2019/06/23 ~ FT Test Underway!

~ FT-Test Day 2 ~

One exit for a loss (XLB -%0.91), several new entries.  It is already looking very hard to share the amount of data I am collecting at one time, so I will give you an idea.  I have several different views of this test in Excel.  I am using TDA’s data feed to supply the current information and locking it in manually as needed.   I will explain the categories at the end of the test and in the final analysis.

The overview (not meant for reading here):




Here is the jist when it comes to what I am doing:

What is the version of Fisher Transform used all about?

The indicator I built is the traditional FT where you have the length setting at 10 and the first line (FT_Line) is created.  Normally the signal line is FT[1] or if FT is higher than the bar before then long else short.  Instead, I take a super fast hull moving average of the FT and use it as a singal line, and if FT is higher than the signal line long else short.

What prices are taken in these trades?

All prices are END OF DAY readings (unlike real-life where you need to be filled).  REMEMBER! This is a simulation test, but moving forward live instead of backtesting.  I want to categorize the signals and see which signals traded better than others.  Therefore, I plan to take EVERY single signal from the 142 names I watch.  This will load me up with data.  All trades are binary, so if a short signal comes I go short, and close the long if I was long of course.  Commissions are not being used as the profit run makes no difference.  I am much more worried about measuring the signal categories against each other.

To what end does the test aim?

I want 80-120 trades minimum in each category, making for a lot of data to collect.  It will end when it ends, and I will crunch the numbers. 🙂

How is the data being collected?

I am using a leger that automates the statistics, however, I manually enter and exit the trades in the log.  In the past I shared this each and every day on the QA page.  Now, I think I will just have everyone trust that I am thorough with my data, and that when the test concludes, ALL of the evidence will be available and support my findings.  Remember, I am looking for an amazing setup, and I DO want the test to show me how this indicator fails, and I plan on sharing all of it.  Keep in mind that every time I do a new test, I build a new statistics modeling machine specific to the test that I am doing. Never has a template NOT caused problems, so it is just easier this way believe it or not!  At this point there is more model to build.


To trade right along in thinkorswim.. use this indicator:  http://tos.mx/I1MtDi
~ B3 d^.^b

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

Create a website or blog at WordPress.com

Up ↑

%d bloggers like this: