Trading diary plus invitation to share ideas with backtests

#1
Hi all,

I have been trading a particular trade setup for a year now and now went live with the same setup using automation.

Purpose of the thread: It takes a lot to build a profitable strategy for all market conditions and I know the effort being put into it. Hence, I would welcome fellow traders to share their setups or their trading strategies (only if they want to) with their backtest reports so that it will be a mutual benefit kind of thing. I have no problem sharing but it should be one to one. Its not that I think that the strategy would fade off or I have inhibitions, its just because there are no free lunches in the market.

Please dont judge me here.:thumb:

I will also be uploading my daily progress report here. (This is just for my analysis and also to maintain discipline. Yes, I get undisciplined in auto trading also.:D


The strategy with which i am going live is as follows:


For yearly reports please see below:
2011




2012




2013





==> The data for the backtesting has been sourced from free sources but i dont think its a problem because during trading manually i used GFDL data and it produced nearly same results.

==> Trading tf is 10 mins.

==> Strategy in strictly intraday and is applied on 15 stock futures.

==> Results are after commissions Rs.120/- for 1lot buy and sell

==> For simplicity to backtest positionsize is kept at 3.5l, which will give a little different results for a short time but over a period of time it balances out.

==> Initial equity has been kept 5l but i am trading it with 5+3= 8 lakhs.

I hope to get some positive response from fellow traders.
Any queries and suggestions are always welcome.

Thanks,
Purusharth
 
Last edited:

dell

Well-Known Member
#2
Hi all,

I have been trading a particular trade setup for a year now and now went live with the same setup using automation.

Purpose of the thread: It takes a lot to build a profitable strategy for all market conditions and I know the effort being put into it. Hence, I would welcome fellow traders to share their setups or their trading strategies (only if they want to) with their backtest reports so that it will be a mutual benefit kind of thing. I have no problem sharing but it should be one to one. Its not that I think that the strategy would fade off or I have inhibitions, its just because there are no free lunches in the market.

Please dont judge me here.:thumb:

I will also be uploading my daily progress report here. (This is just for my analysis and also to maintain discipline. Yes, I get undisciplined in auto trading also.:D


The strategy with which i am going live is as follows:


For yearly reports please see below:
2011




2012




2013





==> The data for the backtesting has been sourced from free sources but i dont think its a problem because during trading manually i used GFDL data and it produced nearly same results.

==> Trading tf is 10 mins.

==> Strategy in strictly intraday and is applied on 15 stock futures.

==> Results are after commissions Rs.120/- for 1lot buy and sell

==> For simplicity to backtest positionsize is kept at 3.5l, which will give a little different results for a short time but over a period of time it balances out.

==> Initial equity has been kept 5l but i am trading it with 5+3= 8 lakhs.

I hope to get some positive response from fellow traders.
Any queries and suggestions are always welcome.

Thanks,
Purusharth
can u plz share that 15 stock future name so that one can test on that and can compare , also what is starting time and end time for testing , strict intraday , fixed position size 1 lot .

data from free source and data from gfdl results vary a lot , if u can plz collect data of gfdl and test again , u will suprise by result variation .
i have tested on 3m and 15m tf gets a lot difference (in nf and bnf ), check on this aspect also .
 
#3
can u plz share that 15 stock future name so that one can test on that and can compare , also what is starting time and end time for testing , strict intraday , fixed position size 1 lot .

data from free source and data from gfdl results vary a lot , if u can plz collect data of gfdl and test again , u will suprise by result variation .
i have tested on 3m and 15m tf gets a lot difference (in nf and bnf ), check on this aspect also .
the list is as follows


Tming is 925 to 1515 for testing.

Regarding data - I have tested with gfdl data from apr 2013 and it was giving around same results. Somehow historical Gfdl data got erased (it happens when internet connections get broken. They were not ready to provide me data from Apr then and want me to buy data from them which is costly for mr as of now.
 

Algo

Active Member
#4
the list is as follows


Tming is 925 to 1515 for testing.

Regarding data - I have tested with gfdl data from apr 2013 and it was giving around same results. Somehow historical Gfdl data got erased (it happens when internet connections get broken. They were not ready to provide me data from Apr then and want me to buy data from them which is costly for mr as of now.
Hi Purusharth,
Good to know that. Did you se any difference in back testing results and paper trading?
 
#5
Hi Purusharth,
Good to know that. Did you se any difference in back testing results and paper trading?
There is only one issue which one can face and that is of slippages.

Yes, I also did face the issue and had slippages but I modified the execution logic and also made some changes in money management to deal with it. :clap:
 

Algo

Active Member
#6
There is only one issue which one can face and that is of slippages.

Yes, I also did face the issue and had slippages but I modified the execution logic and also made some changes in money management to deal with it. :clap:
Great, very few people understand the importance of execution logic. Most are usually bothered about only buy sell and so they make losses. Are you live with your algo?
 
#8
I was not able to trade on Monday. So, this was my first day with the automated system though I have traded it manually for a significant time.

==> When I said above that I will be maintaining it as a diary and posting results because I tend to be undisciplined even with an automated system. Yes friends unfortunately I proved myself right again.

==> The basic point of making this automated was that I was not able to handle the emotions pretty well. But to my despair I am not doing any good with the automated version as well. I am so mad for not following the rules once again.

==> It was a dream day to start of proceedings but my impatience mad it a mediocre day for me. Though the model netted 200k+, I managed with 46k only.

==> What I did wrong is I squared off the positions too early thinking that it was the first day and I needed to be positive, but I time and again forget that while testing the model I have tested each and every possible scenario and I know that exiting at EOD has been the most profitable one over 4 years. But then again I tried to be clever and got the much needed beating. Will try my best to stick to the rules in future.




Thanks,
Purusharth
 
Last edited:

dell

Well-Known Member
#10
are this RT trades? or paper trading in virtual exchange of symphony ?
one good day will change(cover) all small choppy day's loss ......
 

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