How to Back-test Trades

Back testing Strategies

Back-testing assesses the viability of a trading strategy by discovering how it would play out with historical data.

A well-conducted back-test that yields positive results assures traders that the strategy is fundamentally sound and is likely to yield profits when implemented in reality. A well-conducted back-test that yields sub-optimal results will prompt traders to alter or reject the strategy.

A strategy that succeeds in the relevant, or in-sample, time period and back-test with data from a different, or out-of-sample, time period. If in-sample and out-of-sample back-tests yield similar results, then they are likely generally valid.

Above definition  taken from investopedia.com

Tweaking the your strategies

There is many settings that will change the outcomes of the TradeFoxx Auto-bot, Changing just one setting can give different results. When you find a setting that works for you and that seems to perform well,  then save it as a template (ATM). In NinjaTrader 8, template have their own folder in the Documents > NinjaTrader 8 > templates folder.

The following results shown below is the back test for one year with the presets  (win to loss) and contracts on some financial instruments. By no means will these results represent the best strategy. We are trying to give you a good starting point for validating and testing.

These results are for all the built-in Strategies available in TradeFoxx Auto-Trader.

Do your own back-testing try to find settings that work for you. Back-testing with the strategy analyzer does not allow trialing stops, expect better results when you use a ATM during simulation. Hard Profits and Stops in the strategy analyzer do not allow profits to run, again setting a ATM with Trailing Profits and Trailing  stops will give better results.

For an unknown reason the Auto-bot works better with Heikin-Ashi. We have concluded if it works then we won’t fix it. We think its that the Chart style uses averages for price bar creation, instead of real-time market price , and therefore works better with the TradeFoxx momentum averages in auto-bot. Some strategies work well with Renko.

The are enormous amount of tweaks to the settings that will  result in enormous amount of different results. You will need to find what works for you. When you find what works for you save it as a template and try it with live feed in simulation or play back.

Patience is a virtue that is vital to success in trading

The Auto-bot is trained to be very specific therefore you might go the whole day without a trade or some days you might have one or two. The back-testing will tell you on average how many trades you should expect per day. The modification of some setting like the price spread value will increase trade frequency. For instance by setting the price spread value to zero will increase trades per year.

The Templates used for these back-tests can be downloaded here. You then install them in your local drive in this directory C:\Users\???\Documents\NinjaTrader 8\templates\Strategy\TradeFoxxTrader

To test strategies you must set limit/market/backtest to the value of 3

ES Heikin-Ashi 5 minute Chart Aggressor Event 0

Automatic Trade Strategy Event 0

ES Heikin-Ashi 5 minute Chart Aggressor Event 1

Automatic Trade Strategy 1

ES Heikin-Ashi 5 minute Chart Aggressor Event 2

Aggressor Event 2

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-1

Aggressor Sub-Event 3-1

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-2

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-2

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-3

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-3

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-4

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-4

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-5

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-5

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-6

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-6

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-7

ES Heikin-Ashi 5 minute Aggressor Sub-Event 3-7

BTC Heikin-Ashi 15 minute Aggressor Sub-Event 3-5

BTC Heikin-Ashi 5 minute Aggressor Sub-Event 3-5

CL Heikin-Ashi 5 minute Aggressor Sub-Event 3-5

CL Heikin-Ashi 5 minute Aggressor Sub-Event 3-5

EMD Renko 2 Aggressor Sub-Event 3-8 Fuzzy Logic on
CL Renko 2 Aggressor Sub-Event 3-8 Fuzzy logic on
M6E Renko 1 Aggressor Sub-Event 3-8 Fuzzy logic off