RSI Trading of YM

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progster
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RSI Trading of YM

Postby progster » Wed Mar 17, 2010 3:53 pm

Here are some screenshots of walk-forward analysis results for trading the YM (Dow mini-futures) on a 5m timeframe from mid-July 2009 thru mid-March 2010.

This trading analysis was done using CFT's RSI Strategy Suite for MultiCharts and BTWFMgr (which now works with both TradeStation and MultiCharts in the latest version) .

Initial, in-sample results, of course find the retrospective "great fits", like this one:

MC_RSI_YM_5m_01.png
In-Sample "curve fit"

Of much greater interest is what happens when we walk-it forward.

Using BTWFMgr, I ran 864 pre-defined WFAs (variations of IS-OOS and filter setups). Below are some illustrative pictures from the various organized output categories:

MC_RSI_YM_5m_02.png
Walk-Forward, Good Equity, not-too-frequent

MC_RSI_YM_5m_03.png
Walk-Forward, Low Volatility, High PF

MC_RSI_YM_5m_04.png
Walk-Forward, High "Robustness"

MC_RSI_YM_5m_05.png
Walk-Forward, Best SmartRank1

MC_RSI_YM_5m_06.png
Walk-Forward, Filters 1 and 2 Outperform

MC_RSI_YM_5m_07.png
Walk-Forward, Time-of-Day Performance

The MultiCharts/CodeForTraders/BTWFMgr combination is a powerful one. :D

As per usual, we see that the "near-perfect" in-sample performance is a retrospective illusion. However, sound trading principles can lead to walk-forward out-of-sample performances that represent profitable trading opportunities if executed with discipline over the long haul.

To know if your latest exciting system performance results are illusion only, or simply an overstatement of a basically sound methodology, you have to do walk forward analysis (WFA). Then you need to evaluate the results with a critical (yet realistic) eye, considering such issues as liquidity, frequency of trading, commissions, slippage estimates, etc.

AmiBroker supports WFA directly, and TradeStation and MultiCharts users can do their WFA with BTWFMgr.

I'll be posting more results from CFT strategies as time allows. Happy walking!

User avatar
progster
Posts: 948
Joined: Thu Jul 26, 2007 7:20 pm
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Re: RSI Trading of YM

Postby progster » Mon Aug 16, 2010 11:25 am

BTWFMgr has been enhanced to add full support for operation with AmiBroker. This is great news because the features and power of BTWFMgr are far, far beyond the basic WFA that AmiBroker itself provides.

That makes 3 separate and powerful front-end platforms now supported by BTWFMgr: TradeStation, MultiCharts, and AmiBroker!

So, who's counting? We are! :D


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