So after many hours coding i was able to program my strategy. I do not intend to auto trade it but I really wanted to see if had a long term consistent edge.
I portfolio tested it against the current basket of S&P 500 stocks going back to 1995 (long only for now) and my equity curve looked like attached. No optimizing, etc. just the entry at 10k/equity with a trailing stop and partial profits at a level.
Broker/Data: Interactive Brokers, MB Trading, Tradestation for data
Favorite Futures: FX, Equities
Posts: 39 since Oct 2012
Thanks: 44 given,
I think 3500 trades is large enough, especially if they are spread relatively uniformly throughout the test period.
If I remember well, William Eckhardt (strategy designer and market wizard) was mentioning that they need to see 3-5 thousand backtest trades to feel comfy.
I have the same problem with my chart - it always shows about a quarter of the trades that really happen.
I didn't have time to look into it - anyone with an answer?