269 lines
6.4 KiB
Markdown
269 lines
6.4 KiB
Markdown
# SimpleORB Strategy Optimization Guide
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**Date:** February 17, 2026
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**Current Performance:** $320 profit, 60% win rate, 3.0 profit factor
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**Goal:** Optimize parameters to improve profitability and reduce drawdown
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---
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## 📊 Current Baseline Performance
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### Trade Statistics (5 trades, Feb 10-16, 2026)
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- **Net Profit:** $320
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- **Profit Factor:** 3.00
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- **Win Rate:** 60% (3W/2L)
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- **Avg Win:** $160
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- **Avg Loss:** $80
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- **Win/Loss Ratio:** 2:1
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- **Sharpe Ratio:** 1.31
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- **Max Drawdown:** $160
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### Performance by Direction
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**Longs (2 trades):**
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- Win Rate: 100%
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- Profit: $320
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- Profit Factor: 99.0
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- Sharpe: 2.30
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**Shorts (3 trades):**
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- Win Rate: 33%
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- Profit: $0
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- Profit Factor: 1.00
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- Sharpe: 1.53
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**KEY INSIGHT:** Longs are exceptional, shorts are break-even/losing.
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---
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## 🎯 Optimization Priority List
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### Priority 1: Direction Filter (CRITICAL)
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**Current:** Trading both long and short
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**Issue:** Shorts have 33% win rate vs 100% for longs
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**Action:** Test long-only mode
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**Expected Impact:**
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- Net profit: Increase (eliminate losing shorts)
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- Win rate: Increase to 100%
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- Drawdown: Decrease significantly
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---
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### Priority 2: Opening Range Period
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**Current:** 30 minutes
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**Range to Test:** 15, 20, 30, 45, 60 minutes
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**Hypothesis:**
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- Shorter OR (15-20 min): More trades, potentially more false breakouts
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- Longer OR (45-60 min): Fewer trades, higher quality setups
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**Metric to Watch:** Profit factor, win rate
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---
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### Priority 3: Stop Loss / Profit Target
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**Current:** Stop 8 ticks, Target 16 ticks (2:1 R:R)
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**Test Matrix:**
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| Stop | Target | R:R | Rationale |
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|------|--------|-----|-----------|
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| 6 | 12 | 2:1 | Tighter, less heat |
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| 8 | 16 | 2:1 | Current baseline |
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| 10 | 20 | 2:1 | Wider, more room |
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| 8 | 24 | 3:1 | Asymmetric, bigger winners |
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| 10 | 30 | 3:1 | Wide asymmetric |
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**Metric to Watch:** Win rate vs avg win/loss ratio tradeoff
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---
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### Priority 4: Entry Threshold (Std Dev Multiplier)
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**Current:** 1.0 (breakout = 1x standard deviation)
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**Range to Test:** 0.5, 1.0, 1.5, 2.0
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**Hypothesis:**
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- Lower (0.5): More entries, lower quality
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- Higher (1.5-2.0): Fewer entries, higher conviction
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**Metric to Watch:** Trade frequency vs win rate
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---
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### Priority 5: Time-of-Day Filter
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**Current:** Trading all day (9:30-16:00)
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**Test Scenarios:**
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- First hour only (9:30-10:30)
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- Morning session (9:30-12:00)
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- Afternoon only (12:00-16:00)
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- First 2 hours (9:30-11:30)
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**Hypothesis:** Early breakouts (first hour) might have more momentum
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**Metric to Watch:** Win rate by time of entry
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---
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## 📋 Optimization Test Plan
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### Phase 1: Quick Wins (30 minutes)
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**Test long-only mode immediately**
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1. Add property to SimpleORBNT8:
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```csharp
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[NinjaScriptProperty]
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[Display(Name = "Long Only", GroupName = "ORB Strategy", Order = 10)]
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public bool LongOnly { get; set; }
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```
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2. Update intent processing in base class to filter shorts if LongOnly = true
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3. Re-run backtest with LongOnly = true
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**Expected:** Profit increases, drawdown decreases
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---
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### Phase 2: Parameter Grid Search (2-3 hours)
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Use NT8 Strategy Analyzer Optimization:
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**Variables to Optimize:**
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1. Opening Range Minutes: 15, 20, 30, 45, 60
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2. Stop Ticks: 6, 8, 10, 12
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3. Target Ticks: 12, 16, 20, 24, 30
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4. Std Dev Multiplier: 0.5, 1.0, 1.5, 2.0
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5. Long Only: true, false
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**Optimization Metric:** Net Profit or Sharpe Ratio
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**Total Combinations:** 5 × 4 × 5 × 4 × 2 = 800 tests
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**Reduce to:** Test in stages to avoid combinatorial explosion
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---
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### Phase 3: Walk-Forward Analysis (4-6 hours)
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**Process:**
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1. Split data: Train on Jan-Feb, Test on Mar-Apr
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2. Optimize on training set
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3. Validate on test set (out-of-sample)
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4. Check for overfitting
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**Goal:** Ensure parameters aren't curve-fit to specific market conditions
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---
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### Phase 4: Regime-Aware Optimization (Future)
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Use existing regime detection:
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- Optimize separately for High Vol vs Low Vol regimes
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- Different parameters for Trending vs Mean-Reverting
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- Grade-based position sizing (already implemented)
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---
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## 🔧 NT8 Strategy Analyzer Optimization Settings
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### How to Run Optimization in NT8:
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1. **Open Strategy Analyzer**
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2. **Click "Settings" tab**
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3. **Enable "Optimize"**
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4. **Select parameters to optimize:**
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- Opening Range Minutes: Start 15, Stop 60, Step 15
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- Stop Ticks: Start 6, Stop 12, Step 2
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- Target Ticks: Start 12, Stop 30, Step 4
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- Std Dev Multiplier: Start 0.5, Stop 2.0, Step 0.5
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5. **Optimization Target:**
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- Primary: Net Profit
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- Secondary: Sharpe Ratio (to avoid overfitting)
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6. **Click "Run"**
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7. **Review results** - sort by Sharpe Ratio (not just profit)
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---
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## 📊 What to Look For in Results
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### Red Flags (Overfitting):
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- ❌ Win rate > 90% (unrealistic)
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- ❌ Sharpe > 5.0 (too good to be true)
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- ❌ Only 1-2 trades (not statistically significant)
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- ❌ Max drawdown = $0 (lucky parameters)
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### Good Signs (Robust):
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- ✅ Win rate 55-70%
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- ✅ Sharpe 1.5-3.0
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- ✅ 10+ trades (statistical significance)
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- ✅ Profit factor 1.5-3.0
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- ✅ Consistent across similar parameters
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---
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## 🎯 Expected Optimal Results
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Based on current performance, after optimization expect:
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**Conservative Estimate:**
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- Net Profit: $400-600 (vs $320 baseline)
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- Win Rate: 65-75%
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- Profit Factor: 2.5-4.0
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- Sharpe: 1.5-2.5
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- Max Drawdown: <$200
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**Stretch Goal:**
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- Net Profit: $800+
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- Win Rate: 70-80%
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- Profit Factor: 3.5-5.0
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- Sharpe: 2.5-3.5
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---
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## 📋 Immediate Action Items
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### Today (30 minutes):
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1. ✅ Add "Long Only" property to SimpleORBNT8
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2. ✅ Test with LongOnly = true
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3. ✅ Compare results to baseline
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### This Week (3-4 hours):
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1. Run parameter optimization in NT8
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2. Test top 5 parameter sets
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3. Validate on different time periods
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4. Document optimal parameters
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### Next Week (Future):
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1. Walk-forward analysis
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2. Regime-specific optimization
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3. Monte Carlo robustness testing
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---
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## 🎉 Summary
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**You have a PROFITABLE strategy that's working!**
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Key optimizations to try:
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1. **Long only** (eliminate losing shorts) - TEST FIRST
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2. **Opening range period** (15-60 minutes)
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3. **Stop/target optimization** (6-12 ticks / 12-30 ticks)
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4. **Entry threshold** (0.5-2.0 std dev)
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**Current:** $320 profit, 60% win, 3.0 PF, 1.31 Sharpe
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**Target:** $500+ profit, 70% win, 3.5+ PF, 2.0+ Sharpe
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**The foundation is solid - time to fine-tune!** 🚀
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---
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## 📝 Notes
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- Always validate on out-of-sample data
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- Don't overfit - simpler is better
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- Focus on Sharpe Ratio, not just profit
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- 10+ trades minimum for statistical validity
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- Document everything for reproducibility
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