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Forward Testing Discussion Thread

  • #201
  • Mar 5, 2006 9:29am Mar 5, 2006 9:29am
Quoting fijitrader
Why don't you do a dump from January 1 to Dec 31st of 2005 and post it in both ascii formats. Then dump the actuals from the three data providers for the same period. If we have a volunteer from each provider I'll happily compile another spreadsheet. Also when dumping the data from MT4 please state what mm you are using. Most will be ibfx but let's be sure.

Thanks,

FT

FT...........

I am attaching the requested data from CSI in both formats.

We need someone who uses Genesis and CRB to do the same. FT has graciously offered to prepare a comparison spreadsheet for us which I believe will be very helpful.

Two volunteers for this test.......................please!

Also, I can do the MT4 dump but need to know what charts you want me to use. (1 minute, 5 or what?).

Thanks everyone.............
Attached File(s)
File Type: zip vp_data.zip   38 KB | 472 downloads
  • #202
  • Mar 5, 2006 3:00pm Mar 5, 2006 3:00pm
Quoting BeachBum
FT...........

I am attaching the requested data from CSI in both formats.

We need someone who uses Genesis and CRB to do the same. FT has graciously offered to prepare a comparison spreadsheet for us which I believe will be very helpful.

Two volunteers for this test.......................please!

Also, I can do the MT4 dump but need to know what charts you want me to use. (1 minute, 5 or what?).

Thanks everyone.............
The Mt4 dump should be EOD (OHLC just like VP uses) so that we can compare the EOD output VP uses with each of the other three providers. I was previously talking about backtesting 1 min or 5min only in the context of being sure we backtested our strategy in such a way as to capture whether the high or low was hit FIRST and to see if there was any pattern associated with it hitting one or the other first.

FT
  • #203
  • Mar 6, 2006 7:51am Mar 6, 2006 7:51am
Quoting fijitrader
The Mt4 dump should be EOD (OHLC just like VP uses) so that we can compare the EOD output VP uses with each of the other three providers. I was previously talking about backtesting 1 min or 5min only in the context of being sure we backtested our strategy in such a way as to capture whether the high or low was hit FIRST and to see if there was any pattern associated with it hitting one or the other first.

FT
FT.............here is the MT4 history. For whatever reason, some of the pairs do not have a complete record.
Attached File(s)
File Type: zip MT4_history.zip   107 KB | 451 downloads
  • #204
  • Mar 7, 2006 4:11pm Mar 7, 2006 4:11pm
Our initial forward test is almost complete, but we have stalled!

In order to complete what we originally set out to do, we need some final data. It would be a shame to have wasted a lot of time and effort by not completing our project. We have learned a lot, but there are still a few things we can take away from our forward test. However, this will not happen unless everyone involved steps up to complete the test.

We need:

final week results of Strat #4 from drjoe4x

the history data FT asked for from someone who uses Genesis and CRB

Please, let's finish the job, analyze the results and arrive at a few solid and useful conclusions!
  • #205
  • Mar 9, 2006 4:53pm Mar 9, 2006 4:53pm
Quoting BeachBum
Our initial forward test is almost complete, but we have stalled!

In order to complete what we originally set out to do, we need some final data. It would be a shame to have wasted a lot of time and effort by not completing our project. We have learned a lot, but there are still a few things we can take away from our forward test. However, this will not happen unless everyone involved steps up to complete the test.

We need:

final week results of Strat #4 from drjoe4x

the history data FT asked for from someone who uses Genesis and CRB

Please, let's finish the job, analyze the results and arrive at a few solid and useful conclusions!
Hey guys let's not waste all this effort. It must be a bummer especially for BB to put all this work into something only to have a few people crap out at the end. This is one of the reasons people don't succeed at this business. Some parts of it are too difficult and when that happens they take off looking for the easier thing to do. Don't get caught in that trap. Finish what you committed to -- if not for the group then at least for your own sense of completion. It will do you good I promise.

FT
  • #206
  • Mar 9, 2006 10:56pm Mar 9, 2006 10:56pm
I really enjoy this thread. Unfortunately I have been too busy at work, hopefully that will change soon, to be an active participant.

I use the CRB data provider and have attached both ascii formats. Hopefully they are correct.

Cheers,
Andrew
Attached File(s)
File Type: zip CRB VP Data.zip   39 KB | 488 downloads
  • #207
  • Mar 10, 2006 12:19am Mar 10, 2006 12:19am
Quoting andrewdc
I really enjoy this thread. Unfortunately I have been too busy at work, hopefully that will change soon, to be an active participant.

I use the CRB data provider and have attached both ascii formats. Hopefully they are correct.

Cheers,
Andrew
Thanks Andrew,

We appreciate your help greatly.

thanks,

FT
  • #208
  • Mar 10, 2006 12:24pm Mar 10, 2006 12:24pm
Quoting andrewdc
I really enjoy this thread. Unfortunately I have been too busy at work, hopefully that will change soon, to be an active participant.

I use the CRB data provider and have attached both ascii formats. Hopefully they are correct.

Cheers,
Andrew
Andrew..........

Thanks very much for stepping in to help out, much appreciated. I hope you can be an active participant in the future too!
  • #209
  • Mar 10, 2006 12:26pm Mar 10, 2006 12:26pm
Quoting fijitrader
Hey guys let's not waste all this effort. It must be a bummer especially for BB to put all this work into something only to have a few people crap out at the end. This is one of the reasons people don't succeed at this business. Some parts of it are too difficult and when that happens they take off looking for the easier thing to do. Don't get caught in that trap. Finish what you committed to -- if not for the group then at least for your own sense of completion. It will do you good I promise.

FT
Yes, I AM bummed out because we have NOT finished we started out to do!
  • #210
  • Mar 10, 2006 11:52pm Mar 10, 2006 11:52pm
Quoting andrewdc
I really enjoy this thread. Unfortunately I have been too busy at work, hopefully that will change soon, to be an active participant.

I use the CRB data provider and have attached both ascii formats. Hopefully they are correct.

Cheers,
Andrew
Glad you where able to step in. As BB knows I personnaly have had some health issues crop up the previouse week along with my father who had a heart attack last week. Which kept me tied up with driving 7hrs rd trip more than a few times. I was able to bring him home from the hospitol "today", and he is doing well .. 90 in June.
  • #211
  • Mar 11, 2006 10:19am Mar 11, 2006 10:19am
Quoting Rocket
Glad you where able to step in. As BB knows I personnaly have had some health issues crop up the previouse week along with my father who had a heart attack last week. Which kept me tied up with driving 7hrs rd trip more than a few times. I was able to bring him home from the hospitol "today", and he is doing well .. 90 in June.
We appreciate your help in the past, Rocket, and I know you have been struggling with multiple health issues the past couple of weeks. We all wish you and your family a speedy and successful recovery!
  • #212
  • Mar 11, 2006 10:10pm Mar 11, 2006 10:10pm
Quoting Rocket
Glad you where able to step in. As BB knows I personnaly have had some health issues crop up the previouse week along with my father who had a heart attack last week. Which kept me tied up with driving 7hrs rd trip more than a few times. I was able to bring him home from the hospitol "today", and he is doing well .. 90 in June.
Welcome back. Sorry to hear about your tragedy but glad to hear he is alive and doing well.

FT
  • #213
  • Mar 16, 2006 8:43am Mar 16, 2006 8:43am
Quoting fijitrader
Why don't you do a dump from January 1 to Dec 31st of 2005 and post it in both ascii formats. Then dump the actuals from the three data providers for the same period. If we have a volunteer from each provider I'll happily compile another spreadsheet.

Thanks,

FT
Hello FT..............

I have attached a zip file containing data from all three providers and the MT4 IFX history.

Please prepare a comparison spreadsheet for us.

Thanks!
Attached File(s)
File Type: zip VP_compare.zip   232 KB | 536 downloads
  • #214
  • Mar 17, 2006 6:46pm Mar 17, 2006 6:46pm
Quoting BeachBum
Hello FT..............

I have attached a zip file containing data from all three providers and the MT4 IFX history.

Please prepare a comparison spreadsheet for us.

Thanks!
Hey thanks man. I'll get that done next week. I'm a bit tied up over the weekend.

FT
  • #215
  • Mar 18, 2006 11:31pm Mar 18, 2006 11:31pm
Quoting fijitrader
Hey thanks man. I'll get that done next week. I'm a bit tied up over the weekend.

FT
FT.....

I have received a number of PMs from quiet observers who have been watching what we have been doing with the forward test. It is fascinating to learn how many people quietly watch our work and express their appreciation.

The comparison spreadsheet you have offered to prepare will be well received and very useful.

Thanks in advance for your help!
  • #216
  • Mar 18, 2006 11:36pm Mar 18, 2006 11:36pm
For all those who have been watching the forward test...............I plan on continuing this week with a modified version of Strategy #4, the one that worked the best in our original test. I will post results and observations at the end of each week for informational purposes only.

My goal is still to assemble a useful "set & forget" trading system using VP data. I think we are close to doing that and I intend to work at it until all possibilities have been exhausted. I'll keep you posted.......stay tuned.
  • #217
  • Mar 24, 2006 1:39pm Mar 24, 2006 1:39pm
This week I forward tested Strategy #4 with a few simple modifications and obtained good results on ten pair.

Trades were set to enter 10 pips before p/ high or low, t/p was 10 pips before the opposite p/ high or low. I used various s/l settings based on ATR, risk management and my comfort level. Preference was not given to predicted trend, but I did pay attention to this information when discretion was used to either enter or exit trades without regard to p/ h or l. The other discretionary action I followed was to execute trades at entry time if other t/a information indicated the p/ h or l had just been reached and missed. I would then immediately enter the trade heading to the opposite p/ h or l.

This was not a true set & forget test because...............I entered trades around 6 pm est, but closed many trades 12 to 14 hours later if other t/a information indicated I was near maximum profit for that trade or it was one of the big news days this week. In reality, closing all trades at this point in time would have had little if any impact on my results. The conclusion is that this strategy could be used as a partial day set & forget system.

After having tested VP data for five previous weeks and this week, I believe a very good half-day set & forget system is achievable. Place the entry orders just after the daily data is complete (around 5 pm est) and close everything before the NY session opens the following day. (Remember, this is just my opinion!) This week I gained 491 pips on single lot mini trades on a demo account. Not bad! The attached file shows the results.
Attached File(s)
File Type: zip mar_24_results.zip   9 KB | 839 downloads
  • #218
  • Mar 25, 2006 12:26am Mar 25, 2006 12:26am
Quoting BeachBum
FT.....

I have received a number of PMs from quiet observers who have been watching what we have been doing with the forward test. It is fascinating to learn how many people quietly watch our work and express their appreciation.

The comparison spreadsheet you have offered to prepare will be well received and very useful.

Thanks in advance for your help!
Hey BB. Thanks for the little jab to get me going. I'm sorry for my slowness in getting this done. I was in another tropical destination (Vanuatu) on business recently and it took longer to catch up when I returned than I estimated. I've given my preference to the PF before coming here to finish my work.

Reading your next post I am amazed at how closely your 1/2 day set and forget system seems to approximate the approach I used with mine. I monitored mine every 4 to 8 hours and I'm getting more and more convinced that it is just about the lowest risk most ideal system I've come across for a long time. Managed properly it seems to churn out more pips month after month with relatively little work and a pretty smooth equity curve.

Thanks for all your work. Keep us posted with Strat 4. Are you now using Genesis?

Thanks,

FT
  • #219
  • Mar 25, 2006 12:30am Mar 25, 2006 12:30am
Hi Ft.........

Thanks for the kind words...............I am not using Genesis................still waiting for the data service comparison spreadsheet you said you would prepare for us. I know you are very busy, but I think there are many of us who would appeciate that info!!!


Quoting fijitrader
Hey BB. Thanks for the little jab to get me going. I'm sorry for my slowness in getting this done. I was in another tropical destination (Vanuatu) on business recently and it took longer to catch up when I returned than I estimated. I've given my preference to the PF before coming here to finish my work.

Reading your next post I am amazed at how closely your 1/2 day set and forget system seems to approximate the approach I used with mine. I monitored mine every 4 to 8 hours and I'm getting more and more convinced that it is just about the lowest risk most ideal system I've come across for a long time. Managed properly it seems to churn out more pips month after month with relatively little work and a pretty smooth equity curve.

Thanks for all your work. Keep us posted with Strat 4. Are you now using Genesis?

Thanks,

FT
  • #220
  • Mar 26, 2006 4:26pm Mar 26, 2006 4:26pm
Quoting fijitrader
Reading your next post I am amazed at how closely your 1/2 day set and forget system seems to approximate the approach I used with mine. I monitored mine every 4 to 8 hours and I'm getting more and more convinced that it is just about the lowest risk most ideal system I've come across for a long time. Managed properly it seems to churn out more pips month after month with relatively little work and a pretty smooth equity curve.

Thanks for all your work. Keep us posted with Strat 4. Are you now using Genesis?

Thanks,

FT
Hi Fiji, could you write a bit more about your system?? Month after month?


and BB
Great system and hope it keeps on going.
About the data, because i use CRB I was finding that my results where shifted by the different time/data differences when comparing similar entry and stop loss paramenter from a different data provider. Seeing the data comparisons will be useful. particularly if the shift is usually in one direction as I suspect.


regards
Rocket
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