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I just completed my first revision of the emini-S&P trading strategy, and I would like to post the results here for input & feedback.
Start Date/Time 2001-01-02 8:45:00 AM
End Date/Time 2015-06-16 3:00:00 PM
Initial Capital $20,000.00
Commission $2.50 per Share/Contract Slippage $2.50 per Share/Contract
No market order and no trailing stop loss
Only limit orders are used
Total Net profit = $177,757
#of trades = 12,178
DD = $7,830
For more details, see below picture. In your opinion, can this system be improved further, is it average, or is it pretty good? I am putting the results here to benchmark my system against other knowledgeable members. Please provide constructive feedback and share some of your own strategy performance report. Let's challenge each other to improve the development of our trading systems.
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It isn't possible to tell that from the information you've provided.
It has an overall PF of only 1.17.
It's had 19 consecutive losers and can have more than that in future.
The position-sizing is presumably very small, with the biggest win being 0.06%, but increasing the position-size may make some of the drawdowns scary?
The report above may also have underestimated commissions and slippage, which may make a much bigger difference to the overall picture than you expect?
And - as mentioned above - MAE information is missing?
These are theoretical, back-tested results, I imagine? I'm wondering whether there are any concealed assumptions relating to granularity?
You'd need to test it reliably, with a small, real account, moving forward, before deciding whether it suits you, anyway?
1) what commissions and slippage would you use for your backtesting?
2) should I recode the software to run on the 1M chart to ensure the accuracy of the backtest? This should solve any granularity issue.
3) what is consider a reasonable pf? Does this value change with different timeframes and different trading styles i.e. scalp, daily vs swing?
I'd do a little bit of trading wherever/however you're actually going to trade, moving forward, and see what commissions and slippage actually come to, realistically, rather than guessing. That should give you some figures to test?
Finding out the MAE will resolve that issue for you, I think? (I have no specific reason to imagine that you're about to unearth a disaster, on that front - it's just something you need to know?).
People's answers to that will vary a lot, I think. For myself, I'm interested in principle in investigating anything with a PF above 1.5, provided it doesn't fall foul of other sensible parameters - but I suspect that many here may give a higher figure than that.
It doesn't for me (but I don't hold positions overnight, anyway, myself).
Don't take me the wrong way: I don't mean it rudely at all, but I suspect from this thread that you may possibly just be "trying to copy something that 'works'," without any experience at all of its underlying parameters or methodology? That's not a recipe for success, in trading. It's traders who "work", not systems.
Last edited by Tymbeline; November 28th, 2015 at 12:48 PM.
The stoploss is 64 ticks while the profit target is 32 ticks.
I personally don't believe in trailing stoploss; hence, trades are exited are based on 1) end of day exit 2) stop out 3) take profit 4) exit based on reversing position i.e. exit buy trade when sell signal occurs or exit sell trade when buy signal occur.
What the chart says is that it does not pay off to have such a big stop loss.
once they are losers, they don't become profitable
i think you might be able to tune the algorithm by reducing the stop
you could simulate it with smaller stops
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