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No argument here with the timeworn adage as to what matters. But just imagine that you’d been in this particular strategy for the past 25 years starting with a 50k initial balance. (Yes, the figures at the top left are Billions–with a “B”). Strategy typically generates no more than one trade per day, if it trades at all. Trades are normally entered just after the open–either a buy or a sell of a highly liquid security. Entry lags ought not to be an issue. The strategy can readily be adapted to trade stocks or ETFs–including leveraged ETFs–as well as futures.
I’ve been trading this strategy recently in a demo account with unimaginable success (up more than 10k in the last three sessions alone, after neatly side-stepping the recent market drop), and am going live with it Monday using real money, initially trading 1 to 2 ES contracts in a 50k account, with all trades automated and without human (or goat) intervention. Once I’m comfortable with it, I will consider making it available via C2 for interested parties.
True that, Sean! I have no expectation of overnight riches. All I can say is that the strategy seems robust irrespective of periodicity or of the time span over which it’s been backtested. But then, Tradingview’s backtests are always suspect. Time will tell.
Not surprised that the strategy has “issues”; in particular, the strategy tester makes ex post facto adjustments to trade exits. That is, a mid-morning exit at value “x” may be overwritten by end of day but a more favorable exit at a later point in time, vastly overstating the returns realized.
That’s unfortunate. I hate that feeling myself. How much do you think it was overstating the returns? I’ve found that virtually every time I run a backtest with 50% plus returns - regardless of the software - I eventually find some item like that erroneously overstating the returns if I dig deep enough.
Look, over the years, I’ve backtested more systems than I can count, and let me tell you, they all look like winners at first! But here’s the reality: a lot of them don’t hold up when you start trading them live. Why? Because backtesting is great for giving you an idea, but the real test—the only test—is forward testing. You’ve got to run it in real market conditions, or you’ll never know if it truly has what it takes!
It’s disconcerting that Tradingview’s backtester can be proven, at least in the circumstance above, to have made multiple retroactive [“prospective” might be a more descriptive term] “adjustments” of the most recent and supposedly “closed” trade. But that’s how it is. We move on.
As promised above, I’ve have indeed gone back to the drawing board and have come up with the strategy illustrated below, which I think you’ll agree looks promising. Happily, in this instance I am in possession of all of the underlying code–not the case in the earlier example. Play-money test of this new strategy is in progress at this time. Trades on the chart match those auto-traded in the demo account in every particular.
Thanks for the update, @Old_Goat . I understand the issue better now. I have seen that happen, both in live trading and in backtesting results, in all manner of backtesting software. I can’t be sure of the origins of your particular issue, but for me it has taken place when there was a revision in the data feed I was using to develop my trade signals. When trading live and generating signals from very recent (current) data, there is always a risk that there are mistakes in the data, and bad data can generate false signals… signals that are modified in later runs with revised data. So in my own backtesting and trading, I’ve seen trades just like the one you highlight, where on 9-24 a strategy got an “Exit Long” signal and closed at 5721.31, but in later backtesting with revised data (even if only revised by pennies! if a signal threshold was breached) the strategy didn’t get an “Exit Long” signal until the next day at 5735.74. High quality input data is so important!
Here’s an update on my drawing-board project. It is, frankly, proving to be a Thing of Beauty! It totally nailed the overnight ramp and the morning retracement–all on its own without human (or goat) intervention. I’ve just now gone live with real money.
p.s. Please disregard the multiple entry signals; they are only a cosmetic nuisance, resulting from the discarding of potential entries in the opposite direction which lacked sufficient follow-through momentum. The first order in any given direction is the only one actually passed on by TradersPost to Tradestation.
