## Optimisation of a system issue

trading strategies and money management discussion, code, results

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alichambers
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### Optimisation of a system issue

I am currently backtesting the BuyZone trading system over 1 year of data, and sorting the results by Gross Profit Made. It is indeed profitable - I am using stop orders to exit and enter.

What I am finding is that by sorting the results by Gross Profit Made, the system has long periods of small losses then one big gain. Although over a year this provides a good return, drawdowns in the interim are bad - and I am looking for regular cashflow with lower drawdowns rather than the largest gain made over a year.

Can anyone think of a way to optimise results for maximal cash-flow each month rather than Gross Profit Made in a year? Is there a mathematical formula I can use?

I tried using a average of x bars, but this still doesn't solve the problem, eg:

Week 1: -\$40
Week 2: -\$40
Week 3: \$8000

whereas I would like more:

Week 1: \$900
Week 2: \$1500
Week 3: \$2000

(this is a very simplified example but illustrates what I am after).

Many thanks,
Alex

TheRumpledOne
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Ali:

Unless you are using a tick by tick approach, backtesting the BuyZone is NOT going to work!!

You don't wait for bars to close to enter/exit buyzone trades. You enter at a price point and you need tick data to do that.

Quit wasting your time backtesting. Either you "see" that it works or you don't - IT'S THAT SIMPLE!

alichambers
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I am backtesting on 1min data. I don't wait for the bars to close - my entry is exactly in the BuyZone.

I totally do see how the BZ makes money, and understand it's simplicity. That is not the issue. My issue is this - I enter three orders on entry - the entry order (on-stop buy at BZ level), the stop loss sell and the profit limit sell. This is because I do not like watching the candles develop as I am a twitchy person by nature. I prefer to enter OCO orders in advance.

So, my only reason for backtesting is not to ascertain whether it works - because I can see that - but what combinations of stop losses and profit limits give the best profitability.

For example, a SL of 4 and a PL of 5 may look good, but it may end up being unprofitable due to high incidences of whipsawing with a 4pip SL.

This is all I aim to ascertain.