I have created a follower trading System with Heikin Ashi candles that, applied to different stock portfolios and after several Walk-Forwards, provides quite satisfactory positive results, following the instructions in the book "Modeling Trading System Performance", but I have a doubt!
Regarding the results of the trades provided by the analysis of Amibroker, I see that the vast majority are closed for the trailing stop. Does this indicate a defect? Does it mean that the system works only for stop action?
In 34 months it has 1400 trades, 98.7% winners, 99.05% exposure, Avg. Profit / Loss% 2.25%, Avg. Bars Held 1.2, Max. trade% Drowdown -5.26%, Max. system% drawdown -2.94%, Sharpe Ratio of trades 15.74
Could it not work in real trading?
Thank you very much!
How else are trades exited?
Either you set fixed targets, or you Trail the trade which is the most simple and ideal for a Trend following system.
Back testing isn't everything, you need to deploy real cash and see how it goes.
Minimal position size to minimize cost.
Markets also tend to be trending, sideways or volatile at times, since I haven't specifically read that book, there maybe few things I am not including but the only way a real system works is when it makes real $$.
@Linx without more information it is difficulty to give you an accurate answer. Show us the entire page of your test results, describe your time frame and what type of securities you are trading, and give a general outline (no magic ingredients) of what your stategy is attempting to do.
BUT... I think your results are suspect and probably you are making big mistakes in your code.
"The vast majority are closed by a trailing stop", and the average trde duration is 1.2 bars. But you have approximately 99% Winning trades. That doesn't seem likely. You get "trailing stopped out" in 1 bar, but 99% winners?
You also wrote this is a "follower trading strategy"? Do you mean Trend Following? And if so, how can you be exiting every 1.2 bars if you are a Trend Follower?
And do some research on the Sharpe ratio, you will find that 15 is very very unlikely.
@portfoliobuilder, Thank you very much for your instructions, I think that I have already found the cause of the departure of the trades, I have in the formula the following statement:
ApplyStop (stopTypeTrailing, stopModeRisk, 1, 1, True); //% Profit Trailing Stop
with a 1% risk tolerance over Equity (curve of money) not in relation to the price of the instrument.
This Linx Formula 1 seeks to be always in the market and follow the stock market trend, using the Heikin Ashi candles.
The system is very simple, creates two false averages (of 1 period) of the open and close value of each Heikin-Ashi candle and compares them when one goes over the other.
the periodicity is daily.
The system is accompanied with a good risk and money management, that is very important to reduce the DD and increase the winning trades.
I would attach the test result, I don't know how... if you indicates me I will try, thanks again
Thank you very much to your kind and quick answer.
In reference to your question, "How else are trades exited?", the trades could exit by an Sell or Cover order, but the Profit Trailing Stop arrives before.