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50 trades are a lot of work to calculate without coding your strategy.
But, 50 trades are not a large enough sample size to judge a strategy.
I find a walkforward test will be accurate to the back test for about 1% to 10% of the number tested in the back test. For example, if I backtest 10 years, I would only expect the strategy to work for 1-12 months in the future.
Just my 2c with first glance with what you have posted.
Although 50 trades is a really low sample size, but something to consider here is that "even if you did move your stop further away by 50%+, it will still give you only 5 more profitable trades, which is 25 out of 50, a only 50% win rate"
And I might add that even if you did get R:R of 2, it probably wont be enough to cover your total cost here.
Primary concern in this strategy might not just be your stop loss, this doesn't really have any edge.
But this is just first impression, only you know better.
Hi, as far as I'm aware a trading strategy doesn't need to have a win rate of over 50% to be profitable, just as long as the expectancy is positive, which it seems to be on this strategy, thanks
I see a lot of people doing this sort of thing (using MAE/MFE to go back on tweak their strategy). All you are doing is creating a better backtest result, and fooling yourself into thinking you have made the system beTter.
Correct, at least as far as win rate vs. expectancy goes. Win rate by itself is essentially unimportant, or actually, an incomplete measurement. Expectancy, which is essentially your average trade P/L, is what matters.
Example: Assume a strategy with only a 30% win rate, but 100% average profit in the winning trades, and 10% average loss in the losing trades.
So, out of 100 trades, each of $1,000, you have 30 wins at $1,000 profit each, equals plus $30,000, and 70 losses at $100 loss each, equals minus $7,000. Net is plus $23,000, less fees and commissions. If this is maintained consistently, this trader will be rich. (It won't ever be this extreme, of course, just an example to illustrate the point.) Just knowing win percent by itself is not helpful.
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This is the important thing. Excessively fitting your strategy to your past data just means it will be perfect if the exact same past events happen once again, in the same order. They won't, unfortunately.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
Optimizing and tweak numbers to fit past data is a good start but 50 trades are not enough. Unless 50 trades were produced in past 15 years or so covering 08. 09 and rest of bull market condition. If you are working on intraday. You need more sample imo.
Great points here by others but as long as system shows positive expectation over good period of time, you can optimize it but in my experience, more tradable system in real world, always looked worse than over fitted, optimized system.
