Expanding data set & counter-trend
Posted: Mon Feb 16, 2009 1:51 am
Hi All,
Thanks for your input towards my decision on whether to take 3rd party simulation software or continue along the path of building my own. I have taken a license on TradingBLOX Pro and have spent a week or so familiarising myself with it. I am really pleased to make the jump from primarily coding to testing.
I have a couple of questions and wonder whether you might add any relevant experience you have.
Firstly on data; I have tested out some different system parameter sets on a couple of the built-in systems and the results seem ok to me. I optimised them on 10 years and then tried it on the last year & two subsequent out of sample years. The results were still ok. Now I want to add in some new data to get a feel for whether the system has real historical merit.
I bought some data from CRB a while back and intend to import that once I have it in the right format. At the moment, the data is in individual futures contracts and so I need to aggregate it to get a single time series. If I just paste it together, then the new data will have jumps where the contract rolls over. So I am making an adjustment at the roll point to bring all subsequent data in line with the current data levels thus removing the jumps the roll points. This seems like a logical approach to me though I have come across some flaws. I notice with some of the data sets I actually end up with negative values through some periods. I am pondering making a linear shift upwards in prices in order to get all positive prices. I know that doing so will affect some of the trades but this seems to me to be the least damaging way of keeping the contract in the simulation. Does anyone have comments on any of what I am doing above?
My second question is regarding counter-trend systems. I found it fairly easy to find some parameters that worked well for trend-following. I have come from a non-technical market trading background but have long held in the back of my mind that a counter-trend system might be a viable, profitable trading system. However, I spent an afternoon tinkering with the variables in the Bollinger Counter-Trend system on the given data set but I struggled to squeeze the best historically performing system I found into positive CAGR. Have others had the same experience as this was quite a surpise to me?
I look forward to your input.
Regards
Steve
Thanks for your input towards my decision on whether to take 3rd party simulation software or continue along the path of building my own. I have taken a license on TradingBLOX Pro and have spent a week or so familiarising myself with it. I am really pleased to make the jump from primarily coding to testing.
I have a couple of questions and wonder whether you might add any relevant experience you have.
Firstly on data; I have tested out some different system parameter sets on a couple of the built-in systems and the results seem ok to me. I optimised them on 10 years and then tried it on the last year & two subsequent out of sample years. The results were still ok. Now I want to add in some new data to get a feel for whether the system has real historical merit.
I bought some data from CRB a while back and intend to import that once I have it in the right format. At the moment, the data is in individual futures contracts and so I need to aggregate it to get a single time series. If I just paste it together, then the new data will have jumps where the contract rolls over. So I am making an adjustment at the roll point to bring all subsequent data in line with the current data levels thus removing the jumps the roll points. This seems like a logical approach to me though I have come across some flaws. I notice with some of the data sets I actually end up with negative values through some periods. I am pondering making a linear shift upwards in prices in order to get all positive prices. I know that doing so will affect some of the trades but this seems to me to be the least damaging way of keeping the contract in the simulation. Does anyone have comments on any of what I am doing above?
My second question is regarding counter-trend systems. I found it fairly easy to find some parameters that worked well for trend-following. I have come from a non-technical market trading background but have long held in the back of my mind that a counter-trend system might be a viable, profitable trading system. However, I spent an afternoon tinkering with the variables in the Bollinger Counter-Trend system on the given data set but I struggled to squeeze the best historically performing system I found into positive CAGR. Have others had the same experience as this was quite a surpise to me?
I look forward to your input.
Regards
Steve