Thank you for taking the time and replying.[LIST][*]It may be my 200-something iteration of this strategy. I've spent months trying to get it a bit better and I'm not going to stop

Thank you for taking the time and replying.

• It may be my 200-something iteration of this strategy. I've spent months trying to get it a bit better and I'm not going to stop I've came a long way, my first strategy (ToS) was perfect on paper, until I realized I used FL events, for example Close[-1] (bear in mind it was my first time).
• This is a long-only strategy, it knows how not to get into trades when the market is red. I'm also working on a strategy that does the complete opposite and shorts the red markets, but I found that if I add LONG and SHORT to the same strategy, I'm not maximizing the profits I can get from either LONG or SHORT, when the two are separated, I get better results.
  
• I'm only using market orders in the strategy at this point.
• I've downloaded market replays of the ES (limited to 6m chunks at a time) and the results are fairly close to the back-testing results.

For example: There was a gigantic move up until Feb 2020, then a huge drop in Feb-Mar

Feb was above avg month, finishing with 5k profits (11.5k gross win vs 6.2k gross loss) averaging 46.15% winning trades.
March was the best month for this strategy provided between 30-40K (vary based on which version of the strategy I'm back-testing with) in back-testing profits. Averaging 64% winning trades.

I took a month off my real day job, in order to work on back-testing skills and trying to bring this to a scenario where I'm comfortable to jeopardizing hard earned money for it.

In your opinion, do you think that a strategy that was profitable at 2017 will still be profitable in 2018, 2019 and 2020? Based on my testing (and of course, I could be wrong, hence I'm seeking other eyes on this) and market conditions obviously, certain trading techniques can still work while others don't, automated trading is a constant struggle, what's working today may not work next year or v.v.

I can just about guarantee you have overfit your model to the limited data you tested with. VERY common - most people do this, especially starting out.

Of course, there is a possibility that your strategy will continue to perform well in real time, especially a long only strat in a bull market like we have now, but I would not count on it.


Most algo traders think making a better backtest is the goal, and that is what they try to do. That is a big mistake.

Not sure if this is OK to post (so Bob or Mike, please delete it if it is considered promotional)...


Here is an article I wrote on backtesting for the now defunct Futures Magazine: Don't build a better [AUTOLINK]backtest[/AUTOLINK] | Futures

Hi All,

Long time lurker here.