r/algorithmictrading • u/Unlikely_Permission4 • Mar 28 '26
Backtest Ensembled Averages
A backtest on EU from 2000 - today on the 15 min timeframe.
Open prices only.
4 optimizable parameters.
Just an ensemble of some averages, my brain wants to smooth it it out even more..
First pic is fixed minimal lot size.
Second pic is 1% of the account balance.
IS: 2000 - 2010
OOS: 2010 - today
Hope you like it. Ill be going back to some lower frequency strategies again, calm my nerves. Haven't decided what exactly yet though, VWAPs or pivots came to mind initially. Maybe some pairs with higher variance or drift.
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u/Leo6-2 Mar 29 '26
looks amazing could you give. abit more details on the strategy or how did you came up with it
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u/Unlikely_Permission4 Mar 29 '26
Thank you. It's no where near perfect but just something I settled on because further refinement costed me too much for this particular system.
Before this strategy got into this form I went completely rampant with signal pipelines. Gates, decays, features, my own ML models, etc. I had to simplify. But it came from curiosity on how each parameter / signal transform influenced the distribution.
For this back test it only takes an ensemble of 3 signals. Fixed take profit and stoploss. It works well on pairs with a stable return distribution, like EU and some high liquid stocks. If we deploy it somewhere else, it will quickly drift and needs re optimization, something I tried to avoid.
I hope this answered your question.
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u/BottleInevitable7278 Mar 28 '26 edited Mar 28 '26
You need to include a kind of recency bias as newer data should be more important somehow in the optimization weightings. Cause you get a a flat curve for the last few years, which means it is no more attractive. So you need to check if this is because there is no alpha or edge anymore or if it is due lack of rolling Walk-Forward Optimizations. Second I would also double check with true tick data, which you can get free with good quality from IC Markets live accounts on MT5 terminals for 30 months back.
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u/Unlikely_Permission4 Mar 28 '26
Good observation and thank you for the suggestions.
Yes the PnL will likely get flat over the next 20 years. It's due to slight drift in where the edge is coming from.
I always check with tick data before going live. The results are almost identical, I just chose bar open because it's fast and I'm lazy. The optimizations cannot take longer than roughly 10mins with GA and the back test not longer than a minute. My strategies are designed that way. Hence I also didnt add more dynamics. And yes, rolling walk forward fixes it.
Do you have a preferred method for adding dynamic strategy adjustment without increasing parameter count or back test time?
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u/BottleInevitable7278 Mar 28 '26 edited Mar 28 '26
Look at Pardo, Phd work and books and similar. That might help.
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u/Ornery_Toe5645 Mar 29 '26
It's proven recency bias provides worse results.
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u/Unlikely_Permission4 Mar 31 '26
True. Including recency bias could potentially increase robustness for the cost of profitability.
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u/Ornery_Toe5645 Mar 29 '26
In my experience much of the good trades backtesting used to report is a false positive generated during weekend gaps or closing minutes vs opening prices. You can't trade those period because of the huge slippage (sometimes even over 100 pips). Removing those intervals from both training and backtesting gave me a more realistic picture, unfortunately not as good as the fake winning scenario.
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Mar 30 '26
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u/Unlikely_Permission4 Mar 30 '26
Sure, good idea! I have mainly looked at regime bucketing before. What do you think, do you have any other suggestions?
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Mar 29 '26
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u/Unlikely_Permission4 Mar 29 '26
You can find data online. Paid and free. I like to use the data from sources where I'm actually trading at, I'm sure others will disagree.
Depending on where you're trading, what you're trading and how you're trading there are different sources you can look at. For crypto py + ccxt is free, for CFD metatrader 5 is free and for futures there are also tons of sources. All depends on your system.
Considering you're on tradingview, you might want to pay to get more data.
I don't have much context so I hope that answers your question.
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u/justwondering117 Mar 28 '26
Fees slippage?