In other words he is asking you how must 2008 is skewing your results. Maybe he thinks like I do that without 2008, your profit factor will be barely close to 1. However, your work sounds interesting. What is the data timeframe? I think I missed it.
very interesting thread ,thanks for posting my question is:which platform are you using to accomplish task above? TIA
I am on NinjaTrader, with accounts at IB & Dorman, my primary datafeed is IQfeed. The main challenge was to reload historical data after a loss of connectivity - there's no supported API for that (!), and the Ninja folks would not help me at all beyond suggesting using SendKeys() to trigger the manual command (Ctrl+Shift+R). But SendKeys() requires an active (remote) desktop session. It took me a week to figure out the undocumented API.
The primary TF is 100-vol. Backtesting fill-engine on 1-sec. TF. 2009..2012: (for 1 contract) - P&L : +207,450 - max.DD : -18,390 - P/F 1.30 - # trades: 2238 - Avg/trade: $92 - Win% 50.8% ; avgW/avgL 1.26 The worst year is 2010: - P&L : +25,030 - max.DD : -12,630 - P/F 1.17 - # trades: 504 - Avg/trade: $49 - Win% 51.0% ; avgW/avgL 1.12
That is a fatal shortcoming of NT IMHO. And then there actually was an API function they were not aware of ? Unbelieveable. That crew is looking like the one that supports IB's API.