Actual versus Theoretical Results

[rog1111]

Hi all

I have been quiet on the forum for the last month, as I have been trading GBP on Globex, as some of you may know. The object of the exercise so far has been to compare actual results with those predicted by the backtesting program (SureTracker) that produced various results on JonnyT's break out methods. Questions are often asked about slippage, and whether backtested results are realsitic and achievable in practice, so at least I now have some real comparisons which I have posted here for all to see.

The 1-8 BO was used, 70 pip stop with a 2 hour qualifier, exit generally 20h30, sometimes earlier. No commission is included, but with 1 contract traded, IB charge $6, which equates to 1 pip per trade approx (1 pip actually = $6.25) . DNT means "did not trade" in other words I was not able to trade. NT means "no trade" ie no trade signal generated within 2 hours. Data used for the theoretical was spot data from Dukas, futures data from IB. Entry orders were stop limits and exits were time/market or stop limit stop outs.

I also attempted to make a comparison with historical futures (trade) data, but feel that this data is just too thin for GBP futures to come up with anything accurate. If I had the historical futures bid and ask prices then that would be useful, but I've never seen it offered anyhwere.

I think that the correlation is good enough to have reasonable confidence in previously posted backtested results, for a 70 pip stop and hourly data used for the theoretical. On only 2 days was a signal generated on 1 side not the other, but never did the signals conflict in direction. This occurred as the shape of the spot and futures charts is never identical, with occasional (temporary), sometimes quite large misalignments. The results follow, but one polite request, please do not send a deluge of PMs asking further questions, as I will attempt to answer any here.

rog1111

Date Actual Theoretical
21/06/2004 0.0009 0.0015
22/06/2004 0.0016 0.0016
23/06/2004 0.0026 0.0026
24/06/2004 DNT -0.0070
25/06/2004 NT NT
28/06/2004 NT -0.0009
29/06/2004 0.0109 0.0115
30/06/2004 0.0033 0.0038
01/07/2004 -0.0071 -0.0070
02/07/2004 NT NT
05/07/2004 DNT 0.0012
06/07/2004 NT NT
07/07/2004 0.0047 0.0049
08/07/2004 -0.0069 -0.0070
09/07/2004 -0.0070 -0.0070
12/07/2004 0.0027 0.0029
13/07/2004 NT NT
14/07/2004 -0.0028 -0.0030
15/07/2004 -0.0072 -0.0070
16/07/2004 0.0188 0.0191
19/07/2004 0.0016 0.0014
20/07/2004 0.0100 0.0101
21/07/2004 -0.0072 -0.0070
22/07/2004 -0.0068 -0.0070
23/07/2004 0.0062 0.0059
26/07/2004 0.0013 0.0017
27/07/2004 -0.0068 -0.0070
28/07/2004 -0.0023 -0.0027
29/07/2004 0.0067 0.0058
30/07/2004 0.0024 NT
02/08/2004 -0.0004 -0.0012
03/08/2004 -0.0068 -0.0070
04/08/2004 -0.0068 -0.0070

 

[shogun]

rog i thought the gbp future was $12.50 per pip and the emini eur/usd was $6.25 per pip. i dont trade the gbp on ib so not sure but i was wondering if you were trading the eur not the gbp. ?

i see you managed to outperform the back-test, by 10% you got 32 pips against the back test of 29 , did you allow any slippage in the back-tester,

 

[frugi]

Thanks for that rog and heartening to know that real world trading can equate to backtest results. From Monday I'm going live on EUR using the system below and if I manage to log all my results I'll post them up here in a month in the same actual/theoretical style.

The emini eur/usd (E7) is $6.25 a pip but the liquidity is a joke. The big future EUR is $12.50 a pip.

System:

BO range is 7-9 am British time on EUR.

If the initial range is <19 pips then take the midpoint and add/subtract 10 pips to obtain top/bottom of new range. e.g if range is only 1.2000/1.2016 then add/subtract 10 to/from 1.2008 = a new range of 1.2018/1.1998. (If doing this creates a new range with half pips like 1.2223.5/1.2243.5 buy and sell points would be 1.2223./1.2244 )

Buy/sell intrabar BO of range with a stop at the bottom/top (-/+ 1 pip) if possible, min 21 pips from entry, up to a max of 30 pips. (So, if the opening range is >30 then obviously the stop will be within the range). Reverse position on opposite breakout. Max 2 trades per day. Target 200 pips. Close at 9pm if trade still open.

e.g today would theoretically have sold at 1.2049, stopped out at 1.2079, reversed to long at 1.2081 and trade wd still be open at 1.2268. However I imagine there would have been a touch of slippage after the news! Still, a wide stop limit order probably would have got in somewhere around 1.2100. It's been a while since I saw 22000 contracts trade on a 30 min bar!

 

[rog1111]

shogun

The Globex GBP future is $6.25 per pip, and there is no GBP mini.

Overall, I don't think that the 3 pip advantage is real cause for celebration, as individual days often varied by more than that. No slippage was allowed for in the backtesting, although entries were made/attempted 1 pip past the high/low in both cases. Typically actual ave entry slippage was 1 pip (using 2 pip stop limit orders) and exits were about 2 pips (using 4 pip stop limits).

rog1111

rog i thought the gbp future was $12.50 per pip and the emini eur/usd was $6.25 per pip. i dont trade the gbp on ib so not sure but i was wondering if you were trading the eur not the gbp. ?

i see you managed to outperform the back-test, by 10% you got 32 pips against the back test of 29 , did you allow any slippage in the back-tester,

 

[rog1111]

Good luck with that Frugi. Did you use futures or spot data to backtest, and what sort of average trade in pips are you hoping for ?

I'll check out a similar min range trick for the GBP.

rog1111

Thanks for that rog and heartening to know that real world trading can equate to backtest results. From Monday I'm going live on EUR using the system below and if I manage to log all my results I'll post them up here in a month in the same actual/theoretical style.

The emini eur/usd (E7) is $6.25 a pip but the liquidity is a joke. The big future EUR is $12.50 a pip.

BO range is 7-9 am British time on EUR. If the range is <20 pips then take the midpoint and add/subtract 10 pips to obtain top/bottom of new range. e.g range is only 1.2000/1.2016 then add/subtract 10 to/from 1.2008 = a new range of 1.2018/1.1998.

Buy/sell intrabar BO of range with a stop at the bottom/top, min 20 pips, up to a max of 30 pips. Reverse position on opposite breakout. Max 2 trades per day. Target 200 pips. Close at 9pm if trade still open.

e.g today would theoretically have sold at 1.2049, stopped out at 1.2079, reversed to long at 1.2081 and trade wd still be open at 1.2268. However I imagine there would have been a touch of slippage after the news! Still, a wide stop limit order probably would have got in somewhere around 1.2100. It's been a while since I saw 22000 contracts trade on a 30 min bar!

 

[Hittfeld]

@ rog1111

>><The 1-8 BO was used, 70 pip stop with a 2 hour qualifier, exit generally 20h30,<<<

What is a " 2 hour qualifier°? If I over read it somewhere, could you please kindly post a hint?

Thank you

Hittfeld

 

[robber]

Hit, 2 hour qualifier means the trade must be activited within 2 hrs or no trade for that day.

You will find a full explaination of the method here;

http://www.trade2win.com/boards/showthread.php?t=10044&page=1&pp=15


regards

Neil

 

[frugi]

Good luck with that Frugi. Did you use futures or spot data to backtest, and what sort of average trade in pips are you hoping for ?

Thanks rog! Futures data, hoping for 5 pips a day on average, including one pip slippage (essentially the spread) and commission of half a pip (tis actually $0.25 less than this) per round trip.

This may not sound like much, but pretax it is still roughly £13888 a year trading 2 contracts.

Theoretical open price is BO range boundaries plus or minus one pip, close price is the open of the 21:00 bar (or stop level in the case of stop and reverse)

Today's real result is -19.5 pips from one trade including 1 pip slippage and commission.
Today's theo result is -19.5 pips from one trade including 1 pip slippage and commission.

Total theoretical/real -19.5 over 1 days.

S 1.2246 Cl 1.2265

 

[waverider]

Rog

Thanks for sharing your work. Please clarify "The 1-8 BO was used...", is this the 1am to 8am range breakout? The reason I ask is that there are several of JonnyT's systems posted but all the ones I've seen start at 7am. Maybe there's one I've missed.

WR

p.s. FYI I've been using JT's 7-10am EurUsd BO system (stop and reverse instead of stops) for two months and so far have found that it's advantageous to add a 10pip buffer to each trigger level. On balance, the pips saved on false breakout outweight the additional cost - usually only 10pips per day because usually only one trade is triggered. In fact the big savings occur on double-whip days!

 

[rog1111]

waverider

The 1-8 (GMT) system was one that emerged with good results during backtesting, all the comparative results were posted as a spreadsheet some time back. As far as I'm aware JonnyT has always preferred the 7-10 for the EUR. Things may have changed since, but all these systems seem to go in cycles of winning and losing streaks. I have also messed around with buffers, and found 1 pip to be optimum for my purposes, but I'll go back and check some larger buffers. My observation is that quite often because the instrument is "forced" to trade through the high/low, rather than just touch it, this shows up on the chart as looking like a breakout (which it is), and it seems to kick off some activity.

rog1111

Rog

Thanks for sharing your work. Please clarify "The 1-8 BO was used...", is this the 1am to 8am range breakout? The reason I ask is that there are several of JonnyT's systems posted but all the ones I've seen start at 7am. Maybe there's one I've missed.

WR

p.s. FYI I've been using JT's 7-10am EurUsd BO system (stop and reverse instead of stops) for two months and so far have found that it's advantageous to add a 10pip buffer to each trigger level. On balance, the pips saved on false breakout outweight the additional cost - usually only 10pips per day because usually only one trade is triggered. In fact the big savings occur on double-whip days!

 

[frugi]

Today's real result is +3 pips from two trades including 0 pips slippage and commission.
Today's theo result is +1 pips from two trades including 2 pips slippage and commission.

Total theoretical/real -18.5/-16.5 over 2 days.

L 1.2282 SAR 1.2260 Cl 1.2234

 

[rog1111]

So far so good !

rog1111

Today's real result is +3 pips from two trades including 0 pips slippage and commission.
Today's theo result is +1 pips from two trades including 2 pips slippage and commission.

Total theoretical/real -18.5/-16.5 over 2 days.

 

[frugi]

Wait for the payroll data

 

[frugi]

Today's real result is +11.5 pips from one trade including 1 pip slippage and commission.
Today's theo result is +11.5 pips from one trade including 1 pip slippage and commission.

Total theoretical/real -7/-5 over 3 days

S 1.2223 Cl 1.2211

 

[rog1111]

frugi

are you using stop limit entry orders with a 2 pip limit ?

rog1111

Today's real result is +11.5 pips from one trade including 1 pip slippage and commission.
Today's theo result is +11.5 pips from one trade including 1 pip slippage and commission.

Total theoretical/real -7/-5 over 3 days

S 1.2223 Cl 1.2211

 

[frugi]

Rog I'm using stop-limits with 50 pip limits all round

 

[frugi]

Today's real result is -50 pips from two trades including 1 pip slippage and commission.
Today's theo result is -51 pips from two trades including 2 pips slippage and commission.

Total theoretical/real -58/-55 over 4 days

L 1.2254 SAR 1.2229 Cl (stop) 1.2253

A trade refers to a round trip of course.

Bring on the trend!

 

[frugi]

Today's real result is +145.5 pips from one trades including 0 pips slippage and commission.
Today's theo result is +144.5 pips from one trade including 1 pip slippage and commission.

Total theoretical/real 86.5/90.5 over 5 days

L 1.2220 Cl 1.2366

That's more like it

 

[frugi]

Today's real result is -51 pips from two trades incl 2 pips slippage & commission
Today's theo result is -51 pips from two trades incl 2 pips slippage & commission

S 1.2339 SAR 1.2263 stop 1.2337

Total theo/real 35.5/39.5 over 6 days

 

[rog1111]

frugi

excellent correlation so far at least

rog1111