[estate1997]

I am on the TS platform and the back testing for the emini is deplorable. You can test at 100% and lose your shirt live. In addition, over night a great strategy will go from 1200.00 profit to 550.00 for two days testing on the weekend with no new data. Go figure.
Just my opinion

[Tams]

Originally Posted by estate1997 »

I am on the TS platform and the back testing for the emini is deplorable. You can test at 100% and lose your shirt live. In addition, over night a great strategy will go from 1200.00 profit to 550.00 for two days testing on the weekend with no new data. Go figure.
Just my opinion

there is a method to everything...

[Uli Schmuli]

Originally Posted by estate1997 »

I am on the TS platform and the back testing for the emini is deplorable. You can test at 100% and lose your shirt live. In addition, over night a great strategy will go from 1200.00 profit to 550.00 for two days testing on the weekend with no new data. Go figure.
Just my opinion

More detail would be helpful if you are interested in learning how to make TS work for you, instead of just complaining about it. Your comment contains no information useful for troubleshooting your issues.

[maxima]

Originally Posted by UrmaBlume »

Maybe in a few years it might catch up to where Trade Station is today but by then Trade Station wont still be where it is today.
.

urma, how TS is in terms of speed and ticks throttling? How would you compare to systems like XTrader and CQG ? would trust TS a system which generates 5k signals a day and the average trade life span is 10s ?

[symmetrics]

what are you on about , ts is the worse. please back up your facts. neoticker , ninja trader both have far superior platforms for testing, implemenation and running algorithms.

TS may have one advantgae better data handling in intraday , thats all

Secondly i think you need to understand the difference between backtesting VS. simualtion really you need to simulate before trading NOt backtest - backtest only proofs your system basics, it doesnt allow for real life trading issues and management as such.

you need to read the specs on each platform and work out what you need to do with your plan.... in my exp TS is the worse for seriosu trading

[estate1997]

Originally Posted by Uli Schmuli »

More detail would be helpful if you are interested in learning how to make TS work for you, instead of just complaining about it. Your comment contains no information useful for troubleshooting your issues.

Uli,
Sorry for the long delay.
My strat uses a Hull MA's with some other filters.
It buys when a Hull MA is lower than another Hull MA which happens to be the low or close to it of the current bar at market.
It will back test from 80 percent to 100 percent win ratio. In real time it gets eaten alive by trailing stops and poor entry points.
Depending on the filters and chart ticks/shares with one contract it shows about 10K to 40K profit per month just on long entries.
As my coding skill improves so do the results in testing but I need something that works live.
As you can see from the following it tests superb but hemorrhages money live.
This is why I have a problem with TS back testing.

TradeStation Performance Summary

All Trades Long Trades Short Trades
Total Net Profit $1,200.20 $1,200.20 $0.00
Gross Profit $1,215.10 $1,215.10 $0.00
Gross Loss ($14.90) ($14.90) $0.00
Profit Factor 81.55 81.55 n/a

Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $0.00 $0.00 $0.00

Select Total Net Profit $1,105.00 $1,105.00 $0.00
Select Gross Profit $1,119.90 $1,119.90 $0.00
Select Gross Loss ($14.90) ($14.90) $0.00
Select Profit Factor 75.16 75.16 n/a

Adjusted Total Net Profit $1,015.15 $1,015.15 $0.00
Adjusted Gross Profit $1,044.95 $1,044.95 $0.00
Adjusted Gross Loss ($29.80) ($29.80) $0.00
Adjusted Profit Factor 35.07 35.07 n/a

Total Number of Trades 52 52 0
Percent Profitable 98.08% 98.08% 0.00%
Winning Trades 51 51 0
Losing Trades 1 1 0
Even Trades 0 0 0

Avg. Trade Net Profit $23.08 $23.08 $0.00
Avg. Winning Trade $23.83 $23.83 $0.00
Avg. Losing Trade ($14.90) ($14.90) $0.00
Ratio Avg. Win:Avg. Loss 1.6 1.6 n/a
Largest Winning Trade $47.60 $47.60 $0.00
Largest Losing Trade ($14.90) ($14.90) $0.00
Largest Winner as % of Gross Profit 3.92% 3.92% n/a
Largest Loser as % of Gross Loss 100.00% 100.00% n/a

Net Profit as % of Largest Loss 8055.03% 8055.03% n/a
Select Net Profit as % of Largest Loss 7416.11% 7416.11% n/a
Adjusted Net Profit as % of Largest Loss 6813.10% 6813.10% n/a

Max. Consecutive Winning Trades 26 26 0
Max. Consecutive Losing Trades 1 1 0
Avg. Bars in Total Trades 1.19 1.19 0
Avg. Bars in Winning Trades 1.18 1.18 0
Avg. Bars in Losing Trades 2 2 0
Avg. Bars in Even Trades 0 0 0

Max. Shares/Contracts Held 1 1 0
Total Shares/Contracts Held 52 52 0
Account Size Required $14.90 $14.90 $0.00
Total Slippage $0.00 $0.00 $0.00
Total Commission $124.80 $124.80 $0.00

Return on Initial Capital 1.20%
Annual Rate of Return 383.09%
Buy & Hold Return 0.81%
Return on Account 8055.03%
Avg. Monthly Return $1,200.20
Std. Deviation of Monthly Return n/a

Return Retracement Ratio n/a
RINA Index 161334.91
Sharpe Ratio n/a
K-Ratio n/a

Trading Period 1 Dy, 3 Hrs, 18 Mins
Percent of Time in the Market 2.20%
Time in the Market 36 Mins
Longest Flat Period 18 Hrs, 2 Mins

Max. Equity Run-up $1,237.70
Date of Max. Equity Run-up 12/24/2009 13:13
Max. Equity Run-up as % of Initial Capital 1.24%

Max. Drawdown (Intra-day Peak to Valley)
Value ($62.50) ($62.50) $0.00
Date 12/23/2009 10:15
as % of Initial Capital 0.06% 0.06% 0.00%
Net Profit as % of Drawdown 1920.32% 1920.32% n/a
Select Net Profit as % of Drawdown 1768.00% 1768.00% n/a
Adjusted Net Profit as % of Drawdown 1624.24% 1624.24% n/a

Max. Drawdown (Trade Close to Trade Close)
Value ($14.90) ($14.90) $0.00
Date 12/23/2009 13:08
as % of Initial Capital 0.01% 0.01% 0.00%
Net Profit as % of Drawdown 8055.03% 8055.03% n/a
Select Net Profit as % of Drawdown 7416.11% 7416.11% n/a
Adjusted Net Profit as % of Drawdown 6813.10% 6813.10% n/a

Max. Trade Drawdown ($12.50) ($12.50) $0.00



All Trades

Total Net Profit $1,200.20 Profit Factor 81.55
Gross Profit $1,215.10 Gross Loss ($14.90)

Roll Over Credit $0.00
Open Position Profit/Loss $0.00

Select Total Net Profit $1,105.00 Select Profit Factor 75.16
Select Gross Profit $1,119.90 Select Gross Loss ($14.90)

Adjusted Total Net Profit $1,015.15 Adjusted Profit Factor 35.07
Adjusted Gross Profit $1,044.95 Adjusted Gross Loss ($29.80)

Total Number of Trades 52 Percent Profitable 98.08%
Winning Trades 51 Losing Trades 1
Even Trades 0

Avg. Trade Net Profit $23.08 Ratio Avg. Win:Avg. Loss 1.6
Avg. Winning Trade $23.83 Avg. Losing Trade ($14.90)
Largest Winning Trade $47.60 Largest Losing Trade ($14.90)
Largest Winner as % of Gross Profit 3.92% Largest Loser as % of Gross Loss 100.00%

Net Profit as % of Largest Loss 8055.03%
Slct. Net Profit as % of Largest Loss 7416.11% Adj. Net Profit as % of Largest Loss 6813.10%

Max. Consecutive Winning Trades 26 Max. Consecutive Losing Trades 1
Avg. Bars in Winning Trades 1.18 Avg. Bars in Losing Trades 2
Avg. Bars in Total Trades 1.19

Max. Shares/Contracts Held 1 Account Size Required $14.90
Total Commission $124.80 Total Slippage $0.00

Return on Initial Capital 1.20% Annual Rate of Return 383.09%
Buy and Hold Return 0.81% Return on Account 8055.03%
Avg. Monthly Return $1,200.20 Std. Deviation of Monthly Return n/a

Return Retracement Ratio n/a RINA Index 161334.91
Sharpe Ratio n/a K-Ratio n/a

Trading Period 1 Dy, 3 Hrs, 18 Mins Percent of Time in the Market 2.20%
Time in the Market 36 Mins Longest Flat Period 18 Hrs, 2 Mins

Max. Equity Run-up $1,237.70
Date of Max. E. Run-up 12/24/2009 13:13 Max. E. Run-up as % of Initial Capital 1.24%

Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to Trade Close)
Value ($62.50) Value ($14.90)
Date 12/23/2009 10:15 Date 12/23/2009 13:08
as % of Initial Capital 0.06% as % of Initial Capital 0.01%
Net Profit as % of Drawdown 1920.32% Net Profit as % of Drawdown 8055.03%
Slct. Net Profit as % of Drawdown 1768.00% Slct. Net Profit as % of Drawdown 7416.11%
Adj. Net Prof as % of Drawdown 1624.24% Adj. Net Profit as % of Drawdown 6813.10%

Max. Trade Drawdown ($12.50)

Long Trades

Total Net Profit $1,200.20 Profit Factor 81.55
Gross Profit $1,215.10 Gross Loss ($14.90)

Roll Over Credit $0.00
Open Position Profit/Loss $0.00

Select Total Net Profit $1,105.00 Select Profit Factor 75.16
Select Gross Profit $1,119.90 Select Gross Loss ($14.90)

Adjusted Total Net Profit $1,015.15 Adjusted Profit Factor 35.07
Adjusted Gross Profit $1,044.95 Adjusted Gross Loss ($29.80)

Total Number of Trades 52 Percent Profitable 98.08%
Winning Trades 51 Losing Trades 1
Even Trades 0

Avg. Trade Net Profit $23.08 Ratio Avg. Win:Avg. Loss 1.6
Avg. Winning Trade $23.83 Avg. Losing Trade ($14.90)
Largest Winning Trade $47.60 Largest Losing Trade ($14.90)
Largest Winner as % of Gross Profit 3.92% Largest Loser as % of Gross Loss 100.00%

Max. Consecutive Winning Trades 26 Max. Consecutive Losing Trades 1
Avg. Bars in Winning Trades 1.18 Avg. Bars in Losing Trades 2
Avg. Bars in Total Trades 1.19

Max. Shares/Contracts Held 1 Account Size Required $14.90
Total Commission $124.80 Total Slippage $0.00

Net Profit as % of Largest Loss 8055.03%
Slct. Net Profit as % of Largest Loss 7416.11% Adj. Net Profit as % of Largest Loss 6813.10%

Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to Trade Close)
Value ($62.50) Value ($14.90)
as % of Initial Capital 0.06% as % of Initial Capital 0.01%
Net Profit as % of Drawdown 1920.32% Net Profit as % of Drawdown 8055.03%
Slct. Net Profit as % of Drawdown 1768.00% Slct. Net Profit as % of Drawdown 7416.11%
Adj. Net Prof as % of Drawdown 1624.24% Adj. Net Profit as % of Drawdown 7416.11%

Max. Trade Drawdown ($12.50)

[Uli Schmuli]

Estate1997

Where do I begin? First of all, a couple very important things:

1. Your backtest period is only a little over a day of data
2. Backtesting should always account for slippage, you have none

What market are you trading?
What type of charts are you using? Tick, time, momentum, range?
What chart intervals?
Do you understand the difference between optimization and curve-fitting?

[maxima]

every person in the world tried MA crossover system when 5 yo.... Why do you think not all of them are rich?

What a joke. Try horses betting.