no, the random test is just to see if your strategy really has an edge or not. You do the random test, then compare that to your actual system test results. If your tests beat the random tests then you have an edge. This is acrary's edge test. It beats the heck out of just backtesting and going with something that makes money, because if you don't compare it to random, you never know if it is really your system that has the edge, or if the profitable backtest was just a result of mkt conditions which may never repeat. The trick is finding the proper random correlation.
acrary, something doesn't look right with your first test. If no commissions and slippage are factored in, then Avg W/L loss should be exactly 3.00, instead you got something more like 2.67 ??
The difference is caused by the neither the profit target or stop loss being hit. In that case I put in a exit MOC to make sure we start fresh each day. The shortened trading periods before holidays caused the biggest problem. A smaller part of the problem is that the market may have gapped above/below the stop or limit order (in which case we end up with fills that are above/below the price points).
Just for grins, I thought I'd post the results of one of my daytrading edges over the same period. This is a breakout edge:
Is 3 points for the ES too tight? I think it is OK. Even for the NQ it may not be too tight. Its well-know volatility already gone.
The tests presented in this thread do not confirm this, that is, as far as profit is concerned. However, if you want to minimize drawdowns, 3 pt stop-loss is better.