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geektrader
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Weekly and Monthly Trend Following Strategies
geektrader replied to geektrader's topic in Automated Trading
Honest answer I look at both and more.. distribution of return of lifetime of simulation, annualized returns, average/max drawdowns.. you can't ignore any of these IMO. -
Hello, I would like to hear from experienced system developers about common pitfalls to be aware of during development of strategies on high time frame like weekly and monthly. My concerns are stemming from the fact that since the number of data points reduce drastically, and number of trades generated being even smaller, do the backtesting and optimization loose their statistical significance? For example, simple MA crossover strategies on Weekly time frame on most futures data I have checked have given good results on 20 years of data. But they fail in WFO runs.. My dilemma is trying to estimate whether strategy is still worth exploring or not. One one had 20 years seems good amount period to cover different regimes while optimization and I get nice looking equity curves within my tolerance levels of drawdowns and distribution of returns. However, if I do walk forward optimization (in Tradestation) over 10 time periods during same 20 years, the results vary a lot. I am suspecting that during walk forward optimization, I don't have statistically significant number of data points (in terms of price as well as number of trades) and hence the strategy fails overall in such run. I hope I am making sense here. Looking forward to hearing from you all.
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May be time to ditch Excel and move to better suited Statistical Packages. R is one of them. Free and lots of addons.
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I can help you with that as well with same conditions as BlueHorseshoe.
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AFAIK, you can't automate option trades on TS. Atleast I have been diggin info for the same and couldn't find much. Would be happy to be proven wrong Backtesting just Price based strategies is easy on Tradestation. You will be more limited by the quality of data in my opinion though especially if you are using futures.
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True that. Even for seasoned programmers Easylanguage is a boon. Rapid prototyping is the term I would like to use here to describe what a season programmer can do with EasyLanguage.