Testing Precision stop on simulation using fixed percentages instead of the usual components of noise and 6-12 averages.

Idea is to seek the generic best stop percent for broad analysis, and hence then try long short combinations different percentages.

Settings

Slippage 50%, Spread 1.5% ps, Risk 0.25, Max trades 123, Max gearing 7

123 stocks 10 years of data roughly tested to around 4.5 gearing target.

 

Percent tests with stop below.

Back to simulation tests

RED = UNTRUSTWORTHY RESULTS.

Percent stop Trade div Max per Profit % Profit Max dd Max UW Win-L R-R Trades Gearing Comments
1     17 digit number trillions 6.8 5 .395 6.84 41,779 3.77 confirmed fears
2                      
3                      
4 10 3.2 £302,694,186,029 3,026,941,760% 10.8 101 2.84 .386 39.919 3.939 seems too good
5% 100 3 £389,810,309 3,809,664% 17.99 .385 2.51 2.51 33,659 3.68 tripping out??
6                      
7 95 3.5 £9,708,807 96,988% 45.48 563 .392 1.99 24,062 4.49  
8                      
9                      
10%     £451,777 4,417% 45.66 535 .401 1.77 14,627 4.65  
11                      
12                      
13                      
14                      
15% 60 4 £213,241 2,032% 69.98 899 .394 1.83 8132 4.58  
16                      
17                      
18                      
19                      
20% 50 5.5 £243,541 2,335% 79.65 1046 .407 1.91 4974 4.25 dd caused by bug
                       
                       
                       
                       
50% 20 8 £4,494,205 £44,842% 59.34 268 .465 1.658 843 4.49  
                       

Percent tests also show signs of system tripping out with high frequencies.

  1. The big question now comes up, how to identify the tipping point, where real results turn into bullshit results.
  2. How to know prevent this incorrect trade booking
  3. Run some tests in tradestation and figure it out....brb
  4. Testing in TS shows that anything under 4% is way too busy apart from very clean low noise stocks.
  5. So we need to see whats going wrong in the code to give these silly trillion profits.

 

 

 

 

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