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New strategy for trading CL intraday
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New strategy for trading CL intraday

  #1 (permalink)
Trading Apprentice
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New strategy for trading CL intraday

I've been forward testing a new strategy to trade CL intraday. My strategy is long only and I take max 1 trade/day if the setup occurs. Underneath you can see the stats of the last 4 months.

Are these stats good enough to start trading it with real money or do I need more testing? What do you think?

--

# trades = 48
Total win/loss= +17.15

# winners = 32
% winners = 66.7%

# losers = 16
% losers = 33.3%

Total loss of all losers = -7.35
Avg. loser = -0.46

Total profit of all winners = 24.50
AVg. winner = +0.77

Avg. trade = +0.36

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  #2 (permalink)
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  #3 (permalink)
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Only 48 trades ? That's not enough to say anything...

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  #4 (permalink)
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Ecko View Post
I've been forward testing a new strategy to trade CL intraday. My strategy is long only and I take max 1 trade/day if the setup occurs. Underneath you can see the stats of the last 4 months.

Are these stats good enough to start trading it with real money or do I need more testing? What do you think?

--

# trades = 48
Total win/loss= +17.15

# winners = 32
% winners = 66.7%

# losers = 16
% losers = 33.3%

Total loss of all losers = -7.35
Avg. loser = -0.46

Total profit of all winners = 24.50
AVg. winner = +0.77

Avg. trade = +0.36

As sam028 says, not enough trades to make any sort of valid determination (200 trades is what I've been able to find as a bare minimum needed, 500+ would be much better). Oh, and how many contracts per trade are you using?

Cheers!

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  #5 (permalink)
Trading Apprentice
Brussels, Belgium
 
Futures Experience: Advanced
Platform: IB
Favorite Futures: ES,CL
 
Posts: 11 since May 2013
Thanks: 10 given, 6 received


lifeguardsteve88 View Post
As sam028 says, not enough trades to make any sort of valid determination (200 trades is what I've been able to find as a bare minimum needed, 500+ would be much better). Oh, and how many contracts per trade are you using?
Cheers!

I don't use scale in or scale out so the number of contracts is not that important.
I know 48 trades is not that much but a forward test of 500 would take 4 years!

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  #6 (permalink)
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Your key performance indicators are very good; I believe you are on the right track here.
Too bad the low sample, but if you feel confident about your technique then why not give it a try
I've personally always relied on 200 trials for my statistics...

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  #7 (permalink)
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Other thing to consider is that crude has generally been trending up the last few months, so if you are only taking long setups, then what is going to happen when crude is trending down? Is the reason you are only taking longs because shorts aren't working? If you don't know, I would run replays for periods where it is trending down and see if it still holds up.

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  #8 (permalink)
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One way to increase sample size is by trading more products. If the strategy with similar parameters does not function well on other products with modest correlation then it is over curve fitted.

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  #9 (permalink)
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UPDATE:

I've kept testing my CL strategy a while longer and these are the current stats

# trades = 86
Total win/loss= +27.10
expectancy = +0.315 / trade

Thinking about going live with this strategy after rollover.

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  #10 (permalink)
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Ecko View Post
UPDATE:

I've kept testing my CL strategy a while longer and these are the current stats

# trades = 86
Total win/loss= +27.10
expectancy = +0.315 / trade

Thinking about going live with this strategy after rollover.

Seriously? If I read your comment correctly, you've made twenty seven dollars and ten cents on 86 trades. Is that correct? If so, that seems hardly worth the effort. I must be seeing this wrong.

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