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IsLong term strategy evaluation really possible?
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IsLong term strategy evaluation really possible?

  #1 (permalink)
Elite Member
New York NY USA
 
Futures Experience: Beginner
Platform: esignal, ninjatrader,
Favorite Futures: Stocks
 
Posts: 110 since Oct 2012
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IsLong term strategy evaluation really useful?

I am not sure how to reconcile the difference the long term and short term results of my trading strategies.
I was working on a strategy for trading the ES. Not to make millions while I am sleeping, but rather to test whether what I am planning makes any sense. The strategy enters a (1) contract when certain conditions occur and exits when other conditions occur. It had no stops or targets. I back tested it for 90 days and had what I think are very good results. This is only tested for long trades. 10 minute chart. I have not set the strategy for shorts yet

Performance All Trades Long Trades Short Trades
Total Net Profit $2675.00 $2675.00 $0.00
Gross Profit $7475.00 $7475.00 $0.00
Gross Loss $-4800.00 $-4800.00 $0.00
Commission $0.00 $0.00 $0.00
Profit Factor 1.56 1.56 1
Cumulative Profit $2675.00 $2675.00 $0.00
Max. Drawdown $-1100.00 $-1100.00 $0.00
Sharpe Ratio 1.24 1.24 1

Start Date 12/31/2012
End Date 3/31/2013

Total # of Trades 132 132 0
Percent Profitable 50.00% 50.00% 0.00%
# of Winning Trades 66 66 0
# of Losing Trades 66 66 0

Average Trade $20.27 $20.27 $0.00
Average Winning Trade $113.26 $113.26 $0.00
Average Losing Trade $-72.73 $-72.73 $0.00
Ratio avg. Win / avg. Loss 1.56 1.56 0

Max. conseq. Winners 5 5 0
Max. conseq. Losers 7 7 0
Largest Winning Trade $1262.50 $1262.50 $0.00
Largest Losing Trade $-325.00 $-325.00 $0.00

# of Trades per Day 1.48 1.48 0
Avg. Time in Market 86.2 min 86.2 min 0.0 min
Avg. Bars in Trade 8.6 8.6 0
Profit per Month $916.71 $916.71 $0.00
Max. Time to Recover 39.85 days 39.85 days 0.00 days

Average MAE $72.25 $72.25 $0.00
Average MFE $112.31 $112.31 $0.00
Average ETD $92.05 $92.05 $0.00

--------------------------------------

So then I decided to test it on a longer time period. 3000 days. The results were horrible. It lost tons of money.
Does this mean.
1. Short term results are statistically irrelevant?
2. No strategy will be correct in all market conditions (we are in a bit of a bull run)?
3. I am mis-evaluating the strategy by only looking the fact that it made money.


I guess I am just really not sure what I my next steps should be. And part of me questions whether long term evaluation is really correct since it covers so many various market conditions. I am not sure how I would fix it.
Although this particular strategy is for the ES, I think it is a universal question. Should I care about those long term results?

Thanks for any insights.


Last edited by mcteague; April 2nd, 2013 at 06:40 AM.
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