Disliked{quote} 21., you don't have to really be a programmer to build a robust trading system these days, all the simulation and backtesting platforms (best software for backtesting futures strategies?) have a drag and drop kind of mechanisms, even the most open structure ones like right...Ignored
QuoteDisliked---unfortunately there is no shortcuts, u have to analyse and evaluate your opportunity cost and see if its worth wasting your time or not, IMO i won't waste my time doing all this process (and we didn't talk about the other aspects of testing yet, Data etc...) if i don't have at least 100K to trade. Hope it helps, Best. B.R.
yeah, i hear you on this one. surely one can live additionally better with its day job...hobby trading for vacation Im thinking of watching (your) list of CTA funds and perhaps invest in some in the future. probably 10k is too little to invest in those eh
QuoteDislikedLike i mentioned Before i Backtested, optimized, walk forward tested 63% In sample and 33% out of sample Data to see if the system behave like it should and then Tested the robustness of the system with a Monte carlo Analysis, (Monte Carlo simulation refers to process of using randomized simulated trade sequences to evaluate statistical properties of a trading system thus allow to verify robustness of the trading system, find out probability of ruin and many other statistical properties).
yes, read a lot on this and this is pretty straight forward principle rite. jap, miles away from my rookie math and stat. but im moving forward gently
QuoteDislikedI then apply an incubation period of 6 - 12 Month to make sure the system works well. My portfolio consist of 38 - 42 Instrument in different asset classes, each Instrument has past this work process and the portfolio has been backtested entirely to verify the end Results, all backtesting been done with Fixed Fractional position sizing of 1% taking in in consideration the Volatility of the Instrument to Normalise the Dollar Value of the Portfolio or the Dollar risked in every trade, so High volatility Instrument tend to trade less...
well all that said..pretty awesome stuff. I only started to think about developing my own testing system. Im trying to pay one programer to work this with me. ill have a look in what recommended. I am in 21 currency pairs, 7 currencies. So pretty much very correlated portfolio. I have developed several EAs (bought programers) and I am running them on forward testing basis.
With EAs developed on the whole market not as one instrument I cant backtest my systems in MT4. That is why I plan to collect whole data and then connect it to R where ill do some calculations. But I need to buy those profiles to make this happen.
Nevertheless, im running some pigz for 2y. I have 58% win rate on some on 1:1 RR.
Have several running for over a year now with very good win rate on higher RR.
Plus, atm testing new generation of pigz which are at this point excellent but keeping my head strongly on the ground.
I find this mechanical trading better cus it does not give me that "speed", "joy", "rush" anymore, and trading its getting "boring" or actually very joyfull in other aspects of life
QuoteDislikedTaking in consideration the Market conditions i have found Currencies (Except some majors) and Bonds to have higher ATR's which means more volatility than the Stock Indices thus they tend to Whipsaw more (Indices and because of Fundamentals being doing this lately and that's why last year was so difficult to trade and trend followers did poorly)
Sir, what else can you recommend knowing that I am purely concentrating on currencies and im in strongly correlated portfolio.
I post one of the new generation pigz - relatively poor one actually, but only one which is alone on MT4 to get stat in one go..otherwizze i run several EAs on several MT4 and need to filter results out with excel.
J