So I decided to run a backtest on the PSAR indicator settings in
the SPY Breakout sub system that stopped out today. That system
uses a variety of things for stops such as PSAR, ATR, momentum, and
other things.
Since today the PSAR is the one that stopped the trade out I
decided to run a backtest on the settings. Here's a couple images,
the first one shows the new settings I came up with on the left and
the original conditions on the right which stopped out today. Note
I also adjusted the PSAR indicator on the chart. The second image
shows the statistics of both versions. As you can see the version
with the wider PSAR settings on the left would not have stopped out
today and has superior statistics of 96% vs 93% winning trades, a
PF of 34.8 vs 25.5, a higher total, and the same max draw down.
Again we had to follow the system settings that we had in place,
however I'll continue to monitor how the new settings play out and
if that version handles this better, I'll then officially switch to
using that version for the future.
The reason I'm showing this is not to confusion, but show the
things I do. Systems evolve, and you change settings, adapt and
adjust over time, things are not static, so I'm simply giving you
an insight into that process.
Posted by CopperMtn on 25th of Sep 2019 at 09:27 am
Quick question Matt - Will the change you are considering to the
PSAR setting impact just this one sub-system or are you going to
apply it to all the other sub-systems too? If the latter, will you
post how the profit factor, % winning trades, and max drawdown are
effected for each sub-system?
Matt - one of the key things you said is "things are not
static", systems always have to be evolving because business
cycles, news, institutional buying, fed rates, etc.. are always
changing.
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SPY Breakout New Tests
Posted by matt on 24th of Sep 2019 at 06:20 pm
So I decided to run a backtest on the PSAR indicator settings in the SPY Breakout sub system that stopped out today. That system uses a variety of things for stops such as PSAR, ATR, momentum, and other things.
Since today the PSAR is the one that stopped the trade out I decided to run a backtest on the settings. Here's a couple images, the first one shows the new settings I came up with on the left and the original conditions on the right which stopped out today. Note I also adjusted the PSAR indicator on the chart. The second image shows the statistics of both versions. As you can see the version with the wider PSAR settings on the left would not have stopped out today and has superior statistics of 96% vs 93% winning trades, a PF of 34.8 vs 25.5, a higher total, and the same max draw down.
Here's a short video where I discuss this CLICK HERE
Again we had to follow the system settings that we had in place, however I'll continue to monitor how the new settings play out and if that version handles this better, I'll then officially switch to using that version for the future.
The reason I'm showing this is not to confusion, but show the things I do. Systems evolve, and you change settings, adapt and adjust over time, things are not static, so I'm simply giving you an insight into that process.
Quick question Matt - Will
Posted by CopperMtn on 25th of Sep 2019 at 09:27 am
Quick question Matt - Will the change you are considering to the PSAR setting impact just this one sub-system or are you going to apply it to all the other sub-systems too? If the latter, will you post how the profit factor, % winning trades, and max drawdown are effected for each sub-system?
that only has to do
Posted by matt on 25th of Sep 2019 at 09:38 am
that only has to do with that one sub system
thx Matt.
Posted by morton7 on 25th of Sep 2019 at 08:15 am
thx Matt.
Matt - one of the
Posted by ssaffer on 24th of Sep 2019 at 06:34 pm
Matt - one of the key things you said is "things are not static", systems always have to be evolving because business cycles, news, institutional buying, fed rates, etc.. are always changing.