Renko BrickBox Strategy Research

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progster
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Renko BrickBox Strategy Research

Postby progster » Mon Jul 07, 2008 2:19 pm

This topic presents results from Progster's Renko BrickBox Strategy .

Progster's Renko BrickBox Strategy is the 3rd strategy add-on product for SwissTrader's Renko Bricks Indicator Package being made available by CFT.

Here is the short summary, in tabular format:

Renko.BrickBox.D30.5yr.png
BrickBox Strategy - 5yrs - D30

The table summarizes the best per-symbol results for the BrickBox strategy over the test period.

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progster
Posts: 948
Joined: Thu Jul 26, 2007 7:20 pm
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Re: Renko BrickBox Strategy Research

Postby progster » Mon Feb 23, 2009 4:00 pm

The pictures below illustrate two ideas -

    "Realtime" walk forward testing
    The changing modes of the market
On the left is the #P_BrickAgeBO strategy, as optimized thru 7/30/2008. IOW, the picture shows the top-performing result, by NetProfit, given by that optimization.

On the right is the #P_BrickAgeBO strategy retested today thru 1/30/2009, with the same parameter settings as selected by the earlier test. (In TradeStation, this is very easily done by copying the earlier saved chart window, then updating the LastDate in the symbol dialog.) This is a "realtime" walk-forward test because the strategy settings were determined months ago (by the first test), and now those same settings are being retested on previously unseen market data that has arrived subsequently.

BrickAge_July08_Jan09_01.png
#P_BrickAgeBO, thru July 08, thru Jan 09

Notice how the settings that performed well thru July 08, also performed well thru Jan 09. ($16.7k grows to $38.1k)

However, observe:

BrickAge_July08.png
#P_BrickAgeBO, Equity thru July 08

What was (by testing) a high-performing strategy over the whole period thru July 08, actually had a significant flat area in the 2nd part of the period. One might have concluded "too much sideways movement, bad strategy".

And yet, here is the subsequent performance:

BrickAge_Jan09.png
#P_BrickAgeBO, Equity thru Jan 09

That flat period can be seen, but it did not last forever. The good performance resumed, to a significant profit.

A strategy that does well in the good times, and not-too-poorly in the bad times is one that will realize alot of profit for the user over the long haul.

It may seem counter-intuitive to start trading a strategy that has done "nothing" lately, and yet doing so can position you for the next big run.

It's a very similar idea to "buying the dip" during an uptrend, only in this case you "buy the dip" (or flat period) of the strategy equity curve.

No strategy can trade all market modes equally well. Still, people pursue that "holy grail", without respect to the simple facts that it's impossible to identify or time market modes that haven't happened yet, while identification of a new mode that has begun is bound to lag the what turns out to be the retrospective beginning of that mode.

Good trading strategies are based on sound fundamental market ideas combined with good testing and appropriate risk management, not on a wizard-like ability to see the future and accurately predict the type and timing of the various modes of the market.


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