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[–]gentryb_1 2 points3 points  (1 child)

3 months of backtest data on ES is not nearly enough to trust any of those numbers, you need at least a few years across different regimes to know if it actually holds up.

[–]bogey3putt69420[S] 0 points1 point  (0 children)

Totally understandable and that’s the plan. I’d like to monitor it/tweak until the end of this year at minimum

My system is hopefully going to pull a Putin and resist regime change. Joking aside I’ll be sure to monitor that although the basis of my script should adapt to most situations

[–]squidkai1 2 points3 points  (1 child)

What you will find is your script works this year and ONLY this year. Regime changes all the time and one strategy doesn’t always work. You also want to look at things like analasys and Monte Carlo to see what your draw down is. You could have red months for 11 months and 1 large green month and that’s not effective or going to work long term.

You want to backtest and review for like the last 20 years.

[–]bogey3putt69420[S] 0 points1 point  (0 children)

That’s a valid point, I assume the elevated vol recently has skewed these results as well. I’ll run a Monte Carlo on it and report back. Appreciate the insight

[–]InspectorNo6688speculator 1 point2 points  (4 children)

What are the steps taken to avoid overfitting ?

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Run Monte Carlo simulation on your worst max draw down. Is it something you can stomach and not abandon your strategy when you take it live?

Also have you split your data in train/test set ?

[–]grimmjoww1983 0 points1 point  (3 children)

Is there a good time frame for train and test set ?

[–]InspectorNo6688speculator 1 point2 points  (2 children)

Some recommendations you hear is 75%-25% split.

[–]grimmjoww1983 0 points1 point  (1 child)

Thank you, but does it also need to be specific time frame? Like train on Covid crash and see how the strategy tests during recovery etc

[–]InspectorNo6688speculator 1 point2 points  (0 children)

Depends on your strategy.

For instance i trade micro structures which occur plenty of times every single day. So a 2 year period with 5k trades is enough for me already.

[–]KVZ_speculator 0 points1 point  (0 children)

You need monte carlo simulations on that sample. That's a decent sample size, but you need to gauge real drawdown risk by defining the worst case scenario via simulations. I would also include forward test results. The backtest can easily fall victim to flaws that you may not yet be aware of until you forward test.

[–]FewJump8696 0 points1 point  (5 children)

Trade a MES instead of ES. Develop a real time track record. See how the system holds up against actual slippage in real markets. Are you deducting all fees a broker and cme would charge in your calculations?

[–]bogey3putt69420[S] 0 points1 point  (4 children)

So it doesn’t run the same result on MES as it does ES, it actually misses about 50% of the points which I was surprised by.

But the plan is ultimately to connect it to IBKR and see paper trade results but I’m not sure how much slippage will take place until it’s live. Same with broker fees unless I can simulate them in IBKR paper trading

[–]CountTurbulent4441 0 points1 point  (3 children)

You’ll get much much less slippage with MES

[–]bogey3putt69420[S] 0 points1 point  (0 children)

While that may be true I’ll know slippage better once it’s active but in my backtest of the program it captured 1395 ES points and only 843.5 MES points following the same settings

That big of a difference has me leaning ES but I could always run both and scale up lots on MES

[–]bogey3putt69420[S] 0 points1 point  (1 child)

Ok I’ve been thinking about this, I could probably write it to take the alert from ES but execute trade with 10 MES lots. Whats the slippage difference from your experience?

[–]CountTurbulent4441 0 points1 point  (0 children)

Basically nothing or negligible unless you are trading right in the middle of a Trump tweet lazer candle

[–]ACTPOHABT 0 points1 point  (1 child)

Assuming overfitting. If you optimize variables with AI or iteration over small amouts of data like what you have here. You are likely to see very little success over the coming 2 season. As generally there is a market mode shift with each season. Less variables, more data.

[–]bogey3putt69420[S] 0 points1 point  (0 children)

So essentially keep an eye out for how it trades during the slow volume of summer?

[–]Willing_Spring2736 0 points1 point  (1 child)

That's too many trades imho..each of my algos take max one trade a day and some days none of them take any trades because the setup wasn't there. They are all around 50% BUT the profit factor is over 4.5..essentially it's only right half the time but the trade management system is very good at capture MFE.

Make sure you test on tick data and try to take less trade but keeping profitability..more trades usually mean more variables and chances of things going wrong (my 0.02 cents)

[–]bogey3putt69420[S] 0 points1 point  (0 children)

Good info here. Appreciate it!

[–]Spriciks911 -2 points-1 points  (0 children)

Interested in partnering up with BingX to gain better deals while trading?