EAs TBH, if one can give me ~2-5%/mth I would be fine as I am setting up 4~5 at a time + manual trade and <1%/ trade/strategy, wanna play safe and steady!
  • #125
  • Oct 20, 2020 12:59am Oct 20, 2020 12:59am
Quoting tommydoginti
{quote} Thanks for your comment and Yea I know. But it doesn't really matter, as this is just illustrating how strategies play out 1) I manually put in the daytime max spread for backtesting. and 2) I add spread threshold as criteria to avoid trade near market close/news, 3) Trading decision is made at instant candle stick close/open and only one trade / candle, no lot size adjustment no hedge, 4) SL/TP are wide enough to be either guess correctly or entirely wrong, so the ticks in the candle do not affect much I guess.. I don't put high hope on...
nice Equity growth, Nice DD how many years you tested and which pair you tested.
nice Equity growth, Nice DD how many years you tested and which pair you tested.
MA provides the market's current direction and strength.
  • #126
  • Oct 20, 2020 5:34pm Oct 20, 2020 5:34pm
Quoting hasib
{quote} nice Equity growth, Nice DD how many years you tested and which pair you tested. nice Equity growth, Nice DD how many years you tested and which pair you tested.
I tested all the pairs I trade: EURUSD, GBPUSD, AUDUSD, CADUSD, USJPY, EURJPY, GBPJPY, GBPEUR, Gold, SPX (yes index too)

All showed different but uptrend curves. DD was 3.6-10.8% among all pairs. I only have 1.5 years of data to test (Jul 19 - now). Unlikely curve fit because I didnt even change the SL/TP pips (adjust digits only). Drawdown period was different for the pairs so unlikely a coincidence and meaning in reality trading multiple pairs may reduce overall Drawdown (diversification)

but i am putting them on Demo to test, so I will know if it is working or not.
  • #127
  • Oct 22, 2020 9:41am Oct 22, 2020 9:41am
hasib, I have few suggestions how to exit the trade. As I mentioned before it can be RSI or Stoch as a signal, and also reverse candle.
Reverse candle is very powerfull approach. It is when high of bear candle it highest on current day and low of bull candle is lowest.
So imagine we have nice bull run, but then big red candle and it shadow is highest high on current day. There can be possible reverse, so you can exit your long here.
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Observer effect
  • #128
  • Oct 22, 2020 11:20am Oct 22, 2020 11:20am
Quoting ryuryu
hasib, I have few suggestions how to exit the trade. As I mentioned before it can be RSI or Stoch as a signal, and also reverse candle. Reverse candle is very powerfull approach. It is when high of bear candle it highest on current day and low of bull candle is lowest. So imagine we have nice bull run, but then big red candle and it shadow is highest high on current day. There can be possible reverse, so you can exit your long here. {image}
we could do it but did you test its performance.
MA provides the market's current direction and strength.
  • #129
  • Edited 12:25pm Oct 22, 2020 11:56am | Edited 12:25pm
Currently, I am testing this strategy, I am trading 27 pairs and H4 Chart, This system is a positive result. All I have to do is avoid the Sideway market. The sideways market kills this strategy performance. 7 trade is open all are in small profit but EurNZD trade is doing well.
I have opened a new demo account just to test this strategy. I have the plan to open 1000 Trade with this strategy.
Previously I have taken a few losing trades. Let see how this strategy performed in DEmo. All the demo trade will increase confidence in this system.
If this system doesn't perform well I will remove this strategy from my box.
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MA provides the market's current direction and strength.
  • #130
  • Oct 23, 2020 3:55am Oct 23, 2020 3:55am
Quoting hasib
{quote} we could do it but did you test its performance.
I'm using it in my EAs. Because static SL and TP will not work.
Observer effect
  • #131
  • Oct 23, 2020 8:13am Oct 23, 2020 8:13am
this week all trade is closed now. my current system forward test is going on. I will open a total 1000 trade with the system. If I found an edge I will test in a real account.
see my FF Trade Explorers I have got 329 pips this week. I am done for this week.
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MA provides the market's current direction and strength.
  • #132
  • Oct 23, 2020 8:39am Oct 23, 2020 8:39am
Recently I have read a book where the author told " don't go to real money trading before you make 300% profit in a demo account with the same strategy" I wish I know it when I started trading.
MA provides the market's current direction and strength.
  • #133
  • Oct 23, 2020 10:21am Oct 23, 2020 10:21am
Quoting hasib
this week all trade is closed now. my current system forward test is going on. I will open a total 1000 trade with the system. If I found an edge I will test in a real account. see my FF Trade Explorers I have got 329 pips this week. I am done for this week. {image}
Good for you this week! Green pips to you!

I am less patient so I deposited money to my Live acc and started using my first strategy (backtest 4mth, forward test 1mth, live for 1 week). So far since forward testing in Sept, about 60 trades.
I’m also forward testing my second strategy shared here before with Demo now on 5 pairs, 2 aggressiveness settings for two major pairs, total 7 trading sets. 3 days in and ~25 trades. I am also looking forward to mid Nov to achieve >100 trades to start getting a feeling.

Your strategy is a bit low frequency and 1000 trades can take >1 year! I see you are already applying a risk management of <1%/ trade, why not plan to open a live acc of something like $100 to further forward test in real situation, say after 1 month of solid performance? Slippage and spread change are not there in Demo

good luck!
  • #134
  • Oct 23, 2020 12:16pm Oct 23, 2020 12:16pm
Quoting tommydoginti
{quote} Good for you this week! Green pips to you! I am less patient so I deposited money to my Live acc and started using my first strategy (backtest 4mth, forward test 1mth, live for 1 week). So far since forward testing in Sept, about 60 trades. I’m also forward testing my second strategy shared here before with Demo now on 5 pairs, 2 aggressiveness settings for two major pairs, total 7 trading sets. 3 days in and ~25 trades. I am also looking forward to mid Nov to achieve >100 trades to start getting a feeling. Your strategy is a bit low frequency...
Thanks for your advice
MA provides the market's current direction and strength.
  • #135
  • Oct 23, 2020 12:27pm Oct 23, 2020 12:27pm
Quoting hasib
Currently, I am testing this strategy, I am trading 27 pairs and H4 Chart, This system is a positive result. All I have to do is avoid the Sideway market. The sideways market kills this strategy performance.
May I ask, how do you avoid the sideways market? I am asking for practical suggestions (not asking for an EA or anything like that). Thanks.

Best regards, Bill
  • #136
  • Oct 23, 2020 1:02pm Oct 23, 2020 1:02pm
Quoting calaxcorp
{quote} May I ask, how do you avoid the sideways market? I am asking for practical suggestions (not asking for an EA or anything like that). Thanks. Best regards, Bill
bill, you identify the weakness of the strategy. I personally draw a line and try to avoid loss by not trading that area. But before I understand that is a sideway market I have to lose at least 2 to 3 trade.
That is the market, we have to lose no matter what course and what indicator we use we can't avoid that, we can reduce lose adding indicator or filter. Unfortunately, I could not find any indicator those are actually accurately identified sideways market. some indicators Identify sideway market but by adding those indicators I miss most of the good trade too.
So I use my personal judgment to avoid the sideway market. You may not like my explanations but I am telling the truth.
I am open to new ideas and concepts if you have any idea how to avoid that please let me know.
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MA provides the market's current direction and strength.
  • #137
  • Oct 28, 2020 3:53pm Oct 28, 2020 3:53pm
We follow indicators to enter the market. Now questions is, is our indicator have a statistical edge, how and where our indicator performed well. backtesting Testing give us an idea about that. That is why algo traders have good knowledge than the average manual trader. Like so many traders I loved MACD for a long time. After watching this MACD performance I surprised, Stochastics indicator has a better edge than MACD. This test is done in the Stock Market. so I am not saying that in forex market it will not work but, Low performance of the indicator really helps us to think other way to trade this market.
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MA provides the market's current direction and strength.
  • #138
  • Oct 29, 2020 3:14pm Oct 29, 2020 3:14pm
I was backtesting EurJPy with my system. I was trading Quite aggressively, I wanted to double my account or lose it all.
I found a few statistics. So-called London session trading has poor performance. I know so many manual traders wait for opening a London session to trade. Bad news for them. I found the London session first 3 candle has the most random movement ever. Look at all statistics.
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MA provides the market's current direction and strength.
  • #139
  • Oct 30, 2020 1:01pm Oct 30, 2020 1:01pm
Quoting hasib
{quote} bill, you identify the weakness of the strategy. I personally draw a line and try to avoid loss by not trading that area. But before I understand that is a sideway market I have to lose at least 2 to 3 trade. That is the market, we have to lose no matter what course and what indicator we use we can't avoid that, we can reduce lose adding indicator or filter. Unfortunately, I could not find any indicator those are actually accurately identified sideways market. some indicators Identify sideway market but by adding those indicators I miss...
If you knew how to avoid sideway markets then you would own the whole world. Hundreds of strategies works just fine until the ranging occurs. OK, there are ways to identify the ranging market. But as you say, it will allways cost 2-3 loosing trades to identify the range. And that would cost the profit that you have just earned. Then you can stop trading and wait for better times. BUT!!! most time the market start trending exactly in the moment when you stop trading and you miss the volatility of the start of the trend.

I think that the cure is to have a good exit strategy which get you out of the trades before the ranging occures. And a risk management strategy that keeps your losses small when ranging are present. And NO! Risk management is NOT equal to the amount of money invested. It is the amount of money lost at stop loss.
MetaTrader 4 - so many advantages.
  • #140
  • Oct 31, 2020 9:50am Oct 31, 2020 9:50am
Another month Manual trading backtest is over. My system fails in the beginning but I use my personal market understanding and a little bit of aggressive trade management gives me a 13% return end of the month. if you have any suggestions please let me know.
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MA provides the market's current direction and strength.
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