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Is this strategy good enough?
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Is this strategy good enough?

  #1 (permalink)
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Is this strategy good enough?

Hi,
Strategy that gives annual netprofit of 5K and max. DD of 1.8K. Is it good enough to trade?
One more thing - this is very robust strategy. I don't want to explain yet what it means.

Baruch
p.s. Lets assume that those numbers include commissions and slippage.

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  #2 (permalink)
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baruchs View Post
Hi,
Strategy that gives annual netprofit of 5K and max. DD of 1.8K. Is it good enough to trade?
One more thing - this is very robust strategy. I don't want to explain yet what it means.

Baruch
p.s. Lets assume that those numbers include commissions and slippage.

The information that you disclosed does not allow to answer your question.

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  #3 (permalink)
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Quoting 
The information that you disclosed does not allow to answer your question

Why not? What else do you need. For me its enough.

The strategy has many trades.

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  #4 (permalink)
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baruchs View Post
Hi,
Strategy that gives annual netprofit of 5K and max. DD of 1.8K. Is it good enough to trade?
One more thing - this is very robust strategy. I don't want to explain yet what it means.

Baruch
p.s. Lets assume that those numbers include commissions and slippage.

On a theoretical approach (that means your theory is so robust that it replicates every year) and assuming that 95% of traders are loosing money this is a very good strategy, unless there is a better one

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  #5 (permalink)
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Fat Tails View Post
The information that you disclosed does not allow to answer your question.

I agree with @Fat Tails, without a Sharpe ratio, viewing the EC, and the other metrics, what can we say ?

Success requires no deodorant! (Sun Tzu)
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  #6 (permalink)
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I would put my money in anything if it returned anything guaranteed. In fact i don't understand your question.

You ask if it's ok to earn a few 1000$ with an automated system ? that question can only exist if the maximum drawdown is not the maximum guaranteed drawdown.

if u are talking about win/loss ratio, then only u can answer

i scalp profitable and i risk more than my predefined targets, i have days i win more than your system in a year, so what is best ? only u can tell

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  #7 (permalink)
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O.K.
I see that at least some people try to think about it, so lets continue.
I didn't say that the strategy is an automated one, but to answer my question, I wouldn't trade it if it wasn't.
The robustness I talked about consist in that this strategy performs the same for about 20 instruments.
Now my question is what do you think will be the net profit and DD if traded on 20 instruments together?

Baruch
p.s.
After I gather some answers I'll post backtest results. They will blow your mind.

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  #8 (permalink)
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Dr. Al Brooks' answer about backtesting:

Brooks Price Action


Quoting 
Al, you mention in your Las Vegas presentation that there are many problems with computer backtesting. Could you please elaborate? Thanks.

from al
i could write a book on the subject and i am sure that there are many, but they are probably for mathematicians. i wrote about it some in the upcoming books. one of the biggest problems is distinguishing between what is real and what is coincidence. if you flip a coin 5 times and it comes up heads in 4, there is not an 80% chance that it will come out heads on the 6th toss. this is the single biggest prob with testing. TradeStation and other programs make it look like you have a winning strategy and they come up with all kinds of figures that get you excited, but unless you understand the math, you will lose because what appears to be real is an apparition. it is far easier to find coincidences than reality, but the software cannot tell you the difference

Then watch "Trillion Dollar Bet" on youtube.

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  #9 (permalink)
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Backtesting is one of the biggest myths in our business. I never believed in it.

Forward testing is the only way to go.

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  #10 (permalink)
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MetalTrade View Post
Backtesting is one of the biggest myths in our business. I never believed in it.

Forward testing is the only way to go.


You are right, and life is a forward test as well - unless you believe in the ideas of Sigmund Freud.


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