Think, that many do not even suspect that their highly profitable systems are looking to the future. In fact, it is easy to determine — if the system shows a result much higher than expected, then with confidence 100% we can conclude that something is wrong, because miracles do not happen. That's just where the catch is, sometimes it's hard from the first, or even from the second or third time to determine. I, too, am no exception, and from time to time I find myself on various sophisticated peeps of the system into the future.. While peeping into the future, which will be discussed below, not so sophisticated, but, surprisingly, I fell for it and did not suspect about it for about a couple of weeks until today I was convinced by a real example. Therefore, it is very important not to rush into battle with full strength immediately after creating the system., rather check, test on real life with the smallest possible position size for some time, closely accompanying transactions by hand.
All in all, I created an intraday system, the content of which is approximately the following:
1. Entrance — if candles and indicators on the daily chart create a certain configuration (I will not disclose specifically as it is not important for this story), then we place a limit order to open a position at the price of the extremum of the previous candlestick against its direction. In the example in the picture there was a purchase:
2. Exit —
and) At the close of the session.
in) По лимитному ордеру по цене равной середине предыдущей candles (in the figure, the exit point is indicated by a red dot)
I.e, if the limit order is not triggered, then we exit at the close of the session.
3. MM —
We play only the most liquid stocks with a dollar volume of more than 100 000 000 dollars per session.
I divide the deposit into 20 parts, that is, one part is 5% from the deposit. If we have 100 000 Dollars, then one position is opened with the amount 5 000 Dollars. It means, what if, even hypothetically, we lose the entire position in one session to zero, then this loss will be all 5% from the deposit. This is our stop. Such, certainly, will never happen, but MM must always be present, otherwise, as a result of an unforeseen catastrophe, you can always go broke.
And here's what happened on the tests of the daily charts since the beginning of this year.:
In fact, the results are fantastic. — Sharpe 7.8, profit 86% with a drawdown of everything 2%, recoveries 17 !!!!!!!!!!!!!! BUT schedule эквити за 8 MONTHS THAT DOESN'T HAPPEN at all!!!!!
Tested for 5 years, behind 10 — there is generally equity in the form of a straight line at an angle 45% with a maximum drawdown of about 3%, but her of course, on such a long period, the chart does not show.
All in all, I felt that this does not happen, but could not find the catch in any way, although it lies on the surface and how I did not immediately see it, I don't mind — any first grader would see it :)
It's good that you had the mind to start tests on the real world with the minimum position size, otherwise he could have the maximum to quickly redeem the peninsula of Barbados :)
