Testing Latest Trading Model

The trading model I referred to a few weeks ago is now in test. The model will be making £2 trades for a maximum of 100 trades to see how the model matches against the optimisation results and the out-of-sample test. Also, it will test out some new code that I have written so I don't want to risk too much in case of program failure. Yesterday saw a glitch where a stop-loss failed to fire and the trade was left to go to expiry whereupon it became a bet... and won. I won't be skewing my analysis spreadsheet with that 1200% return.

A poker playing friend who has gone on to great success at the game once said, after he bad beat me for the umpteenth time, "I'd rather be lucky than good." That's not a mantra I wish to copy in sports trading. Yesterday's good luck could easily have been bad luck so I have rectified the glitch and will take all stop-losses on the chin. Besides, my friend may have his fair share of luck but he is also very good.

I have been discussing the testing of this model over at Trader247. The model is a purely technical pre-start horse race trading model. Nothing is known of the runners, riders, trainers or phase of the moon, just market dynamics, wisdom of crowds and market efficiency. The model is highly selective, placing just a few bets per day rather than firing in many hundreds like some sports trading algorithms.

My aim is to slowly ramp up the trade size, making sure not to reach market capacity, which is very easy at any time prior to the last 15 minutes or so of the pre-start market. A single trade opens the position and then it is closed when a profit-take, stop-loss or start-time is hit. There is no doubling down, Martingales or any desperation to claw back a losing position.

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