System Testing

[suri112000]

try this for data.

http://www.traderji.com/data-feeds/89889-nifty-historical-ieod-2008-till-date-free.html

there is for one more but not sure of data format...just check it

http://www.traderji.com/data-feeds/11267-intraday-1-minute-future-data-8.html


system testing


afl into dll or any plugin..... can be easily manipulated.

metrics changes even if u do position sizing or change fix position say from 50 to 250....u might see drastic swing in all the metrics or can ruin the entire capital within a year

i personally believe in

backtesting on atleast 7-10 years of data (for nifty i would prefer 2007-8-9) mandate.

use a fix lot size(for nifty and banknifty same lot size might mess up results)

optimizing the afl for best parameter then randomly backtest on 3 m 6m different data sample.

walk forward test in very essential before going live. Please make sure walk forward test is done based on different parameters kratio / ulcer index /car-mdd.

not to forget Monte carlo test....new version of amibroker has it....can be done on excel sheet as well.

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for instance supertrend nowadays is popular and freely available on some popular sites.

i check past few months it was giving u pity good loss. select 3 months sample optimize(or) randomly change atr/factor in afl and do backtest . U would be surprised by results.


Real trades and results are very different from afl results. Its trader that trades the system good trader controls drawdowns survives and impoves on other factor as he enjoys the process. Consistent performance is needed from trader not the afl. As afl can give u double the continuos lossing trades without giving u a profitable trade( exhausting ur capital adding to ur mental stress) after that u might not like the idea of taking the winning trade and repent afterwards.




sorry for this post, i know u might already know all this.

happy trading

I know some AFLs keep adjusting the signals in real time but while backtesting they become static and give good results. Such AFLs are useless for trading. I hope this AFL does not fall into that category. I am not able to make out its reliability until I see whether the signals are static or adjusting. Bar replay function is not working in my Amibroker to test it. I will see tomorrow in real time. If the signal adjusts in real time, I will ask the seller to pay Rs.2,00,000 to me to take the AFL and trade instead of paying him.

 

[jahan]

Hello,

@Suri.(sorry not jagankris edited)

pls don't take seriously.......

by seeing the equity curve....i can clearly tell that it's not possible....something is gone wrong either in backtesting or in Afl....i know u have a good command on Amibroker...even though my feeling is something is missing/overlooked...

i have also backtest a Afl 2 year's back it has given me 700% Return in one year..but later on i find that there is issue of closing price which i have to set for next opening bar(to be realistic in trading,and its not guarantee that u will get the order at exact price)...then the results fall to 400%......

and when comes to winning ratio....there is practical thing that....if u book profits early u can reach upto 90% winning rate...and profit factor is very less sometimes below 1....if u let the trade run until reversal ur winning ratio fall to below 40% or sometimes 30% and ur profit factor will increase dramatically...

in ur case the profit factor is very high and also winning %....there is something misleading....and another factor iam amazed is MaxDD...iam currently trading a system which is showing 6 to 9% of MaxxDD on 3 years of data...in practical b'coz iam trading.... i have gone through 20% of MaxDD until now...i know i can get more than that...what montocarlo analysys tells me that i can go upto 55% MAXDD in 10000 trades...

iam not telling that ur wrong....pls tell the guy ,from whom u have taken the Afl.... to look into the code once again....u also check ur backtesting parameters.

if ur backtesting futures data....which is Non-continuous in nature for indian markets ur in serious trouble...u have to have continuous futures data which is not available.

so my conclusion is that u can't get high % of winning and profit factor, with negligible MaxDD....in same system.

Regards,

 

[suri112000]

Hello,

@jagankris.

pls don't take seriously.......

by seeing the equity curve....i can clearly tell that it's not possible....something is gone wrong either in backtesting or in Afl....i know u have a good command on Amibroker...even though my feeling is something is missing/overlooked...

i have also backtest a Afl 2 year's back it has given me 700% Return in one year..but later on i find that there is issue of closing price which i have to set for next opening bar(to be realistic in trading,and its not guarantee that u will get the order at exact price)...then the results fall to 400%......

and when comes to winning ratio....there is practical thing that....if u book profits early u can reach upto 90% winning rate...and profit factor is very less sometimes below 1....if u let the trade run until reversal ur winning ratio fall to below 40% or sometimes 30% and ur profit factor will increase dramatically...

in ur case the profit factor is very high and also winning %....there is something misleading....and another factor iam amazed is MaxDD...iam currently trading a system which is showing 6 to 9% of MaxxDD on 3 years of data...in practical b'coz iam trading.... i have gone through 20% of MaxDD until now...i know i can get more than that...what montocarlo analysys tells me that i can go upto 55% MAXDD in 10000 trades...

iam not telling that ur wrong....pls tell the guy ,from whom u have taken the Afl.... to look into the code once again....u also check ur backtesting parameters.

if ur backtesting futures data....which is Non-continuous in nature for indian markets ur in serious trouble...u have to have continuous futures data which is not available.

so my conclusion is that u can't get high % of winning and profit factor, with negligible MaxDD....in same system.

Regards,

I have been assuming it to be the fault of code until now. There has to be something apart from that.

I need to check the following :-

1. The signal has to be static (should not change as the time passes). This alone can give very erratic figures in backtesting.

2. I am sure there is no flaw in the data or backtesting. I have to make to sure the parameters in the AFL are static while backtesting entire data instead of adjusting to avoid the losses. (attributable to very cunning coders).

 

[jahan]

I have been assuming it to be the fault of code until now. There has to be something apart from that.

I need to check the following :-

1. The signal has to be static (should not change as the time passes). This alone can give very erratic figures in backtesting.

2. I am sure there is no flaw in the data or backtesting. I have to make to sure the parameters in the AFL are static while backtesting entire data instead of adjusting to avoid the losses. (attributable to very cunning coders).

Hello,

what i find... is majority of programmer's who code systems...80 to 90 % of them don't trade or trade occasionally...they can't feel the true nature of market's which is uncertain in nature,and they didn't have much knowledge on position sizing...either they go with fixed amount stoploss or fixed lot sizes.see market is dynamic in nature position sizing need to change according to market volatility.even i find a coder who is good one.. and knows everything about market his system is very good...but he can't able to trade it why...,b'coz of fear of loosing(psychological problems).u know what he is doing now.... still coding new systems,but not in trading.

Regards,

 

[jagankris]

Suri,

Whats your findings in real time about the system ?
TIA.

 

[suri112000]

OMG!!!!!!!!!! Its a crap AFL. Its changing signals. I wonder how this guy was pricing this crap at so high price.

Thanks Smart_Trade for alerting me.

 

[Smart_trade]

OMG!!!!!!!!!! Its a crap AFL. Its changing signals. I wonder how this guy was pricing this crap at so high price.

Thanks Smart_Trade for alerting me.

That was on expected lines.When I saw the system performance I knew that this is a bogus system and I expressed my reservations in milder terms.

This is a standard trap. In my over 20 years trading career, every quarter I come across a person who claims that he has a magic system or a Guru who claims that he has all the solutions for trading. All are 100 % bogus. The new traders particularly failed and struggling traders always have a false notion that out there somewhere there is some secret method,system which never fails which successful traders have.Nothing can be far from the truth.

No AFL,System or a trading Guru has any shortcut for trading success and trading riches.At best they can guide but the trader has to develop himself into a successful trader and that is no easy task.

Smart_trade

 

[Rish]

That was on expected lines.When I saw the system performance I knew that this is a bogus system and I expressed my reservations in milder terms.

This is a standard trap. In my over 20 years trading career, every quarter I come across a person who claims that he has a magic system or a Guru who claims that he has all the solutions for trading. All are 100 % bogus. The new traders particularly failed and struggling traders always have a false notion that out there somewhere there is some secret method,system which never fails which successful traders have.Nothing can be far from the truth.

No AFL,System or a trading Guru has any shortcut for trading success and trading riches.At best they can guide but the trader has to develop himself into a successful trader and that is no easy task.

Smart_trade

:thumb::thumb::thumb: 100% true.......

 

[TradeJoker]

Magic hair oil sellers always wear a cap, bcos he s bald

 

[BNFTrader]

Magic hair oil sellers always wear a cap, bcos he s bald

Good One . . . :rofl: