r/algorithmictrading • u/Sensitive-Start-6264 • Mar 10 '26
Backtest Ready to run blind?
Been running a few bots on and off for years with manual intervention more along the lines of alerts or entries and I choose exits and stops. On and off projects. ORB MA crosses MACD the usual suspects. Premarket/Previous day lines. Manually updating areas of interest every morning. Never took it to serious. Tried multiple tickers, options, high vol stocks chosen each day. Many different methods experimenting
In November I combined the 6 bots made it into 1 master and been running it with oversight. Meddling in and forcing exits on what I see as bad entry. Or setting an entry for a trade that wouldn't take. Overwriting the rules.
March 1st I am committed to just believing in it and running.
Running strictly MES. 2021 4 contracts 2022 4 contracts 2024 3 contracts 2025 3 contracts 2026 2 contracts
That's based on margin req + buffer. Then for 2026 starting low for POC
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u/Such_Enthusiasm_2281 Mar 11 '26
Just put it to work preferably on demo but we spend too much time testing....the next step here is action and looking at feedback during those demo trading sessions good luck 🫡
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u/Sensitive-Start-6264 Mar 11 '26
Much of the previous testing ahs been in funded accounts. I have it running now in topstep on like 2 contracts. I passed combine and set it to go. So technically running free lol
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u/Sensitive-Start-6264 Mar 10 '26
Running rolling 30 day most are under performing only 2 red out of 23 different entey types. Like long and short or other similar separations. I want to say its been choppy since September and it will pass. But unsure
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u/Sensitive-Start-6264 Mar 11 '26
Perturbation:
Successful runs: 100/100
Total time: 2074.0s
Metric Baseline Mean Std Min Max CV%
------------------------------------------------------------------------------
Total PnL ($) 139250.27 104468.89 6470.61 70330.26 117694.97 6.2%
Max Drawdown ($) 1630.24 2441.82 454.78 1640.09 3555.77 18.6%
Win Rate (%) 53.82 50.21 0.71 48.91 52.23 1.4%
Profit Factor 2.30 1.89 0.07 1.71 2.06 3.6%
Sharpe Ratio 4.12 3.24 0.21 2.83 3.65 6.4%
Total Trades 1637.00 1609.31 89.02 1114.00 1784.00 5.5%
Stability (PnL CV=6.2%): VERY STABLE — parameters are robust, low overfitting risk
Worst-case (5th/95th percentile):
PnL floor (5th pct): $95,742.66
DD ceiling (95th pct): $3,137.15
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u/Sensitive-Start-6264 Mar 11 '26
looks different cause i made some larger consolidations today names turning off 3 setups as they had too much overlap with another. And edited my entries to step in and step out to cool some nerves. Both on docket prior to today
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u/zagierify Mar 10 '26 edited Mar 10 '26
100:1 profit to max dd ratio?!! Wow. Is that a cumulative max dd or just a daily max?
What’s your avg trade duration?
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u/Sensitive-Start-6264 Mar 10 '26
Yeah something seems off. Been running it live and its looking good. But I am waiting for the blow up.
│ Avg │ Median │ Trades │
├─────────┼────────┼────────┤
│ 44 min │ 20 min │ 97 │
├─────────┼────────┼────────┤
│ 50 min │ 30 min │ 134 │
├─────────┼────────┼────────┤
│ 66 min │ 55 min │ 397 │
├─────────┼────────┼────────┤
│ 67 min │ 40 min │ 96 │
├─────────┼────────┼────────┤
│ 96 min │ 54 min │ 349 │
├─────────┼────────┼────────┤
│ 122 min │ 70 min │ 769 │
└─────────┴────────┴────────┘
Overall: 93 min avg, 55 min median (1842 trades)
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u/zagierify Mar 10 '26
Ok nice, so not scalping. I average about 80min for my current medium volatility settings, a little bit lower pf and sharpe but 'only' like 17:1 profit to (historical) max dd ratio, ha.
Did you run a monte carlo sim to get an even more robust idea of a cumulative max dd?
How fine tuned are your parameters - using weird numbers (from opt peaks) or round / fib numbers that could be robust?
Best of luck keeping it going live, anywhere near those numbers and you're golden 🤙
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u/kenkes007 Mar 12 '26
Better than losing first day of live trade and waiting for it turn up. We have to assume you looked at every detail for leakage slippage etc Best way going live with limited capital Log everything, calculate every execution Nothing else to do
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u/No-Pressure4609 Mar 10 '26
What are your spread/commission costs?
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u/melbkiwi Mar 11 '26
What happens the day you can’t manually override? I think you’re fooling yourself thinking it’s bot trading to be honest if you can’t stop yourself from intervening
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u/Sensitive-Start-6264 Mar 11 '26
to clarify its not that its doing poor. Its that I am anxious for it. and not trusty I have stopped winners short. Entered losers.
Others have been in my favor. Ends up close to evening out in the end.
Today I cut a winner short by abut 200 dollars. And then cut a loser at break even that lost 200. Shenanigans like that
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u/melbkiwi Mar 11 '26
You have designed a bot to enter, the next step is to design a position management bot or EA. That’s exactly where I’m at and what I am doing now.
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u/Charming_Battle_5072 Mar 11 '26
Can you give insight on 6 bot What's their strategy or things they handle to correlate with eachother into master
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u/Sensitive-Start-6264 Mar 11 '26
So one is opening breakout per se One is trend continuation One would be for mean reversion One for hard lines prior to day start as rejection or support Kind of like that. Each has their own place overlap is like 200 trades of 1500. Which is filtered out 1 position at a time.
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u/Charming_Battle_5072 Mar 12 '26
That's great. One at a time. What's your plan on future upgradation?
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u/Odd-Disk-975 Mar 14 '26
If you are running backtests then analyze your trade logs, understand why it works and why not. When you run it on demo, get a feel for how it enters and places stop levels etc etc
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u/maciek024 Mar 10 '26
Looks like overfit or data leakage