(04-09-2018, 10:17 AM)tommiehansen Wrote: If you would have read the thread you would have seen that several attempts at stoplosses has already been made. None have been successful
and this for quite obvious reasons if one would care to understand the underlying code. There are however versions with stoplosses floating around, feel free to download those or even better -- contribute by adding it yourself.
Yes, I did read the whole thread. That's why I said what I did. I saw that you had tested and rejected stop losses.
I'm trying to suggest that better metrics for testing and scoring results may be helpful.
Most importantly, I think the 'Simulated Profit' number is leading you astray. It creates a level of excitement and a view of the results that is dangerous and counter-productive.
Let's say you back-test using a year's worth of historical data. And you fine-tune until you have a nice large 'Profit' showing. If you start trading live, and the market perfectly repeats itself you're going to be laughing all the way to the bank! But that's simply never going to happen.
There are so many ways of looking at this. Consider the big chart view of the whole year. That's the best information we have, okay. But what about those sections of that year that your system didn't handle very well? What if that's what the market hands you when you first start trading live? (Assuming the future actually mirrors the past in some way.)
What if the market repeats several of your back-test's worst weeks in a row? Will you still have an account to trade? Or will you lose everything?
Optimizing for a large period of time and ignoring strings of draw-downs within it because the final 'Profit' is as big as you can get it is probably not a very good idea.
If we're lucky the market will replay some of the days or weeks from our historical data. Maybe not. But if we ignore or downplay some of those periods, assuming or hoping they won't bite us at the wrong time is probably not a good idea.
Trading, like running a profitable casino, is a probability game. You try to keep the numbers in your favor. And manage your risk according to your assets.
If you have a large draw-down at the wrong time it could potentially knock you out of the game entirely. Or at least make your eventual success much more difficult.
I don't know the best way to do this. But looking carefully at the worst weeks or months in your year of backtesting seems very important. Unless you're feeling lucky. :-(
This is just one way of looking at the problem. There are many others.
Trading without a stop-loss, especially in automated trading, seems too much like wishing upon a star.
That's my opinion, which I'm sharing with you because I appreciate your point of view and I want you to do well.
A classical stop-loss is one of many ways to control your losses. My intent was to draw attention to those losses more than to suggest a specific solution.
Should I actually come up with a strategy that seems viable I will share it. I've written automated trading systems in the past and managed to break even, which isn't nearly good enough. I made mistakes. I'm trying to learn from them.
Your strategies seem close to perfect. They seem workable in every market you can apply them to. It's the tuning that may need some adjusting. It's a tricky endeavor maximizing profits and minimizing losses in a future market that's bound to be different from the past. There is no guarantee of success. At least not without access to a time machine. :-) (Anyone have data for 2019?)
Thanks very much for your efforts.
Richard
