Hi again
One more thing I would look for in the system is the sturdiness . . .
Set up a range for all the variables and see that the performance does not shift to any extreme. . .
for e.g study the effect for Long MAs from 15 to 25 and that of short from 05 to 15
we are not doing it to find out the best fit, but to see if all the samples are within our range of tradability
Thanks
Happy
One more thing I would look for in the system is the sturdiness . . .
Set up a range for all the variables and see that the performance does not shift to any extreme. . .
for e.g study the effect for Long MAs from 15 to 25 and that of short from 05 to 15
we are not doing it to find out the best fit, but to see if all the samples are within our range of tradability
Thanks
Happy
Bro can you please check for a little longer period. I don't have this much data.
What is changed:
- SEMA (Slow EMA) - Changed to 200
- FEMA (Fast EMA) - Kept same - did not help tweaking
- STOCK Exit for Shorts - There was a typo in last code , I kept 20, it is actually -20, improved the RR a lot
- Exit Rule: The option2 for exit (both short and long) was SEMA < or > FEMA, which I forced to a crossover now
Detailed:
Most of these are tradable (considering TF is long as 30 mins) - Few are Oxymoron - showing entry exit on same candles, we can live with those.
10/19/2016 9:15:59 AM to 2/16/2017 2:45:00 PM
Total number of trades: 15
Average number of trades per month: 8
Number of profitable trades: 12
Number of losing trades: 3
Total profit: 750.2000
Total loss: -66.6500
Percent profit: 91.116%
Largest profit: 219.8000
Largest loss: -29.6000
Maximum Drawdown: 0.0000
Maximum Drawdown (Monte Carlo): 0.0000
Compound Monthly ROR: 80.2001
Standard deviation: 635.90424004
Annualized standard deviation: 1101.41845250
Downside deviation (MAR = 10%): 0.00000000
Value Added Monthly Index (VAMI): 1.00000000
Sharpe ratio (RFR = 5%): 1.07484737
Annualized Sharpe ratio (RFR = 5%): 1.86169026
Sortino ratio (MAR = 5%): 0.00000000
Annualized Sortino ratio (MAR = 5%): 0.00000000
Sterling ratio (MAR = 5%): 0.00000000
Calmar ratio: 0.00000000
Risk to reward ratio: 0.956
12/6/2016 2:45:00 PM,SHORT,8148.3500
12/6/2016 3:15:59 PM,EXIT SHORT,8138.3500
12/7/2016 9:45:00 AM,SHORT,8150.9500
12/7/2016 9:45:00 AM,EXIT SHORT,8150.9500
12/7/2016 2:15:00 PM,SHORT,8112.4000
12/7/2016 2:45:00 PM,EXIT SHORT,8094.8000
12/8/2016 9:15:59 AM,LONG,8197.6000
12/9/2016 1:15:00 PM,EXIT LONG,8264.1000
12/13/2016 1:15:00 PM,LONG,8194.3500
12/14/2016 9:15:59 AM,EXIT LONG,8199.0500
12/14/2016 11:15:00 AM,LONG,8207.5500
12/15/2016 10:45:59 AM,EXIT LONG,8193.0500
12/19/2016 2:45:00 PM,SHORT,8104.7000
12/19/2016 3:15:59 PM,EXIT SHORT,8101.4500
12/21/2016 9:15:59 AM,SHORT,8085.6000
12/21/2016 9:15:59 AM,EXIT SHORT,8085.6000
12/21/2016 10:45:59 AM,SHORT,8088.4000
12/21/2016 10:45:59 AM,EXIT SHORT,8088.4000
12/21/2016 12:45:00 PM,SHORT,8087.0000
12/21/2016 12:45:00 PM,EXIT SHORT,8087.0000
12/21/2016 2:45:00 PM,SHORT,8057.9000
12/21/2016 2:45:00 PM,EXIT SHORT,8057.9000
12/23/2016 2:45:00 PM,SHORT,7983.0000
12/23/2016 2:45:00 PM,EXIT SHORT,7983.0000
12/26/2016 9:15:59 AM,SHORT,7895.6000
12/26/2016 9:45:00 AM,EXIT SHORT,7925.2000
12/28/2016 2:15:00 PM,SHORT,8055.7500
12/28/2016 2:15:00 PM,EXIT SHORT,8055.7500
12/29/2016 12:15:59 PM,SHORT,8050.2500
12/29/2016 12:15:59 PM,EXIT SHORT,8050.2500
1/2/2017 11:15:00 AM,LONG,8154.2000
1/3/2017 1:45:59 PM,EXIT LONG,8197.2500
1/4/2017 12:15:59 PM,LONG,8195.2500
1/6/2017 10:45:59 AM,EXIT LONG,8260.0000
1/9/2017 1:45:59 PM,LONG,8250.3500
1/12/2017 2:15:00 PM,EXIT LONG,8401.2000
1/13/2017 10:15:00 AM,LONG,8394.2500
1/16/2017 3:15:59 PM,EXIT LONG,8418.7000
1/17/2017 2:45:00 PM,LONG,8402.2500
1/18/2017 11:45:00 AM,EXIT LONG,8427.7500
1/18/2017 2:45:00 PM,LONG,8422.1500
1/27/2017 3:15:59 PM,EXIT LONG,8641.9500
1/30/2017 3:15:59 PM,LONG,8633.7000
2/3/2017 10:15:00 AM,EXIT LONG,8723.9000
2/7/2017 11:15:00 AM,LONG,8781.0000
2/9/2017 9:45:00 AM,EXIT LONG,8779.6000
2/9/2017 12:45:00 PM,LONG,8763.2000
2/10/2017 10:45:59 AM,EXIT LONG,8792.7500
2/10/2017 1:45:59 PM,LONG,8800.0500
...(Open)?
Code (Tradescript - Zerodha Pi)