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Strategy Questions
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Created: by doseone Attachments:7

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Strategy Questions

  #1 (permalink)
Elite Member
Vancouver
 
Futures Experience: Intermediate
Platform: Ninja Trader
Broker/Data: Zen
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Posts: 13 since Dec 2009
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Strategy Questions

Could you guys give me some feedback on the results from this strategy. I have just started looking into automated trading, and I would like to know if there is anything that raises a flag in results like these?
The Strategy results are from a 1 Month Back Test on the ES trading 1 Contract with a 14 Tick Stop.

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  #2 (permalink)
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  #3 (permalink)
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With average trade of only $17 without including slippage and comissions, average loser bigger than average winner and batting around 60%, this would most likely not be profitable in real trading. Especially if you are using limit orders.

I would suggest to run it live on a sim account and account for commissions and see how closely the results match up with the backtesting.

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  #4 (permalink)
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Thanks for the suggestion thatguy, that's what I will do next week.

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  #5 (permalink)
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You may want to analyze your strategies in terms of ticks per trade, as opposed to dollars per trade. For example, if your strategy averages 8 ticks per trade, then you know if you deduct 3-4 ticks for slippage and commissions that it should still be profitable. The reliability of ninja backtesting is another consideration, definately do what thatguy suggests or you will most likely be in for an unpleasant surprise. Also, have you tested more than a month back?

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  #6 (permalink)
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Vegasfoster, Here are the results from from the for the start of the year they appear to be pretty consistent with the monthly test. But looking at it from a ticks per trade perspective its pretty weak. I appreciate your input.

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  #7 (permalink)
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You should really add the commision in your backtest.
In the real life, their is commisions, and slippage .
The Sharpe ratio looks a bit low to me, not bad, but a bit low.
The idea is to run you system in real market conditions, with a sim/demo account, for few weeks, and see how it goes.

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  #8 (permalink)
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doseone View Post
Vegasfoster, Here are the results from from the for the start of the year they appear to be pretty consistent with the monthly test. But looking at it from a ticks per trade perspective its pretty weak. I appreciate your input.

Since you mentioned it, can you post the summary with ticks per trade instead of dollars?

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  #9 (permalink)
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Here is the summary in ticks I included a $3.50 RT Commission.

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  #10 (permalink)
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What type of order is this using to enter and exit?

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