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I bet 100 USD that your tool is not working :-) Why? BACKtesting is not comparable to real market scenarios. What you should do before going live, is a so ca

I bet 100 USD that your tool is not working :-) Why? BACKtesting is not comparable to real market scenarios. What you should do before going live, is a so call Walk-Forward-Test - if this version shows your profits, then launch.

tourist2d 2y ago
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nurettin 2y ago
Walk-forward is just back testing with out of sample periods where your parameters are constant. You can emulate it with a backtester by reducing parameter space to one in those periods.
- ta12653421 2y ago
  OK, i will give you 1000 USD if you deliver an algorithm that delivers similar returns for the same asset class / same timeframe with back-testing and second run with walk-forward-testing :-))
  - nurettin 2y ago
    I don't think you understand the explanation. It isn't the same timeframe. Months 1-6 backtest and optimize. Months 7-8 backtest, no optimization. Use best parameters from 1-6. Months 3-8 backtest and optimize. Months 9-11 backtest, no optimization. Use best parameters from 3-8. Walk forward with only backtest.
    - ta12653421 2y ago
      Looks like we are talking about two different things. What you describe is not a walk-forward-test which adds data continuously on a given frequency, like daily (or hour or whatever)
      - deleted 2y ago
        [deleted]
      - nurettin 2y ago
        What you described sounds like just forward testing. You do this for a few weeks to make sure that live trading will match backtests. See the docs for walk forward optimization here https://help.tradestation.com/09_01/tswfo/topics/about_wfo.htm https://help.tradestation.com/09_01/tswfo/topics/about_wfo.h...
        ta12653421 2y ago
        Mh, interesting: i was told this is called "walk forward testing" - nontheless: thanks for clarification! Exactly what you describe is what we are doing: Since in backtesting, our algo works more than perfect - if we switch to "live-data-scenario", meaning adding data bar by bar (per timeframe), the system behaves differently and the results are a little bit worse. Therefore my sentence above: During intensive testing we found out that most of those strategies fail (nearly completely) in real-world-market-scenarios. Tradestation: We have built our own app, we are aware of these "of-the-shelf" solutions, but they are fairly limited regarding what we are doing.
RayVR 2y ago
this is not a trading strategy. This is a tool that supports simulated execution for strategies. The strategies are left for users of the tool to implement. I have no idea if this code works or if the features listed are finished but if done well it’s a useful baseline for anyone interested in algorithmic trading.

tourist2d 2y ago

[dead]

nurettin 2y ago

Walk-forward is just back testing with out of sample periods where your parameters are constant. You can emulate it with a backtester by reducing parameter space to one in those periods.

ta12653421 2y ago
OK, i will give you 1000 USD if you deliver an algorithm that delivers similar returns for the same asset class / same timeframe with back-testing and second run with walk-forward-testing :-))
- nurettin 2y ago
  I don't think you understand the explanation. It isn't the same timeframe. Months 1-6 backtest and optimize. Months 7-8 backtest, no optimization. Use best parameters from 1-6. Months 3-8 backtest and optimize. Months 9-11 backtest, no optimization. Use best parameters from 3-8. Walk forward with only backtest.
  - ta12653421 2y ago
    Looks like we are talking about two different things. What you describe is not a walk-forward-test which adds data continuously on a given frequency, like daily (or hour or whatever)
    - deleted 2y ago
      [deleted]
    - nurettin 2y ago
      What you described sounds like just forward testing. You do this for a few weeks to make sure that live trading will match backtests. See the docs for walk forward optimization here https://help.tradestation.com/09_01/tswfo/topics/about_wfo.htm https://help.tradestation.com/09_01/tswfo/topics/about_wfo.h...
      - ta12653421 2y ago
        Mh, interesting: i was told this is called "walk forward testing" - nontheless: thanks for clarification! Exactly what you describe is what we are doing: Since in backtesting, our algo works more than perfect - if we switch to "live-data-scenario", meaning adding data bar by bar (per timeframe), the system behaves differently and the results are a little bit worse. Therefore my sentence above: During intensive testing we found out that most of those strategies fail (nearly completely) in real-world-market-scenarios. Tradestation: We have built our own app, we are aware of these "of-the-shelf" solutions, but they are fairly limited regarding what we are doing.

RayVR 2y ago

this is not a trading strategy. This is a tool that supports simulated execution for strategies. The strategies are left for users of the tool to implement. I have no idea if this code works or if the features listed are finished but if done well it’s a useful baseline for anyone interested in algorithmic trading.