Evaluation of a new Strategy

Thanks for the add! I am new to most of this, except for coding and mathematics. I recently got interested in trading and wrote a Strategy. I would like help evaluating this strategy as I streamline and perfect it. Pretty much looking for information that will tell me if what I have written is decent, average, or cutting edge. I'm sure it's not the latter... lol
  1. What is an average or above average profitable/successful trade ratio based on the better strategies shared on this site?
  2. What are some of the highest percent gains obtained with a backtesting strategy in TOS to date? (Interested in averages over multiple stocks over longer periods of time) Obviously if shorted NFLX last week could have an impressive two day gain....
  3. The native strategies that are installed on TOS, are they considered average?
 
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codydog

Active member
@Marko--dont get your reference, re 'math teacher'

@FL_Mech--Don't be scared of trading, your commiss costs are/should be minimal and limiting to x trades / day may be a mistake. I'd consider limiting trades if you get x trades / day as losers or lose x dollars in a day. You may want to consider googling the Virtu IPO and see what they do as an example.
 

skynetgen

Well-known member
AGREED! That is what prompted this thread in first place, WAY too good to be true. I started trading it yesterday in papermoney ln a slow aggregation, shorted ACM. As soon as ACM bottoms out I will trade it on the bull run with real money.

Paper trading is excellent ways to test ! Tos paper trading is excellent and in almost every way identical to real trading - if you can replicate your strategy with paper execution , thats a very good sign that your approach is indeed working. And without risking real$$$
 

codydog

Active member
I honestly don't mean to annoy anyone or cause unhappiness by my comments, but I am astounded by how many people spend days/weeks/months working on ideas and codes and then say, this looks too good, I'm not trading it.

The other issue no one talks about in tos strat testing, is how big a stop loss people will accept in paper a/cs, and how little they accept in funded a/cs.
 

skynetgen

Well-known member
I honestly don't mean to annoy anyone or cause unhappiness by my comments, but I am astounded by how many people spend days/weeks/months working on ideas and codes and then say, this looks too good, I'm not trading it.
Thing is - running tos strat P&L graph is not backtest. You cant actually trade it . Just looks at the post above by MC yeah it shows positive P&L however a lot of orders are made on same minute. its not tradeable by human and its not tradeable by machine either (because fills will be quite different). Add commission cost and its turns into complete imaginary numbers divorced from any sort of possible real performance.
Not saying its not possible to create profitable strat, but there is a lot more nuance. And #1 is imho execution - can that strat be actually executed? consistently?

Another thing is - give me a trending stock and I can give you strat which will give you 90% profitable trades with amazing returns. The trick is you dont know when and which stock will be trending. Look at roku, coup, crwd any of recent high flyers. - strats which work during markup period stops working during chop/markdown.
 
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markos

Well-known member
VIP
I honestly don't mean to annoy anyone or cause unhappiness by my comments, but I am astounded by how many people spend days/weeks/months working on ideas and codes and then say, this looks too good, I'm not trading it.

The other issue no one talks about in tos strat testing, is how big a stop loss people will accept in paper a/cs, and how little they accept in funded a/cs.
@codydog everybody comes to the party with different styles, points of view, fear & greed issues, FOMO, etc. Things that once astounded me now get little reaction. After a while, you just see how truly varied peoples thought process is!
 

markos

Well-known member
VIP
@Marko--dont get your reference, re 'math teacher'

@FL_Mech--Don't be scared of trading, your commiss costs are/should be minimal and limiting to x trades / day may be a mistake. I'd consider limiting trades if you get x trades / day as losers or lose x dollars in a day. You may want to consider googling the Virtu IPO and see what they do as an example.
@codydog np, the Math Teacher was in reference to the smartest man in TSL.... Just an off the cuff comment, you may not be the person I was thinking of. This site is world wide in membership. Welcome, just the same. we're glad you're here!:)
 

codydog

Active member
@skynetgen - I should expand my thought - if you're willing to stipulate that trading and related activities is a money-making endeavor, then folks who work on ideas/codes etc and then walk away are assigning a zero dollar/hour value to their time. I know folks who spend 100s of hours chasing ideas and then won't risk a few $Gs to test it out - when I point out that assigning a low $20/hour cost to their time implies they already spent > $2000 minimum and , they get all huffy. Unless its all an academic thing, then index funds are the way to go.

Adding some some basic filters like squeeze or zscore > 1 eliminates many junk trades,so, most strats become tradable.

@markos - yeah, I'm prob the guy you think I am , I'm guessing I know you as well

imo, we need to setup a library of sorts as so many questions in tsl are folks who mean well, but are clueless about market structure - sad! When I suggested it in the other lounge, it had a zipo response, oh well...lol
 

skynetgen

Well-known member
@skynetgen - I should expand my thought - if you're willing to stipulate that trading and related activities is a money-making endeavor, then folks who work on ideas/codes etc and then walk away are assigning a zero dollar/hour value to their time. I know folks who spend 100s of hours chasing ideas and then won't risk a few $Gs to test it out - when I point out that assigning a low $20/hour cost to their time implies they already spent > $2000 minimum and , they get all huffy. Unless its all an academic thing, then index funds are the way to go.

Adding some some basic filters like squeeze or zscore > 1 eliminates many junk trades,so, most strats become tradable.
Hmm maybe. If you assume you have to get x return per x amount of time. Speculation game is not easy and to become good at it one needs spend lets say 10000 hours. that is ~3 years of 60h/ week. Not really much different than become professional musician, writer, actor, athlete or anything else which has high skill cap, and a lot of competition. Add a low barrier to entry and uneven state of game (other side has basically unlimited capital , man and computing power) and it becomes even more reasonable that the path to becoming consistently profitable would take a lot more than spending a few weeks/months on a strat. Throwing real $$$ at it will not make it magically profitable (executing promising strat in paper though is good)
There is a lot more to the game. If you want quick returns - getting a coder job is a lot faster ( you can become decent coder in 3-12 months if you have some base).
 
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markos

Well-known member
VIP
@skynetgen - I should expand my thought.........

@markos - yeah, I'm prob the guy you think I am , I'm guessing I know you as well

imo, we need to setup a library of sorts as so many questions in tsl are folks who mean well, but are clueless about market structure - sad! When I suggested it in the other lounge, it had a zipo response, oh well...lol
I quite agree about knowledge of market structure and markets themselves. It's unfortunately the human condition.
TDA/TOS has over 9 million accounts and are the worlds largest retail options brokerage.
So many people chasing a dream but just don't know where to start. They go to google and here some of them are.
At least tsl as well as this site has JQ's OneNote. Here, it's called the Universe of Thinkscript. We kept the name when someone sent it here from JohnnyQuotrons my trade page.
btw, you'll find that sarcasm doesn't work here. It doesn't translate well with members in Singapore, Spain, Hobokken NJ, etc. ;)
 

codydog

Active member
@skynet - We agree and disagree. We agree it takes 2-3 years to become a very junior trader and a string of losses as well. 70% of retail loses money trading, 20% break even, 10% make something, fewer, make a living. Part of the issue, is most of us are conditioned from an early age, that if you do x + y, you get z - in trading that's simply not true and results in lots of myths. For many, realizing that trading isnt for them will save lots of aggravation (and bigger losses), that's why i say losing some money is the best teacher. For me, being an active trader is akin to being an ER doc - you have a set of skills, some tools but have no idea what happens in the next hour - but you have to be prepared and ready to act.

@markos- JQs archive is great but folks go looking for a magic wand there without knowing the world evolves and many of those tools are as archaic as a horse and buggy.

Funny, but I lived in Hong Kong for 3 years, they got my sarcasm - never lived in NJ though. Apologies to anyone who I offended.
 

markos

Well-known member
VIP
@skynet - We agree and disagree. We agree it takes 2-3 years to become a very junior trader and a string of losses as well. 70% of retail loses money trading, 20% break even, 10% make something, fewer, make a living. Part of the issue, is most of us are conditioned from an early age, that if you do x + y, you get z - in trading that's simply not true and results in lots of myths. For many, realizing that trading isnt for them will save lots of aggravation (and bigger losses), that's why i say losing some money is the best teacher. For me, being an active trader is akin to being an ER doc - you have a set of skills, some tools but have no idea what happens in the next hour - but you have to be prepared and ready to act.

@markos- JQs archive is great but folks go looking for a magic wand there without knowing the world evolves and many of those tools are as archaic as a horse and buggy.

Funny, but I lived in Hong Kong for 3 years, they got my sarcasm - never lived in NJ though. Apologies to anyone who I offended.
@codydog Excellent Analogy!
"For me, being an active trader is akin to being an ER doc - you have a set of skills, some tools but have no idea what happens in the next hour - but you have to be prepared and ready to act."
 

mc01439

Well-known member
2019 Donor
VIP
I am one that it took over two decades before I could make a living trading. Have been trading for a living now for the past 10+ years and still learn everyday. This is a craft that is a life-time practice.

I like people like @markos because the post seem to be wisdom from years of learning.
 

markos

Well-known member
VIP
@mc01439 Years upon years of learning, failing, and learning how to fail less often because that's the 3rd certainty besides Death & Taxes.
After a long while, in my case, I learned how to let winners run. That turned things around. That was before Marketsmith, when it was Daily Graphs that came in the mail and there was no computer for making purty lookin' indicators. I learned that price is the ultimate indicator.
 

YungTraderFromMontana

Well-known member
I'm still working out the details, but in due time. I looked into the Zig Zag indicator and this does not use pivot highs or pivot lows to trigger buy sell. I will go see if I can zoom in and show it triggering one before a pivot. I took a popular momentum indicator and used a common geometry formula to trigger one portion of the condition, the other portion is simply some logic to make sure price is larger than Entryprice() (or smaller on the short) so you may see it hold a stock for a while with no activity. And there is some stop loss functionality although right now it's still getting some pretty large magnitude losses.
I've never tried using geometric formulas in indicators, what are you using and how are you using this geometry. I'm just curious.
 
Update: After a bit more research, I have discovered that what I have created is not entirely new. It is a variation of the Linear Regression Slope Strategy at its core which has been studied by at least one trading company. (See link below)
Being new, I was unaware of this although in my defense there is not just a ton of information about it. It's not included in TOS default strategies for example.
I did start trading real money with this strategy and so far it's been good. Three profitable trades and one stop out that would have been profitable had I had the trailing stop set a bit more loosely.
I have since integrated another indicator into my code so the current setup uses the Positive Volume Index being above or below the moving annual average to identify a bull or bear trend. During a bull trend it uses LRSS at full trade size and during a bear trend I'm trading a reduced number of shares to reduce risk. (I'm only trading long trades at this time am not shorting anything) this strategy (according to backtesting) does seem to make profitable trades regardless of whether the instrument is in a bear or bull trend but obviously going long on the retracts of a bear trend is risky. My idea is that this will focus larger percentage of portfolio on the instruments that are in a bull trend.
Previously this functionality was achieved with price crossing below the moving 20 when the moving 20 is greater than the moving 50, but the PVI accomplishes the same thing with much less code.

Has anyone on here used the Linear Regression Slope strategy before? Any pitfalls that you are aware of?

https://oxfordstrat.com/trading-strategies/linear-regression/
 
@Marko--dont get your reference, re 'math teacher'

@FL_Mech--Don't be scared of trading, your commiss costs are/should be minimal and limiting to x trades / day may be a mistake. I'd consider limiting trades if you get x trades / day as losers or lose x dollars in a day. You may want to consider googling the Virtu IPO and see what they do as an example.
They will definitely be low now, what perfect timing for the brokers to eliminate commission fees! I went live with real money a week ago. (Held off Thursday and Friday though due to the China talks)
 

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