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Forward Testing Discussion Thread

  • #101
  • Feb 5, 2006 7:45pm Feb 5, 2006 7:45pm
Quoting Rocket
only 2 of 6 where greater than 7 pips diff tonight.
I'd suggest on strategy #1 to scrap the dual targets and just use the median for both lots. That is the simplest strategy and there is something conceptually unstable about using targets that are smaller than the stop losses. Effectively what is happening here is that when the first target is hit the second target should be set to b/e and operate like a no risk trade if the secondary target is less than or equal to the open risk of the trade. The thing is we did not really want to add intra-day trade management at this stage.

However because the the median is a statistically significant reversal area you are working against the odds by leaving the trade to run a few more pips at a potential resistance point. This screws with your risk reward ratio because once the first trade is closed the second 1/2 of the trade is skewed heavily in your favor with a 25 pip risk eliminated and a 50 pip profit already booked. What we are saying by leaving the second 1/2 open without moving the stop is that we'll risk 75 pips of guaranteed profit for an 8 or 10 or even 20 pip additional gain while flying directly into a storm zone.

FT
  • #102
  • Feb 5, 2006 7:52pm Feb 5, 2006 7:52pm
Quoting Rocket
another possible way to approach a forward test would be to test with the trend.
I am considering an approach useing the Vegas 4hr weekly trend indicator and useing VP to trade the pH or pL with the trend only.
Yes that is an important part of trading this system effectively is to have some sort of trend definition. If you'll recall we elected to leave that out of this test just to see what would happen if we did not define trend.

The unfortunate thing about using the Vegas weekly trend indicator is that it lags way too much for a day trading system like this. However some adaptation like using the same sort of trend indicator on a daily chart may be useful. Nonetheless the main VP discussion thread is the place for this conversation. Please confine this thread to forward testing discussion. Thanks my friend.

FT
  • #103
  • Feb 5, 2006 10:28pm Feb 5, 2006 10:28pm
BB, Fij, Rocket others,

Sorry for the delay posting results...as I said earlier dealing with a tragedy here and have been trying to do my best with staying with the VP.

I don't know what you all think, but it took me a small amount of time to enter the data into excel. Personally I am only interested in

1. # Trades entered Short, # Long
2. # Pips per lot
3. Trend Definition (not that we need to trade with trend, just want to know in the end how trades fared with and against the trend)

You can call me lazy if you want to, but I don't think it is necessary to enter all the other stuff into the spreadsheet, ie entry price, close price, PH/PL, NI etc...we've got the strategies, just need to see what the trade results are and extrapolate that data on a daily (best days of week etc../pair) and weekly basis. At the end of the testing period tweek the strategies based on our observations of price action/range, etc...

Hope this doesn't sit wrong with anyone, I just think we need to keep the data collection process as simple as possible. Once strategies are found or dismissed, we can then expand upon them with regards to trend, days of week, S/R, NI and all that other fun stuff.

If I'm out of line here, please put me in my place...anyone but fiji, he's the pro at that, some others need the practice...LOL fiji :

drjoe
  • #104
  • Feb 5, 2006 10:59pm Feb 5, 2006 10:59pm
Hi drjoe4x.....

I'll be the first to respond..................I understand that you are experiencing some stress because of the tragedy mentioned a few days ago, and if that means you need to take a little more time to accomplish some of the work we are doing, then we should allow you that.

As for the data required for the weekily progress speadsheet, this is something I would like to have available in the original format. It does take a little time to put together, but I don't consider the time excessive. Practice has allowed me to reduce the time I spend daily on entering 24 trades with VP data to about 20 minutes. And today I did the weekly spreadsheet for two strategies in about the same amount of time after printing out my trading terminal history report for my strategy and then downloading the same info from robrob who does have the software to do the weekly sheet himself. I would like the complete data because I am spending the time comparing this info with real time charts to get a better understanding of how VP data compares to market action. We have three weeks left in this forward test; after that some of us may choose to continue on as a group, while others may choose solo testing. Either way, this initial test data is important to me as I formulate the best way for me to use VP whether it be trading to and/or from p h/l, to and/or from the median or as a BO trade.

This is just my opinion (I'm stuck with it) and what I would like to see happen for the benefit of all of us participating in this forward test.

PS.....I don't consider you lazy or out of line...................


Quoting drjoe4x
BB, Fij, Rocket others,

Sorry for the delay posting results...as I said earlier dealing with a tragedy here and have been trying to do my best with staying with the VP.

I don't know what you all think, but it took me a small amount of time to enter the data into excel. Personally I am only interested in

1. # Trades entered Short, # Long
2. # Pips per lot
3. Trend Definition (not that we need to trade with trend, just want to know in the end how trades fared with and against the trend)

You can call me lazy if you want to, but I don't think it is necessary to enter all the other stuff into the spreadsheet, ie entry price, close price, PH/PL, NI etc...we've got the strategies, just need to see what the trade results are and extrapolate that data on a daily (best days of week etc../pair) and weekly basis. At the end of the testing period tweek the strategies based on our observations of price action/range, etc...

Hope this doesn't sit wrong with anyone, I just think we need to keep the data collection process as simple as possible. Once strategies are found or dismissed, we can then expand upon them with regards to trend, days of week, S/R, NI and all that other fun stuff.

If I'm out of line here, please put me in my place...anyone but fiji, he's the pro at that, some others need the practice...LOL fiji :

drjoe
  • #105
  • Feb 6, 2006 12:29am Feb 6, 2006 12:29am
Well said, I will try to get the info updated for you and do my best to keep up daily with the forward testing data you are needing to do your comparison...uh, did I mention I have 3 kids under the age of 4 and my 4th one coming in a few months = 4 that will be 4 and under...that has something to do with my after work time as well. However, I will continue to give you my best and stick with the parameters everyone is wanting.

One other thing that may be of importance is the data providers we are using for the VP data. I noticed my data was close with Rockets most of the time but occasionally varied by 5-15 pips on PH/PL. May be good to look at as well as far as accuracy, although I doubt it is a measurable difference in the long term.

drjoe
  • #106
  • Edited 3:04pm Feb 6, 2006 4:01am | Edited 3:04pm
Quote
QUOTE=drjoe4x]Well said, I will try to get the info updated for you and do my best to keep up daily with the forward testing data you are needing to do your comparison...uh, did I mention I have 3 kids under the age of 4 and my 4th one coming in a few months = 4 that will be 4 and under...that has something to do with my after work time as well. However, I will continue to give you my best and stick with the parameters everyone is wanting.
Ok so you have an excuse to be busy. We get it. <grin> Thanks a lot for your contribution here. Dr.

Quote
One other thing that may be of importance is the data providers we are using for the VP data. I noticed my data was close with Rockets most of the time but occasionally varied by 5-15 pips on PH/PL. May be good to look at as well as far as accuracy, although I doubt it is a measurable difference in the long term.
Wow who are the data providers? 5 to 15 pips is a lot considering that is roughly 5 to 15 percent wrong. Let's try to keep an eye on this phenomena. BB I've always enjoyed your attention to details. If you have time to keep track of this phenomena please take a look at it. Also we should check to find out if both data providers use the same rollover time. I agree that over the long run it may make little difference but it makes sense to check for some explanation in case there is some detail that would make an important difference.

Thanks,

FT</grin>
  • #107
  • Feb 6, 2006 7:45am Feb 6, 2006 7:45am
WOW..........sounds like you have a very full plate! What would really interest me, is to know about your wife's schedule............

Thanks in advance for the effort, we'll all benefit.

I am using CSI data and now that you mention it, will make a comparison of p h/l to see about any differences.


Quoting drjoe4x
Well said, I will try to get the info updated for you and do my best to keep up daily with the forward testing data you are needing to do your comparison...uh, did I mention I have 3 kids under the age of 4 and my 4th one coming in a few months = 4 that will be 4 and under...that has something to do with my after work time as well. However, I will continue to give you my best and stick with the parameters everyone is wanting.

One other thing that may be of importance is the data providers we are using for the VP data. I noticed my data was close with Rockets most of the time but occasionally varied by 5-15 pips on PH/PL. May be good to look at as well as far as accuracy, although I doubt it is a measurable difference in the long term.

drjoe
  • #108
  • Feb 6, 2006 7:47am Feb 6, 2006 7:47am
I'm on it.............

Quoting fijitrader
<GRIN>

Wow who are the data providers? 5 to 15 pips is a lot considering that is roughly 5 to 15 percent wrong. Let's try to keep an eye on this phenomena. BB I've always enjoyed your attention to details. If you have time to keep track of this phenomena please take a look at it. Also we should check to find out if both data providers use the same rollover time. I agree that over the long run it may make little difference but it makes sense to check for some explanation in case there is some detail that would make an important difference.

Thanks,

FT</GRIN>
  • #109
  • Feb 6, 2006 8:14am Feb 6, 2006 8:14am
I use CRB, they are Chicago based and the data is avail. after 6:00pm EST.
  • #110
  • Feb 7, 2006 11:20pm Feb 7, 2006 11:20pm
BB,

I updated the 1st week data for strategy 4 and replaced it on my previous results post.

Interestingly, if Rockets #'s were all right in the copy I received, I had a couple 19 pip and even one I believe was 29+ pip difference from the PH/PL...many were 2-8 pips different and only a few were exactly the same. I am using Fiji's favorite data service GENESIS...LoL fiji, but really I haven't had any problem with them at all and the charting is a lot more functional than CSI to me.

Good night,

drjoe
  • #111
  • Feb 8, 2006 9:11pm Feb 8, 2006 9:11pm
Quoting drjoe4x
BB,

I updated the 1st week data for strategy 4 and replaced it on my previous results post.

Interestingly, if Rockets #'s were all right in the copy I received, I had a couple 19 pip and even one I believe was 29+ pip difference from the PH/PL...many were 2-8 pips different and only a few were exactly the same.
let me know the pair and date and I will check.

So far this week 3 days trading Strat #1 is showing 193 pip gain from 13 closed trades..
But thats following a dismal last week.
  • #112
  • Feb 8, 2006 10:11pm Feb 8, 2006 10:11pm
FT, Rocket, drjoe4x and robrob..........

spudbox has been mia since Feb2. I have sent him two PMs with no response. I hope he is OK!

If I do not hear from him by the weekend, I will pick up his testing starting next week. A few more trades for me is no big deal, I am already doing more trading with VP than just my one strategy and I really don't want to waste his part of the forward test.

On another note: I am very interested to learn more about the apparent differences in the predicted h/l that may be a result of using different data providers. Rocket and drjoe4x, please let us know what you find out.

This week is going very well with strat #5 as compared to last week; in fact I am doing 10 pairs this week with the same strat and the "knife".
  • #113
  • Feb 8, 2006 10:25pm Feb 8, 2006 10:25pm
Quote
QUOTE=BeachBum]FT, Rocket, drjoe4x and robrob..........

spudbox has been mia since Feb2. I have sent him two PMs with no response. I hope he is OK!
Indeed you never know what may have happened when someone goes AWOL on these forums.

Quote
If I do not hear from him by the weekend, I will pick up his testing starting next week. A few more trades for me is no big deal, I am already doing more trading with VP than just my one strategy and I really don't want to waste his part of the forward test.
You're the real goods bb.

Quote
On another note: I am very interested to learn more about the apparent differences in the predicted h/l that may be a result of using different data providers. Rocket and drjoe4x, please let us know what you find out.
No Kidding. The things I'm hearing make this a rather big deal and, if the problem is consistent enough should warrant some answers from VP and/or ultimately their data providers. Incidentally I have an easy way to review this. Would someone from CRB, Genesis, and CSI all go and print a history file but choose only to output the date, ph, and the pl, for gbp/usd, eur/usd, aud/usd, usd,chf, and usd/cad. Please use the begin date as jan1 2005 and the end date jan 31 2006. If you don't mind exporting to a comma delimited text file with just those three columns. If you have difficulty figuring out how to restrict the columns just print all fields and I'll strip them out. Please stick to the date range to save me from massaging data. Thanks.

Just post the file to the forum here so others can dowload and play as well. For those who don't want to -- I'll compile the three text files into a comparison and post it in a separate forum called Data provider comparison. Others may also choose to post variations of the data.

Quote
This week is going very well with strat #5 as compared to last week; in fact I am doing 10 pairs this week with the same strat and the "knife"
This sounds cool.

Thanks,

FT
  • #114
  • Feb 9, 2006 7:08am Feb 9, 2006 7:08am
I'm using CSI data and will post the requested info this weekend, FT.

Also will be starting a new thread this weekend with Dial's approval entitled: "Vantage Point s/w and 'The Knife' ".....I hope this proves useful to some.

Quoting fijitrader
No Kidding. The things I'm hearing make this a rather big deal and, if the problem is consistent enough should warrant some answers from VP and/or ultimately their data providers. Incidentally I have an easy way to review this. Would someone from CRB, Genesis, and CSI all go and print a history file but choose only to output the date, ph, and the pl, for gbp/usd, eur/usd, aud/usd, usd,chf, and usd/cad. Please use the begin date as jan1 2005 and the end date jan 31 2006. If you don't mind exporting to a comma delimited text file with just those three columns. If you have difficulty figuring out how to restrict the columns just print all fields and I'll strip them out. Please stick to the date range to save me from massaging data. Thanks.

Just post the file to the forum here so others can dowload and play as well. For those who don't want to -- I'll compile the three text files into a comparison and post it in a separate forum called Data provider comparison. Others may also choose to post variations of the data.

Thanks,

FT
  • #115
  • Feb 9, 2006 9:34am Feb 9, 2006 9:34am
FT............please view the attached screenshot and select the options you want me to use when exporting the history report for you.........thanks.


Quoting fijitrader

No Kidding. The things I'm hearing make this a rather big deal and, if the problem is consistent enough should warrant some answers from VP and/or ultimately their data providers. Incidentally I have an easy way to review this. Would someone from CRB, Genesis, and CSI all go and print a history file but choose only to output the date, ph, and the pl, for gbp/usd, eur/usd, aud/usd, usd,chf, and usd/cad. Please use the begin date as jan1 2005 and the end date jan 31 2006. If you don't mind exporting to a comma delimited text file with just those three columns. If you have difficulty figuring out how to restrict the columns just print all fields and I'll strip them out. Please stick to the date range to save me from massaging data. Thanks.

Just post the file to the forum here so others can dowload and play as well. For those who don't want to -- I'll compile the three text files into a comparison and post it in a separate forum called Data provider comparison. Others may also choose to post variations of the data.

Thanks,

FT
Attached Image
  • #116
  • Feb 9, 2006 10:15am Feb 9, 2006 10:15am
Quoting Rocket
let me know the pair and date and I will check.

So far this week 3 days trading Strat #1 is showing 193 pip gain from 13 closed trades..
But thats following a dismal last week.
AUD/USD

Vantage Point Predicted High on 2-2-06 for 2-3-06

Yours .7588
Mine .7557

31 pip difference...Surely not!?

drjoe
  • #117
  • Feb 9, 2006 10:19am Feb 9, 2006 10:19am
Quoting BeachBum
I'm using CSI data and will post the requested info this weekend, FT.

Also will be starting a new thread this weekend with Dial's approval entitled: "Vantage Point s/w and 'The Knife' ".....I hope this proves useful to some.
Would love to see what you have working BB. Looking forward to the new info regarding VP testing and the Knife.

drjoe
  • #118
  • Feb 9, 2006 10:25am Feb 9, 2006 10:25am
using CSI data my p/h was .7560.............drjoe4x, you are using Genesis, right? Rocket, what data service are you using?



Quoting drjoe4x
AUD/USD

Vantage Point Predicted High on 2-2-06 for 2-3-06

Yours .7588
Mine .7557

31 pip difference...Surely not!?

drjoe
  • #119
  • Feb 9, 2006 5:10pm Feb 9, 2006 5:10pm
Quoting drjoe4x
AUD/USD

Vantage Point Predicted High on 2-2-06 for 2-3-06

Yours .7588
Mine .7557

31 pip difference...Surely not!?

drjoe
pH ..7558
PL .7487

my data shows .7558 typo .. sry .. boil me in hot oil.

Although some difference is likely, since beleive CIS and genesis data is available shortly after 5:00ESt.

my provider is CRB .. data avail after 6:00pm
  • #120
  • Feb 9, 2006 10:30pm Feb 9, 2006 10:30pm
Quoting BeachBum
FT............please view the attached screenshot and select the options you want me to use when exporting the history report for you.........thanks.
Please use "formatted ASCII" and "floating point". And just export all the fields since that is easier.

Thanks,

FT
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