Huge Improvement in Bollinger Band-RSI Strategy
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- Опубликовано: 28 дек 2022
- I've been working on optimizing the results from this video:
• Bollinger Bands + RSI ...
I've found some modifications that show significantly better historical results, and I also give some tips on how to go looking for improvement to strategies. Here's the original strategy rules:
Indicators:
30 period Bollinger band with default 2 standard deviation upper and lower bands
13 period RSI
30 period bollinger band width with default 2 standard deviation bands
14 period average true range
Trading rules (long):
Current candle is green
Current candle close is greater than high of previous candle
Previous candle is red
Previous candle low is lower than the lower bollinger band
RSI at the previous candle is less than 25
Trading rules (short):
Current candle is red
Current candle close is less than the low of previous candle
Previous candle is green
Previous candle high is greater than the upper bollinger band
RSI at the previous candle is greater than 75
Position is taken at the open of the subsequent candle
The new addition is to add the 30 period Bollinger Bandwidth indicator and for daily candles, add Bollinger Bandwidth greater than 0.2, or for 15 minute, 30 minute, and 1 hour timeframes use Bollinger Bandwidth greater than 0.08.
Stop loss for daily candles is entry price minus 3* the trigger candle’s ATR;
Target for daily candles is entry price plus 2* the trigger candle’s ATR
For other time frames, use 1.6*ATR for both stop and target.
I still have more tweaking to do on this strategy, but this was such a significant improvement that I wanted to share my progress so far.
As you'll see the profit in some cases is doubled or more, and for 30 minute timeframe these modifications actually took this strategy from an overall loss to a significant gain.
Remember, this is all for educational purposes; I am not an investment advisor and do not advocate for or against any particular investment or investment strategy.
This shows indicators work. Most traders don’t do the work in properly backtesting them. Thank you.
It's really cool seeing how much information you can gleam from the data. This lays down a good framework for anyone else analyzing their data.
Only just found your channel and working through it. I think the quality of your content is fantastic. Its a lot more realistic and factual than most of RUclips trading content I look at. I also am a Bollinger Band fan so I hope your keep developing your BB strategy
Wowwww!! I was waiting for the new video!!
this is very SERIOUS WORK !!!! congrats
Thank you very much for sharing the info. Eagerly waiting for the next video with further results.
Hi mate good year and looking forward for your insights
What a great analysis again! I really like your work! And especially appreciate the amount of time and effort you put in.
Thanks! I’m pretty optimistic about this one
Any chance to share the code ?
I appreciate it you creating backtesting strategies and this is such a great aspect we need to become profitable traders. So it helps greatly!!
LOVE your videos! Keep going and you will make it big on youtube Sir!
Once again an informative and well explained video. Always look forward to these, hope you had a great christmas and get a good new years eve!
Thank you!
thank you for your valuable educational video
perfect video as always nice to see you, my only wish is that you upload more but it is what it is
also would have been perfect if drawdown was included
Happy new year!
Always interesting. Thank you
Very professional approach
Thank you
2. Monthly metrics. Given that most traders focus on monthly growth/returns maybe also include the results after 30 days rather than just 100 trades. That would allow people to evaluate how profitable the strategy is on a monthly basis. In particular, it would allow traders to determine if it could be used on a funded (prop firm) account. Most funded accounts require 10% growth per month.
Excellent video! Keep them coming. I’ve been trying your macd/stoch under the 200 with tiny put spreads haven’t had a lose yet!
Update? Have you lost money and are you still using it and is it profitableG
I love your videos!
A few suggestions:
1. Limit backtesting to specific sessions. Given that nobody trades 24 hours a day (except BOTs) your backtest results would be a lot more meaningful if you limited them to specific sessions (Can Trader Edge do that?). For example, do one set of backtest results for London session, one set for NY session and one set for London/NY crossover.
One more suggestion: Exclude the covid period from the backtesting because was not ordinary for 2-3 months. I guess your results will change.
@@Andre-tr1qf For this strategy, volatility is better, and it produces more winners. The covid years were very volatile, so I believe the opposite of what you state. He's right to include the covid years in the data.
exactly what I was thinking. I'm in the process of figuring out what time of the day I should be using this strategy with which pair.
Hello, thank you so much for what you do. It would be awesome if you make a tutorial on how to set up TOS to send alerts on this strategy with the increased width of the BB.
YES! Think Swim Alerter please!
Your channel is awsome and much better than the hype spread by forex "gurus" on other channels. I've manually backtested (for only 2023) the bollinger band strategy on (NASDAQ, US30, S&P 500) with very good results. The biggest determination of winners is the session traded. Indices love volatility. And I found more winners in the mixed (NY & London) session. I plan on demo trading the strategy next week. Keep up the good work and thanks for your channel!
I Was Waiting For This Video. Thanks For Your Affort. U Are Doing Amazing Job. For Future If U Will Write Strategy For Tradingview It Will Be Awesome In That Way We Can Also Help By Playing Around Numbers In Settings To Get Best Results.
Sorry For My Bad English :)
Also, I just did a quick look at a couple of indexes and bigger stocks. It looks to me like 0.2 BBwidth is already a fairly rare bird. Looks like about 0.12 or so is needed to get enough trades. A surrogate could be over 0.1 and a peak in the BBwidth curve. Price Reversals correlate with peaks in BBwidth.
Serious Backtester: LOVIN IT! Great! A suggestion. Normalize your histograms so they both have area =1 (will revisit in a second). Then subtract the losses distribution from the winners distribution. There will be a peak which is where you get the most net wins, that’s your optimum BBwidth. An improvement is to weight each normalized distribution by the average win or average loss accordingly. This will translate the result into net PNL expectation value and of course you want that maximized. Could alternatively calculate cumulative distributions from the above PDFs, and then take diff of cum wins - cum losses (accumulated from right to left), and where that peaks is best BBwidth.
I find your videos fantastically interesting.
I appreciate that!
No more videos?@@seriousbacktester
Really great brother, write it on trading view first to play around with it before
Such a great work. Could you please share you code to understand the backtesting more intuitively.
I would love a tutorial :D
I'd really like to see you create this in Thinkscript. Really enjoying your videos.
Once again, great video! Would love to see one, as you suggested, on using it to scan within ToS and pushing results to email.
Thanks!
Hello, I really like your video and the work you are putting out. May I ask how is the BollingerBand Width calculated?
Would love to see you test the DR/IDR trading system!
Love your work. Watch out for curve fitting
Curve fitting?
TOS BB strat with alerts....YES!
How about for the dummies like myself you hold our hand and walk us through your think script coding process? Either way you sure do some........SERIOUS BACKTESTING! thanks for the effort...
you can pay a developer on fiverr
I’m a little bit confused about what exactly are the adjustments and what are the best parameters for the new system? not sure how to use the Bollinger band with?
It's good to see the "equidistant stops and targets" finding on the 15 minute. I always surmised this was true. These trades would work out well and are worthwhile for a growing account if you can identify good trades most of the time and don't want to actively manage the trade in real time. Personally, I'm inclined to actively manage my trades, and by raising my stop and adjusting my target as the market forms support areas, I can wind up with MUCH better R:R ratios than 1:1... so far :)
It' s not even 1:1
Reminder: if you collect 10k drawings from the Roulette (gambling game) and you analyze afterwords, you'll find non-repetitive series that repetitively gives you a win. That does not mean it will work in the present. (I spent some years on studying mathematical approach to the stock market and also some gambling games, the correlation is not as far as we may think). By the way, nice work!
So basically backtesting is useless?
Super video again!! Interesting that the data showed a signifocant diff between winning/losing, based on BB width, while Andrew in the original video explained not to trade when BB width is high after consolidation (huge momentum). I think your extra constraint being a bullish candle close>previous high, prevents his problem with huge BB width... Your thoughts? Thanks for these video's, really super!!!
I am really enjoying your videos. As an engineer I can appreciate your programming and statistical analysis. I've been playing around with this concept in TraddingView. One thing I've noticed is that the BB width changes substantially based on the underline due to differences in volatility. So I don't think we can make a blanket scanner and apply this study to any stock like you show in your next video.
Thanks! Yes the BB width is basically a measure of volatility… an interesting thing I found recently is that average profit per trade definitely increases as BB width increases, but overall win percentage is the same whether the BB width is high or low…so the lower BB width entries are still profitable, but if possible go with higher BB width entries
Hey mate, can you create and backtest a strategy with renko chart involved, I think there is potential for it to be insane. For example Renko with supertrend or something along the lines of that. Loving the vid btw.
Serious backtester would you trade forex, Gold or indices with this strategy
I'd be very interested in the TOS or Pinescript push alerts using pinescript or thinkscript - I don't have access to thinkscript as a non-american but this is wonderful content. I appreciate all your time on it.
Liked! Subscribed! 100 back tests is just a youtube marketing gimic, your approach is how it should be. I am a fellow programmer (hobby) and trader (also hobby). I have been updating my mql4 skills to do some testing. I know python is a much much better approach as I have done some python programming as well. Can you share one of your programs for me to study and learn from? Github maybe. A python tutorial focusing on back testing would be great. Yes, I am absolutely interested in a tutorial for a think or swim scanner.
Interesting stuff, but like where do we get the script that you are using, so we can use it and play around with it?
3. Money management. Try using the trailing stop loss (MT4/MT5 have EA plugins for this) that moves the Stop Loss to break even once price reaches 1:1 risk2reward. This will reduce your drawdowns and increase your win rate.
In Trading View, is the band width the same thing as the standard deviation number? Thank you!
Instead of just setting the stop loss to 3 would the daily performance percentage improve if you set a ATRTrailingStop at the 3.0 when you entered into the trade?
is this your new personal strategy now?
can you do ichimoku trading strategy? thanks
I actually coded this on pinescript as my idea was there are certain moves that are valid when the BBands have a specific width or volatility. So I made a filter where at the crossover of the 0.45 width, a long or short signal may be reliable. I've seen that more than half of my observation, the width told me the area where price will reverse.
Do you mind share the code?
Could you please share the code?
Bro can you test strategies of the youtube channel "The Moving Average"
Doesn't typical BB width differ greatly between different stocks? Maybe using BB Width Percentile instead could solve this?
Hey, I’m new to this. What platform and programming language are you using?
Hi.. Really interesting and I love to see more content. How did you calculated the Bollinger band width?
Great question....I'm using this formula: Bandwidth = (Upper Bollinger Band - Lower Bollinger Band) / Middle Bollinger Band.
@@seriousbacktester Thank You
Did you continue to investigate this - any more videos coming?
could you do a backtest XAUUSD on the OANDA server using multiple ema 20 on (1-hour tf , 4-hour tf and daily). the entry rule is when the price is emerging up from the bottom of 4H ema and the 1H ema < 4H ema < daily (the short rule is the opposite). the SL is the last low or the 1.6 ATR. The TP is the last high of the 30-minute candle. when the order is on 1R, cut half of the order size. Thank you.
the other thing that I am curious about is, what kind of indicator do you suggest to determine the trend of the market (trending or sideways), it will really help if you can identify and switch the strategy mode.
What percentage were you risking per trade and what intrument did you test this on?
Hi, how many years is the backtest period?
could you ;lease tell me the best bollinger bandwidth for the 15 minute timeframe
how did u find BB Width in TW? Thinkorswim is only for US residents...
Hi - so you are filtering out stocks below $3/share, as well as filtering out stocks with less than 300,000 shares traded on average over the last 10 bars ? Thanks
What percentage risk per trade are you using when calculating your returns? Have you tried adjusting your TP based on the bollinger bandwidth of the individual trade.
Each trade is calculated as a $5000 investment, and the total percentage gain is summation of all the gains/losses of the individual trades, divided by trading years. While the profit/stop targets are not calculated based on the bollinger bandwidth, it certainly could be, and would probably translate nicely; it's a nice idea. My strategy uses the 14 period average true range to determine the profit target and stop loss, which is also a measure of volatility just as the bollinger bandwidth is.
If bb width greater than 0.08 it mean should not take long/short ? correct?
Hello i dont understand how to set the multiplier in the ATR, it only lets me to set one multiplier and not two (for SL and TP) could you help me please? thanks
Great video. Please help enlighten us on which ATR do you use in the tradingview, I seem to unable to find it. Thanks in advanced.
I show TradingView in videos because it’s pretty but in practice I just calculate ATR in my code; it’s a standard formula; i don’t have a set one in TradingView but any ATR bands that can be set as a multiple above and below the open of the candle ; this one called ATR Stop Loss Finder by veryfid looks pretty good
@@seriousbacktester thanks bruh
I made one based on the values from this video, as well as an option to use custom. Search for Serious ATR Bands. Assuming it ever gets approved and published lol.
@@socalledsin wow awesome!
@@seriousbacktester Love what you're doing man. Keep it up. I tried to link to your video, but they kept flagging it and taking it down so I just mentioned it in the description.
@seriousbacktester You should try back testing a entry of 50% retracement of the trigger candle instead of the open. On 5 minute candles the back testing I have done shows about 50% of my losses at 1.6 ATR stop/target have turned into winners.
wow ok i think i will try that out; thanks!
Hi @serious backtester.. may i know what do you mean by 1.6 times of the average true range above the entry price and stop loss of 1.8 atr below the entry price?
Giving an example of my entry price is 1.362. May i ask how does the calculation works?
Absolutely! And I've started working on an updated video on this that will be longer and provide better explanation... So in addition to the entry price, you'll need the most recent ATR, average true range, which you can find as an indicator to add on tradingview or thinkorswim, it's a very basic indicator. Remember of course that the magnitude of the ATR will be dependent on the timeframe you choose to trade on... the ATR over 14 one minute candles will be much less than over 14 daily candles. Let's assume that you're trading the 30 minute candle timeframe, and you add the ATR indicator to that chart and at the time of the trigger candle, the ATR for your stock was 0.03. Your target would then be 1.362 + (0.03 * 1.6) = 1.41 and your stop loss would be 1.362 - (0.03 * 1.8) = 1.308
Link of the main video ?
What was the win rate and risk to reward ratio here?
What is the name of the indicator for bollinger band width?
Which asset did you test on?
I would submit that yes 54% higher average volume is insignificant, but if out of nowhere (i.e. not after an already overextended move in your entry direction) you have a 200% or 300% increase in volume along with a longer than average bar that engulfs two or three previous bars -- *THAT* may be more significant, and maybe even a game-changing criteria for short term momentum scalping. Can anyone confirm? Deny? Because anecdotally so far it's working pretty darn well on paper on the MES (micro e-mini S&P 500 index futures).
Hi Can you confirm that the back test was performed with ATR Source set at "Open" (not high and low, as it distorts results)? Thank you.
Thanks I should elaborate as I didn't do a good job when explaining this on another comment... the ATR calculation is complex and doesn't involve just open, high, low and close, but uses all of those over multiple candles. What I mean is when you calculate what your stop loss and profit target should be, you add and subtract a multiple of the ATR to the open of the candle after the trigger candle, because that's the candle you enter at. I've been doing this in live trading for a while now and here's how it goes down.... you have a trigger candle, and on that trigger candle you know what the 14 period ATR is. let's say you've decided to set a target of 2 ATR above entry and a stop of 3 ATR below entry. when the next candle opens, you enter the trade. That's your entry price, the open of the candle after the trigger candle. For a long position you would add 2*ATR to the entry price as your target and subtract 3*ATR from the entry price as your stop (or whatever ATR multiples you have chosen). Now the ATR you are using is the ATR calculated off the trigger candle, obviously, because you won't know what the ATR is on the entry candle cause it just opened. Hope that makes sense. The backtesting data I show is done this way... in a way that you could actually do in real life
@@seriousbacktester thank you for taking the time to answer. I might be a bit confused about the settings. If you have the chance of showing this in your next video, I'd be super grateful as I have been backtesting this myself.
Thanks again!
Is this long only? With the tweaks do you think long/short would start to become viable?
Great question…this is long and short; I’ll have more breakdown of long/short performance and comparison to random entry in the next update when I finish further optimizing bb width parameter, but I will say there are far more long entry signals than short across the board; it’s like an 80-20 split I’d say; not exactly sure why, i suspect it’s something to do with the basic nature of price action
@@seriousbacktester great thanks, sorry might have missed that it’s long short; I did watch the original video but should have maybe checked before asking! That would definitely be interesting to see the L/S comparisons and I’d guess the same; price action dominating the split of long/short. Have you considered asymmetric Bollinger bands? That might also affect the different long short performance
How did you code the close? Because you should keep the ATR value at the trigger candle, shouldn’t you? How do you keep a fixed value and avoid using the current atr value as SL and TP?
Yes exactly, you use the ATR at the trigger candle to calculate the target and stop above and below the entry price. Those targets don't change as the trade progresses, they are a fixed OCO bracket.
@@seriousbacktester I see, thanks! By the way, how many assets did you backtest with? For example, on a single asset, how much % did the strategy do for the whole year?
what are the settings for 15, 5 min bollinger bands ? thx
So the acutal bands are the same across all of them... 30 periods, with the upper/lower bands 2 standard deviations from the middle band. What has to change between timeframes is the bollinger bandwidth, since at lower timeframes you don't expect the price to fluctuate as much as a percentage of the price (and I'm working on a new video now with more explaining)... I've found both 5m and 15 min to test well across a wide range of targets and stops, with the optimal being: for 15 minutes, bollinger bandwidth of 0.1 and stop/target both 1.6* ATR added to or subtracted from the entry price, which resulted in 78% per year return, and for 5 minute: also 1.6*ATR added to/subtracted from entry for the target/stop, and a 0.02 bollinger bandwidth which resulted in 52% per year return. The 5 minute i haven't tested as much and don't have as much confidence in because i don't have as much data, but it is tested over 9000 trades.
Sorry, please I don't really seem to understand the tweaks....
"Bollinger bandwidth" I don't really understand what it means..
Please can kindly make make a fresh vid....on the specific indicators used for this modifications.....
Sorry if I am going to be a pain on the neck...
Something you may want to include in your analysis is number of losing trades in a row. If you have a low number of losing trades in a row and you want to be aggressive in your trading you could try a martingale technique to recover the losses. Regardless what you do, max number of losses in a row and average number of losses in a row is good information.
If you want to use martingale just focus on a 1-1RR or possibly even lower with the highest winrate you can find and least # of consecutive losses.
In your backtest how much of the capital are you using per trade ? Is this compound in % Like 2% on each trade ? or just a specific amount in Dollar ? thx
Great great question...these results are return on invested capital...so if i have 100,000 trades, the results are as if you took a fixed amount of money, I use $5000, for each trade, and if you took all those trades consecutively, then I'm reporting the average percentage gain on a yearly basis. However, as you have pointed out and many others, there is great interest in things like drawdown and such, and for future videos i'm testing right now to also report gain on account and max average drawdown. The issue i have with that is you have to make a lot of choices that greatly affect the overall numbers. Do I say we're starting with a 50K account and investing 5K per trade, or a 100K starting balance and risk 1K per trade? there are so many variations of this that will greatly affect the outcome so I've historically avoided this. Actually i'd love input from the community what would be reasonable starting numbers. I'm thinking of a 100K account and investing 5K with each trade.... does that sound reasonable or is that too conservative? would love your thoughts
@@seriousbacktester 🙏 Honestly i think that starting this kind of investement with 50k or 100k for the average person is way too much for a first shot. Even if your videos are truly amazing and very specific, only few people are able to put this amount of money on a "first try" like "ok let's see if it really works" only with your backtest and video as a proof.
If you are asking me i would go with an exemple of 10k starting balance with X% on each trade in order to have compound interest. Depending on the max drawdown, you could set like 3 differents profile of investors based on the amount of risk there are ready to take. The fact that you have a very tight stop loss and light drawdown make me think that more risk is acceptable. If it was me, i will choose the most aggressive strategy with monthly cash out. You may win way less more because of the monthly cashout but let's be honest who want to let money work during a complete year without being able to enjoy it ? Anyway i think that is very touchy depending on who you are talking to. If you are already rich of course there is no need to make regular withdraw ! Have you ever tried to have a 100% of the capital on each trade ?
@@magnakobo8947 Wise input; when I do a followup video showing drawdown and gain on account, I'll go with smaller account size; thanks!
@@seriousbacktester IMO, not more than $50k. In fact, there are a lot of people who are relatively new (and experienced) who will trade with an account of around $25k-$50k
Is this backtesting includes the spread and commission because these startegy opens alot of trades?
Great question... no commissions are included, if you have commissions from your broker that will seriously impact the numbers
@@seriousbacktester it seems like it only count spread im i right?
Hey there, I love your videos! I was wondering if you could explain how to increase the bollinger bandwidth to 0.08 like you said? I'm currently using tradingview and I'm stuck on how to do that. Thanks again.
Great question... tradingview has as one of their built in technical indicators "bollinger bandwidths"... add this to the chart and this will appear as an indicator below the price chart, this is separate from the on-chart bollinger bands. Adjust the bollinger bandwidth indicator settings to 30 period and 2 standard deviations, to match your bollinger bands. Now the line will be what the current bandwidth is, and for the strategy you want that value greater than 0.08..... so the 0.08 is not a setting that you change on the indicator, it's the value you're looking to be above as one of the entry criteria. And just for an update, i've been using this and found that for timeframes from 15 minute to 1 hour candles, that bandwidth > 0.15 still gives enough signals and does even better.
Thanks Backtester, was attempting this last night and had no clue about the second part. Also, for ATR; I couldn’t find the exact indicator you were using as I wanted to replicate the exact conditions for my own back testing. Does your ATR-version exist on tradingview as well, or do you have your own indicators on tradingview so that others can favourite them? You’re seriously awesome; I basically unfollowed everyone and only use your videos now for my own back testing.
@@kevinvu1542 Wow that's high praise I appreciate it! So I show tradingview on videos because it's pretty, but I don't actually trade or use tradingview otherwise...I use thinkorswim, but more often I have my python program just calculate the target and stop and buy/sell, track the price.... i've never shown it on a video but i have coded a whole program to trade for me. But to visualize the stops and targets on tradingview try searching the indicators for "atr stop" and select this one from garethyeo... set the multiplier to 1.6 and the source to "open".... because you'd be entering on the open of a candle and would want to know what 1.6*ATR above and below that entry point is.
@@seriousbacktester Hey chief, back after one full day of backtesting on a 15m and live trading for one day. Can successfully report a high win rate of 14/17 (8 from back testing, 9 from live trading) trades so far on OP/USDT and 2 other high-volatile assets. I enter trades from 0.06 - 0.15 BBW, targeting a 1:1.5 RR (I am not using ATR); with the riskiest trade being a 7:1 RR so far. Most trades are around 3:1 RR, and I followed the instructions to the dot. I'm going to test BTC + ETH tomorrow, wish me luck.
How can you have a 70% yearly profit with a 55 WR when your RR is 1:0.6?
PLEASE TEACH THINKSCRIPT
Programming Language?
4. Collaboration. Have you considered submitting your top strategies to the Trading With Daviddtech channel? This will provide several benefits including:
• His coding approach will provide additional confirmation of your initial backtesting results.
• Identify potential areas of improvement for the strategy.
• Provide an automated script. Something you could consider offering to your members to use with BOTs.
• Increase your channel visibility/size by collaborating with another well known YTer.
Is there any one work in Davidd's channel bro? Last time, I saw no strat can profit me in forward testing.
Hmmm! Almost every trader I have ever know consistently says to not have stop loss wider than take profit.
Agreed; I hear that all the time too! Another one I hear ubiquitously is only buy when price is above 200 period EMA. My goal is to put these unquestioned rules to the test, for the benefit of us all ; thanks for watching!
@@seriousbacktester Please don't misunderstand, I am here to learn. I am very happy I found your channel.
Okay, so this is what they usually say. When they test 1:1 the profit is less because you tend to miss out on a lot of running trends. Also, the average difference in win rate between 1:1 and 1:5 is about 5% and the difference between 1:1 and 2:1 is 7-10%. So you can see what they mean, that one should profit more with higher take profits, at least from 1:5 to 2:00.
@@vertigo2894 I'd be happy to review anyone else's data supporting the premises, e.g. differences in win rates with different risk:reward ratios, but in my testing when using fixed profit targets and stop losses, setting larger profit targets than stop loss is not beneficial, and is not strictly speaking "trend following". I'm a fan of trend following, but for that you need an indicator based exit rather than a fixed target exit.... see my MACD-stoch "consistently profitable trading strategy" video for an example of a successful trend following strategy. I may do a video graphing win rate vs various stops/losses, that's actually a great idea, sounds like there may be interest in that!
@@seriousbacktester You would be doing us a service if you do hehe! Okay, so I will link you below in this reply one example of 1000 tests and you can see the difference in win rate at between the different take profits. Also, I think what they mean by that you miss out on trends with 1:2 is that if there is a trend(even with fixed stop losses and take profits),the odds of it hitting your higher take profit can be just as good as a lower stop loss or even better depending on the strength of the trend. Remember, in your testing(even though you do do the random samples 10,000 times), it's sampled on the entire market activity while most traders trade specifically inside specific market hours. That may be biasing your results in favour of wide stop losses and 1:1 risk to reward. Just a theory. I am a complete newb, I know next to nothing lol!
This is amazing. I can't imagine how much work this must be for you.... Thank You! I would love to see long vs short. I think most people agree the foreseeable future will be bearish, it would be interesting to how this has done in the last 6 months for short vs long and tailor a short term strategy towards a bearish market.
no strategy cant be applied mechanically
Having a RR of 1:0.6 with a WR of 55% it is impossible to be profitable. This is a sign of overfitting.
awesome..... but, aren't you now OVERFITTING?
Great question...maybe, and on my next update I'll get back to doing the subset analysis bell curves... for those reading the comments that are unfamiliar, "overfitting" is when you tweak your rules so much that they work great on the particular dataset that you're using, but don't generalize to future or other datasets, and is a constant fear in data science
I think you are overfitting the strategy
you should test it in multiple different markets and on fake data
Flawed concept because if you look at the data 99% of the trades happened during covid insane volatility. If you set the bbands width thing high enough WR will be at 100% at least on daily SP500
the constant gulping swallowing sound is killin me sheesh