Backtesting - What is the minimum return per share

Discussion in 'Strategy Development' started by TRADERCJ, Feb 25, 2008.

  1. TRADERCJ

    TRADERCJ

    With slipage, fills and cost per share (I use IB so it is low) what do you shoot for as an acceptable return.

    Currently for 5 years of backtesting I am average 68 stocks with a result of 7.57 points per month. Still too tight for my preference.

    So my question, for an average of 68 stocks of month, how many points would you like to have, before going live?

    Thanks
     
  2. bespoke

    bespoke

    How many trades per month?

    Profit factor?
     
  3. TRADERCJ

    TRADERCJ

    Sorry I wasn't clear. On average, 68 trades, netting $.11 per share traded. If buying blocks of 1000 shares, it would be $110 minus trade, slippage, etc. No enough profit in my opinion.

    I have another backtest that averages 9 trades a month, with each trade earning $.30 per share, minus the usually stuff again. The problem is not enough trades per month.

    I was thinking you need to do at least $.30 per share, would that be correct?

    Thanks
     
  4. bespoke

    bespoke

    Yes, I'd agree that's not enough. What is the hold time period? What is that 11 cents in terms of percentage? 11 cents on a 100 dollar stock is a lot different than 11 on a 8 dollar stock. Are these the results on optimized data or out of sample data?

    For things I may hold all day, 30 cents is enough. But things you may only hold for a few seconds or minutes with plenty of opportunities, 2 cents could be enough.
     
  5. TRADERCJ

    TRADERCJ

    Thanks bespoke,

    For both methods it is a hold between 1-1/2 and 5 hours. No overnight holding. The average share price is $35.

    The data I used was Worden's Blocks software. They currently offer about 5 years of intraday data. For the last 6 months, I have manually logged the stocks and entry/exit prices that met my criteria. It has taken me 6 months to setup the Blocks software to kick out about 90% of the stocks on a daily basis that met my criteria.
     
  6. 11 cents on a $35 stock is better than losing money, but that's about it.

    I try to make at least 7 to 10% per trade, and if i don't see at least that as possible, i have no interest.
     
  7. Mschlau

    Mschlau

    10% per trade? Just how many trades do you log in a year?
     
  8. I didn't say I MAKE that every time, but if I don't see it reasonably POSSIBLE, why would I want to risk my capital?

    Last year I made 3500 trades and netted about 30% on total liquid assets. It wasn't a very good year percentage wise, but was my best in taxable dollar terms.