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Results of Backtesting>> Profitable system!! What other tests should I perform?
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Results of Backtesting>> Profitable system!! What other tests should I perform?

  #11 (permalink)
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I reckon manual back tests are great to see if a premise has merit. After that the only true way to know is to get it coded and then start a proper testing regime.

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  #12 (permalink)
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kevinkdog View Post
Unless you are using limit orders for entry and exit, you need to include some slippage.

Since you ran multiple tests on the same data, your results are somewhat optimized. So, that means I would not expect future results to be as good.

I recommend a longer backtest, with the final version of your strategy.

Meh, and I am only making approximately $1600 in that period....so the net equity is less than stellar.

@kevinkdog

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  #13 (permalink)
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kevinkdog View Post
Did you include slippage and commission?

Can you run a longer backtest, maybe 2-3 years at least, preferably 5-10 years? You might need to test on 6E instead.

How many times, if any, did you run this test with different sets of rules, or modified rules, etc.?



Sorry I made a mistake, the period tested was actually Nov 5 2013 - Feb 3 2016, not Nov 5 2015. So just over two years, would this make any difference in your opinion?

Have a great weekend Kevin,

AQT


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  #14 (permalink)
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AshleyQueenTrader View Post
Sorry I made a mistake, the period tested was actually Nov 5 2013 - Feb 3 2016, not Nov 5 2015. So just over two years, would this make any difference in your opinion?

Have a great weekend Kevin,

AQT


@kevinkdog



2+ years is a lot better, but personally I would not trust less than 5 years. You want to see how it performs in as many markets conditions as possible.

The discouraging news might be the profit of $1000 after 2 years.

Did you ever go back and add in slippage? That will knock that profit down even more...

But all things considered, this might be a way to trade live fairly cheaply, and test out some of your assumptions about slippage, see if you can trade the strategy live in real time, etc. That might make it worth while.

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kevinkdog View Post
2+ years is a lot better, but personally I would not trust less than 5 years. You want to see how it performs in as many markets conditions as possible.

The discouraging news might be the profit of $1000 after 2 years.

Did you ever go back and add in slippage? That will knock that profit down even more...

But all things considered, this might be a way to trade live fairly cheaply, and test out some of your assumptions about slippage, see if you can trade the strategy live in real time, etc. That might make it worth while.

No I never added in slippage...I should deduct two ticks for every trade?

But know that I used the 6E contract, but recorded profits/losses as if it was a M6E contract, so therefore after two years my net profit would be $1600 x 10 = 16000.

Thanks sir,

AQT

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AshleyQueenTrader View Post
No I never added in slippage...I should deduct two ticks for every trade?

But know that I used the 6E contract, but recorded profits/losses as if it was a M6E contract, so therefore after two years my net profit would be $1600 x 10 = 16000.

Thanks sir,

AQT

@kevinkdog

2 ticks might be OK, I don't know since I do not trade the micro.

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