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Emini S&P 500 Strategy Performance Report Benchmark
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Emini S&P 500 Strategy Performance Report Benchmark

  #1 (permalink)
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Emini S&P 500 Strategy Performance Report Benchmark

Hi,

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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  #3 (permalink)
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Omer עומר / Israel י
 
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Test the period from 2015-06-06 to now without making any changes
and see if it is profitable ;-)

Personally i'm a big fan of measuring MAE/MFE and their averages.
this would learn you how much of the potential gain you were able to capture

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fiverr View Post
In your opinion, can this system be improved further

It isn't possible to tell that from the information you've provided.


fiverr View Post
is it pretty good?

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?

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rleplae View Post
Test the period from 2015-06-06 to now without making any changes
and see if it is profitable ;-)

Personally i'm a big fan of measuring MAE/MFE and their averages.
this would learn you how much of the potential gain you were able to capture

Attached are the MAE/MFE graphs. Can you mark them up and show me what you would look for?

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Tymbeline View Post
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?

Tymbeline,

I have a couple of questions for you:

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?

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fiverr View Post
1) what commissions and slippage would you use for your backtesting?

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?


fiverr View Post
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.

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?).


fiverr View Post
3) what is consider a reasonable pf?

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.


fiverr View Post
Does this value change with different timeframes and different trading styles i.e. scalp, daily vs swing?

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 01:48 PM.
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  #8 (permalink)
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fiverr View Post
Attached are the MAE/MFE graphs. Can you mark them up and show me what you would look for?

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I'm struggling to understand your system.

Is it correct that you have a kind of +/-32 tick pos target while you would let the looser run wild
and stop them more arbitrary ?

it looks like if you would cut those off faster, it would not harm your positive trades ?
maybe you can elaborate more on it ?

do you close at the end of the day, or are those looser gaps from new session ?

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rleplae View Post
I'm struggling to understand your system.

Is it correct that you have a kind of +/-32 tick pos target while you would let the looser run wild
and stop them more arbitrary ?

it looks like if you would cut those off faster, it would not harm your positive trades ?
maybe you can elaborate more on it ?

do you close at the end of the day, or are those looser gaps from new session ?

Rleplae,

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.

Yes, I do close the trade at the end of the day.

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  #10 (permalink)
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fiverr View Post
Rleplae,

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.

Yes, I do close the trade at the end of the day.

ok, that confirms.

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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