From June 2018, I will be live trading the following system, fully automated, using the Interactive Brokers API. Type of system: Intra Day Markets Traded: Not Disclosed System Stats (These figures take into account all commission costs and estimates for slippage) # of trades per year: 132 % of trades which are profitable: 37% Average win/loss ratio on each trade: 3:1 % of months which were Losing: 32% Average losing month return: -3.8% % of months which were Profitable: 68% Average profitable month return: +7% Average return (all months): +3.6% Typical monthly return range: -10% to +25% Gain to Pain ratio: 3! Average annual return: 43% Largest drawdown: 25% Longest drawdown: 12 months 5 Year visual back test results (60 most recent Months) % return per month Plan is to update this journal at the end of every calendar Month.
It's not critical, but I can't visually find a 12 month drawdown in the bar chart you supply, although you state the longest drawdown is 12 months. Does the bar chart just represent a subset of your backtest results or is it the whole thing? The first drawdown would be at most 5 months (1-5). The second drawdown would be 1 month (13). The third drawdown would be at most 7 or 8 months (15-21 or 15-22). Etc...
A subset, i chose last 5 years. The rest of the back test looks pretty similar. Although the five losing months in a row seen in the above chart is quite rare, in theory, based on monthly loss rate of 32%, five losing months in a row should only happen about once every 25 years assuming the system still holds up.