My Journey In Technical Analysis

[XRAY27]

Hi Xray Sir
I have read the whole thread once again.Though I have read your thread regularly as soon as you posted.But this time I have read it again post by post & took notes.Its really a great stuff on MM,System making & risk management.Thanks a lot for this wonderful thread & a great stuff on trading aspects which we generally ignore.Its helpful to give me so many ideas on make my system rule based.
I have some query.I am doing backtesting.I have some query.
a) How many years data/ period is sufficient for intraday trading system? I.e. how much sample do we need to check that our system will work on every market condition?
b) How will I check effect of slippage on my system.I can check all parameters which you mentioned..i.e luck factor etc .But how to count slipage?
c) Shall I check all ratios & parameters on total result of each month or For total period of data.Lets us say, I am checking 5 year of data..so should I check luck factor for whole 5 years or shall I check it for every month?
I will put some more question as more testing will go on.Please bear with me
Thanks
P.S. I tried to Pm you But couldnt get through, even I am not able to see your profile.

Busy for while NT sir !!! below are answers !! all answers are on basis's of NF and BNF

Ans for a

There is n0 specific Answer for how many years data is needed for back testing... it can be 5 years to 10 years ...what you want from back test is core point,large sample size is tested to know performance over n number of trades, since mechanical system strike rate is low..we check on large sample size,there is no system which will work for every market condition as per limited knowledge


Ans for b

Slippage is one of main factor for trading ,if instrument is liquid say NF or BNF... it will range from 8 to 32 points depending on quantity you trade...if you know depth based trading (Old way of trading in AP) or OFA mechanics you can observe your self can get to reasonable conclusion on slippage

Ans for c

Go for ratios for series wise ,back test should be on series data not on continue data..

 

[niftytaurus]

Busy for while NT sir !!! below are answers !! all answers are on basis's of NF and BNF

Ans for a

There is n0 specific Answer for how many years data is needed for back testing... it can be 5 years to 10 years ...what you want from back test is core point,large sample size is tested to know performance over n number of trades, since mechanical system strike rate is low..we check on large sample size,there is no system which will work for every market condition as per limited knowledge


Ans for b

Slippage is one of main factor for trading ,if instrument is liquid say NF or BNF... it will range from 8 to 32 points depending on quantity you trade...if you know depth based trading (Old way of trading in AP) or OFA mechanics you can observe your self can get to reasonable conclusion on slippage

Ans for c

Go for ratios for series wise ,back test should be on series data not on continue data..

Thanks a lot XRAY Bro for your detailed reply.Its really so kind of you to reply my queries in detail.It will help me a lot.
Thanks a lot

 

[XRAY27]

Pareto Principle: 80 % of profit comes from 20 % of trades..,at the movement 8 straight losses in intra ,which will be part of any systematic trader (continue loss trades)..it this exact area which makes a trader starts seeing other side (system hopping,or large time frame trading),lets always remember that emotions can be managed ,but cannot be controlled, we need to view each trade as probability....can we do this in real terms answer is no ,which needs psy drill..i.e embodiment in brain to carry your action irrespective of noise around you (Print /social media,forum)..which can show super profits,colorful ideas, also we can see some scary predictions) if they are effecting you then ,sorry you cannot be system trader !!

 

[XRAY27]

Nine consecutive trades hit SL ..quantity is reduced to previous size,from today have to wait for recovery of this DD...first quantity squeeze in this FY ..other two (swing/positional) are as usual.

 

[VJAY]

Nine consecutive trades hit SL ..quantity is reduced to previous size,from today have to wait for recovery of this DD...first quantity squeeze in this FY ..other two (swing/positional) are as usual.

Yes Xray bro...this month going in tough ways...same to me too

 

[augubhai]

Nine consecutive trades hit SL ..quantity is reduced to previous size,from today have to wait for recovery of this DD...first quantity squeeze in this FY ..other two (swing/positional) are as usual.

Brave of you to stick to the plan. Keep at it.

 

[XRAY27]

Brave of you to stick to the plan. Keep at it.

Augu bhai !!!

Earlier trading life i used to runaway after taking 5 trades in a row ,it is this exact quote which made me to run from system to system..setup to setup !! ,discretionary trading..cannot face psychological hardship vis a vis account size which always be ant size ,but mechanical system after testing and adding few points with respectiveTSL, MM,psy points to face shocks ,blows ,traded on testing mode for one year,later added usual qty...

I will follow same system ,but recovery will take time usual 3 to 4 months as per back test...lets see how it goes....thanks for your inputs

 

[sumosanammain]

9 losses will take 3 to 4 months to recover from?

 

[ncube]

9 losses will take 3 to 4 months to recover from?

Yes as I think he is reducing the trade size... statistically if he continues with the same trade size he will recover faster..as system recovery factor would come into play.. however the risk is that the strategy DD time is unpredictable and is dependent on the stability or robustness of the system. A conservative option would have been to linearly scale up/down with the changes in account size but the drawdown is lower returns...a very complex game indeed..

 

[XRAY27]

9 losses will take 3 to 4 months to recover from?

Sumo bhai !!!

Classically not,but reduced qty will have it's own time..

why I should reduce qty..when recovery factor is in place ??

when accounts start decreasing..fear of punching trades creeps in...I tested more on troughs ..

Other then reduction of trade size I could not find better solution, please suggest your way to handle this.