tag:blogger.com,1999:blog-18657157.post5652349332412293669..comments2024-02-10T02:17:57.075-08:00Comments on b z b t r a d e r: The Price of Riskbzbtraderhttp://www.blogger.com/profile/11607843481812042367noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-18657157.post-56445970205314168932008-08-24T11:03:00.000-07:002008-08-24T11:03:00.000-07:00additional note: from my tests, I've found very fe...additional note: from my tests, I've found very few strategies that work well in both bull and bear markets. What worked well in one market was usually choppy at best in another. So I followed Will's recommendation and applied a crappy 50/200 sma (I couldn't think of better one) to differentiated a bull/bear market. That improved the results dramatically. However it did cut down the number of trades immensely (40 -50%) and a small portion (maybe 20%) of the overall profits as well.<BR/><BR/>Which led me to believe that I can deploy more capital into subsequent signals via pyramiding and that help increase profits substantially.LPhttps://www.blogger.com/profile/11803548402479540869noreply@blogger.comtag:blogger.com,1999:blog-18657157.post-24040763002211073212008-08-24T10:53:00.000-07:002008-08-24T10:53:00.000-07:00Bob,I too ran similar tests in the past and I foun...Bob,<BR/><BR/>I too ran similar tests in the past and I found some inconsistencies when i deployed the backtest/walk forward method.<BR/><BR/>Basically with any test I performed, I noticed that I was over optimizing. For example you have the RSI 28/86. I found a 4/96 RSI2 preformed real real well. But then I started reading a few of these really freakin boring books about back testing and I decided to try the walk for method. For those that may not know (I don't think there are many here), all you do is pick to sets of dates. The first set you develop your system with. Once you are happy with it you then use those variables on the second set of dates. If you keep the test honest and the results are fairly similar, then you may have a nice winner. However, you will notice that many tests fail this method.<BR/><BR/>When I started to doing this I noticed that the best variables that did well with both back/walk forward test where roundish numbers like 5, 10, 15, 20 etc...<BR/><BR/>Just my two cents. While I may not agree with your variables (entirely), I find the thought process behind each one of these posts to be far to valuable to pass up. Keep up the good work and thanks for sharing in a thankless world/blogosphere.LPhttps://www.blogger.com/profile/11803548402479540869noreply@blogger.comtag:blogger.com,1999:blog-18657157.post-67488701387614027342008-08-19T18:57:00.000-07:002008-08-19T18:57:00.000-07:00Bob, Sorry that I overlooked the text at the top o...Bob, <BR/><BR/>Sorry that I overlooked the text at the top of the results .jpg. I mistakenly thought this was an intraday system. <BR/><BR/>You'll be happy to know this also works pretty well on intraday timeframes! (5 min, 1 min) - particularly short. The 1/3 * ATR(10)stop works well for intraday timeframes, but is probably inappropriate for multiday swing trades.Unknownhttps://www.blogger.com/profile/11872924495584340493noreply@blogger.comtag:blogger.com,1999:blog-18657157.post-82301600476009916172008-08-19T15:43:00.000-07:002008-08-19T15:43:00.000-07:00muhammad,Thanks for the ATR stop. That's what I'm...muhammad,<BR/>Thanks for the ATR stop. That's what I'm talking about when I ask traders to share their results with these systems, whether it be good or bad.<BR/>Unless otherwise indicated, the tests are run on daily bars for 5 years. On the TS Performance Summary, the line above ALL TRADES notes the system name and the time frame tested. As I mentioned in Tuesday's post, the IWM behaves differently than the DIA or SPY with respect to technical alignment. I suspect that's what you may be picking up with your off-IWM tests, but that just a guess.bzbtraderhttps://www.blogger.com/profile/11607843481812042367noreply@blogger.comtag:blogger.com,1999:blog-18657157.post-7828487580456791032008-08-19T12:53:00.000-07:002008-08-19T12:53:00.000-07:00Results are very impressive, especially considerin...Results are very impressive, especially considering that it based on a relatively simple setup. <BR/><BR/>I attempted to replicate your results in my backtesting software and got similar results. However, i was wondering what time frame are you backtesting on?<BR/><BR/>Also, I tried testing this on a few other instruments (ES, YM, etc.) over longer timeframes. The short trades continue to perform well, but the long trades seems to degrade quickly. This is probably typical behavior of overbought/oversold based systems, but I was wondering if you noticed the same thing.<BR/><BR/>Finally, it seems that 1/3 * ATR(10) makes for a very nice stop.Unknownhttps://www.blogger.com/profile/11872924495584340493noreply@blogger.comtag:blogger.com,1999:blog-18657157.post-10062354912171745082008-08-18T17:11:00.000-07:002008-08-18T17:11:00.000-07:00Good Post. I ran across your blog and am adding i...Good Post. I ran across your blog and am adding it to my list of blogs that I check daily. GeorgeGS751https://www.blogger.com/profile/12104712741442133837noreply@blogger.com