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AmCan1

Backtest Results

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This seemed like an appropriate place to begin a thread for traders to share their backtest results. I've been reading up and learning some about this program, UTA. Obviously this is a piece of software that requires some dedication to use. Since I am a believer in going through past history and backtesting by hand, I think I would like to give the UTA a try. As soon as I get a copy I'd be very happy to share my results. I see that tjnoon has been showing his currency futures results which is great. I think it would be very productive and positive to see results from other markets too. Hopefully other UTA users will find this thread and share what they are getting.

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I'll begin by sharing some of my work over the past few days. I have been going through the YM (dow emini) with a new trade idea that I have. I spent a few hours over the past couple days backtesting my idea to see if it might hold up. Granted, I have a lot more work to do but I did manage to backtest over 100 trades, May 3rd thru May 12th. The results we quite encouraging and I think I will meticulously go through the remaining sessions up through the current date, although I might no finish for a few days. I can't sit all day and do this type of work without going stir crazy so I try to do it little by little. Anyway, as I mentioned, the results look good so far. I don't have the UTA yet but I do use my own spreadsheet that can at least give me some basic details.

 

So far I have looked at and entered 103 trades. 65 were winners and 38 were losers which is a 63% winning perecentage. That's not too bad. I believe just by scanning the charts that this will either hold up or improve as I record more trades. My idea would have worked nicely during this brief time period which is very encouraging. The 103 trades would have made 337 points. Positive is good, right? ;)

 

The idea I am testing uses a 377 tick chart and relies on two types of trades. A breakout trade and a reversal trade. Sometimes I have to stop out and then reverse into the opposite direction and I am finding that when a reversal trade fails, the opposite direction trade tends to win a lot. I am hoping to track this kind of trade more thoroughly and if I understand correctly the UTA would be good for that. Is that right? Is anyone else trading the Dow emini or backtesting it? How is it going for you and what kind of results are you getting?

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Hey AmCan1. Thanks for starting this thread. You read my mind. Your YM results look good to me too. To answer your question, the UTA would be perfect for exactly what you are talking about. You would do the same work you are doing anyway, and get a wealth of valuable information back. Not only would you get the standard stats that are important like profit factor and expecancy, but you would also get very useful graphics that tell the story in a whole different way. An equity curve or trade distribution histogram can tell you a lot, just at a glance. Also, being able to take your trade data and apply a money management plan can be very eye opening. If you saw my BP and EC posts you would see how the exact same trades would have performed if applying a fixed fractional money mgt idea to them. Hard to do that manually. The UTA has it built in as one of its features.

 

I've been looking at the YM too, only on a slightly faster time frame. I'm currently backtesting a few different markets though so I don't yet have anything useful to contribute. As you know, it is a time consuming process and like you, I have to do it incrementally. Baby steps add up to a lot of progress if you just stay with it. You don't have to build the city in one day.. lol

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Hey no problem, TJ. I'm surprised actually that this thread/forum hasn't attracted more interest. Eventually it will I think. This is one of the best pathways to success, manually backtesting. It is so time consuming though that it makes sense to have a forum where traders can exchange their results with one another. You said you use a faster timeframe with the Dow emini. Can I ask what chart you like?

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I'll begin by sharing some of my work over the past few days. I have been going through the YM (dow emini) with a new trade idea that I have. I spent a few hours over the past couple days backtesting my idea to see if it might hold up. Granted, I have a lot more work to do but I did manage to backtest over 100 trades, May 3rd thru May 12th. The results we quite encouraging and I think I will meticulously go through the remaining sessions up through the current date, although I might no finish for a few days. I can't sit all day and do this type of work without going stir crazy so I try to do it little by little. Anyway, as I mentioned, the results look good so far. I don't have the UTA yet but I do use my own spreadsheet that can at least give me some basic details.

 

So far I have looked at and entered 103 trades. 65 were winners and 38 were losers which is a 63% winning perecentage. That's not too bad. I believe just by scanning the charts that this will either hold up or improve as I record more trades. My idea would have worked nicely during this brief time period which is very encouraging. The 103 trades would have made 337 points. Positive is good, right? ;)

 

The idea I am testing uses a 377 tick chart and relies on two types of trades. A breakout trade and a reversal trade. Sometimes I have to stop out and then reverse into the opposite direction and I am finding that when a reversal trade fails, the opposite direction trade tends to win a lot. I am hoping to track this kind of trade more thoroughly and if I understand correctly the UTA would be good for that. Is that right? Is anyone else trading the Dow emini or backtesting it? How is it going for you and what kind of results are you getting?

 

As I put in another post, when I brainstorm and think of a possible system/strategy to backtest I immediately go to February and March and test these two months first and see how it worked during lower volatility periods. :2c:

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Mark, I just replied to your other post in the TF section and I think you offer great advice. I too try to find what looks to me to be a rough period to trade. I want to see how my system will bounce back. I started a week on the Euro futures for example where I think it lost 80% of its trades before ultimately climbing and stabilizing at around trade number 100 ish, with a nice winning percentage in the mid to high 60's. It was a bumpy road getting there and only with a clear picture of my backtest data was I able to see that this system fought hard to come up to a reasonable level of performance. That's why we started this forum. To share and talk about backtest or real trade data.

 

As to your point, I use tick data and I had to dump my data folder when it somehow got corrupted. I had neglected to back it up at the time, :crap:.. Now I can't go back and get Feb and March from Tradestation. But your point is well taken and I fully agree that you want to take the closest look as possible at the toughest trade periods. Still though, I have nearly 1000 trades on the TF, with 2009 and the most current last few months so I feel pretty good about the way its going so far.

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