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Price Action Strategies, Technical Analysis, Trading Strategies

Forward Performance Report of Machine Generated Trading Strategies

Forward performance testing is considered the third and final stage before employing a system in actual trading. The first two stages are the in-sample and out-of-sample testing. This is a report for 6 systems that have been developed using Price Action Lab for 3 ETFS (SPY, QQQ, DIA), one currency pair (GBPUSD) and two commodity futures (EC, YM). The forward testing will continue for a period of six months after the end of the out-of-sample test of each system.

This is the second report on the forward performance of machine designed trading strategies using Price Action Lab. The first report included only performance results for SPY, QQQ and DIA. We call “forward performance” the results obtained for the systems after the end of the out-of-sample period used during the development phase.

This is a table of the performance summary:

System Start date Trades Win Rate% Profit Factor  Profit/Loss (Points/pips/ticks)
SPY 04/09/2012 12 66.67 1.94 12.92
QQQ 04/09/2012 12 58.33 1.72 9.12
DIA 04/02/2012 26 61.54% 1.98 18.47
GBPUSD  06/05/2012 13 69.23% 2.25 750
EC 04/02/2012 17 64.71% 1.64 428
YM 04/03/2012 6 16.67 0.30 -350

Comments:

1. The YM system has only 6 trades (one winning and 5 losing) and thus it started the forward test with a drawdown. This system is under close inspection for possible rejection.

2. The GBPUSD systems has been the best performing so far based on profit factor and win rate. The profit target and stop-loss of this system are both 150 pips and that leaves no room for stop chasing by HFT algorithms because this is a position system.

3. All signals generated by different patterns as considered by the forward test and as a result position size (shares, contracts, lots, etc.)  increases accordingly and it does not remain constant.

The code for these systems is for sale. Follow this URL for more details. Full system code is available for Tradestation and Amibroker (Charts created with AmiBroker – advanced charting and technical analysis software. http://www.amibroker.com/”) and condition code for several other platforms.

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