Clayburg And Universal Clone

[swansjr 10]

"You can get very impressive optimization results with pretty much any system... "

 

Yes, that's true...that's why "walking forward" is important. Even then you have to be careful.

 

There seems to me to be some very odd characteristic of this free "clone" strategy. Quite often it buys at the exact low of a bar, even though that low is lower than any recent bars. As I understand the Clayburg strategy it should buy at the lowest low of the last 3 bars. Maybe the TradeStation interpretation is to blame, or maybe it's the strategy. In any case many of the trades shown would not have been possible in real life. Either they wouldn't have been filled on the touch of that price, or there's no way to know what the lowest low is the last three bars is until the last of the 3 bars has closed--in which case it's too late to buy there.

 

Also the targets fill even if only touched--often times in the charts I'm looking at that is the last chance they had to fill before stopping out, meaning a stop likely occurred instead of the profit. But the backtest shows profit.

 

I'm still going to play with this a bit and see if something useful can be learned from it.

 

Those are all good points and highlight assumptions that are made with the TradeStation platform. For example, if price touches a target it is assumed filled.

[bakrob99 11]

Those are all good points and highlight assumptions that are made with the TradeStation platform. For example, if price touches a target it is assumed filled.

 

You can set your LIMIT EXITS on TradeStation to go to market after xxx Seconds if you are not filled.

[10xray1 10]

Hey guys. I found another anomaly I think. I ran this system with one contract on JY. I found the end of day exit doesn't work as intended. Although I have the appropriate times set in the system... It tried to exit it at 4:02... 47 min after market close and was rejected. I had to manually exit in afterhours

 

Is anyone else experiencing this? Anyone know if I'm doing something wrong?

[10xray1 10]

Further testing reveals... any time after 1500, the trade exits at 1559 (strat analysis)... the trade manager recorded an attempt to close at 1602 (rejected, market closed.)

 

I set the close time to 1500 and strat analysis records the exit as 1500, so we'll see if it works in actual trading.

[swansjr 10]

Hey guys. I found another anomaly I think. I ran this system with one contract on JY. I found the end of day exit doesn't work as intended. Although I have the appropriate times set in the system... It tried to exit it at 4:02... 47 min after market close and was rejected. I had to manually exit in afterhours

 

Is anyone else experiencing this? Anyone know if I'm doing something wrong?

 

Well I'm no expert but if the order was rejected that means the program sent the order at the end-of-day. I'm not sure what the problem was.

[10xray1 10]

The problem... as I stated, is that the strategy issued the "buy to cover" while the market was closed, rejecting the order. Even though the close times in the strategy were approximately an hour before.

[RM686 10]

Great posts folks. For $7500.00 the results and effort are a joke. I am looking for indicators I can optimized with tradestation or systems to trade ETFS. I have looked at Clayburgs site and wont waste my time there anymore.

Clayburb is another site I can rule out.

[chameleon 10]

I haven't contributed much to TL, but I thought I'd throw in my 2 cents on Universal since I have also followed TTM and attended seminars where Doc was promoting universal.

 

I coded up Universal myself since I thought the pricing was ridiculous and I don't agree with having a system I can't tweak (black box as in Universal). BTW, I'm no EL expert but it was relatively easy to code this thing up in a couple hours.

 

Slippage / Commissions: You can get some great optimization results, like any other system, but it breaks down quickly if you start adding commission / slippage. Doc argues that he doesn't add these since everyone's commission is different, and he uses limit orders, but limit orders are really typically set to go to market if not filled within a certain time limit (in TS system settings). Thus, you're always going to have some slippage, even if it is not a whole tick per execution. I find that if you don't add these to your system results you are doing yourself a huge disservice. A lesson I have learned is to also look closely at the profit per trade, and if it is too low your system will never work out.

 

Forward testing results: So far, nothing I have tested has worked out with forward testing. The additional parameters besides the B1, B2, S1, S2 like targets / day loss, etc are all on their own additional optimizations that further deteriorate the forward system performance.

 

Intrabar Order Generation: I have found this does not work with limit order systems that buy on for instance Lowest(L, 3). It will always fill you on the low / high tick of the bar in back testing. You will be doing yourself a huge disservice using this in backtesting.

 

That being said, I have learned a lot from Doc in his videos / webinars and he does know a lot about the intricacies of TS and execution. I can thank him for that, but I would never put any real money leasing, buying, or trading the universal.

[bakrob99 11]

It is true that you can set TS to go to the Market after XX seconds if the limit is not filled. But my experience with this has been to have a very high slippage becuase you cannot tell the TS engine to go to market only if the price is At Your Limit Price. If you specify say, 10 seconds... the market can be quite a distance away from your desired entry. So this is not an option for me. Using limit orders, I find that the best trades (furthest in distance and profit) are the ones that tend not to be filled without price penetrating the limit price.

 

Consequently, in backtesting any system you must use market orders at your price to get accurate results and put in one tick of slippage on the RT.

[chameleon 10]

Hi Rob,

 

Just a matter of style. Using something like 3 seconds on a limit order works well for me. Sure I get those cases of slippage that you mention, but on average I get much less than a tick of slippage / RT.

 

-Gary

[mapfler 10]

Someone is trying to work with a Self-Adapting Indicator? What you think about it?

 

Thank you.

[Lynnyhoot 10]

how do you get clone for 8.6 tradestation?

 

i was watch and had to upgrade and cannot run

rhooten@comcast.net

[swansjr 10]

how do you get clone for 8.6 tradestation?

 

i was watch and had to upgrade and cannot run

rhooten@comcast.net

 

I noticed you can download a free trial copy that's good for the month of December. All you have to do is signup for a email newsletter and you can get a copy to try.