HFT rarely reaches more than 1.2-1.3 PF, so... Be equally worried when the PF is unrealistically high.
Hi all. Thanks for all the advice. I need to make some explanations This is a non us equity. mainly devoloping country . I have no vendor to get the tick or 1 min historical data. Problem is the market conditions and players changing with time. So the latest conditions should prevail for some time. But there is no or little hft action and few systematic traders. not much volume but enough for me . These are great opportunities in my opinion. I am going on live trade and it is behaving as expected. I will pull the plug or adapt the system when /if live outcome changes.
A very practical way to "test" if your profit factor of 1.5 can be attributed to skill, would be to run a confidence interval on the trades. Excel has it all built in, so you don't even need to know the statistical calculations. I fully understand that confidence interval calculations work based on assumptions that are somewhat suspect for the distributions in trading, but if I see that I get a confidence for profits being positive of 90% or better, I would consider that much more significant than most other objective measurements. If anything, the fat-tail distributions seen for profit distributions, tend to make confidence calculations appear less favorable than they actually are (my opinion based on my trades).
Whenever i do test an idea , i look at the profit curve. The more smooth it is the more confortable i am with the results
Agree, timeframe is too short. Try years of minute data. Also, try up markets, down markets, and side to side markets.
these are the live results from last month ? it is on %25 margin i have to accept most days were down trend days which may not happen in the future that frequently losses happened on choppy days i am working on some filters to reduce the loss on choppy days from what i see examining the chart a trailing stop may work, it will reduce the overall profit though. unfortunately i have to work with the same limited data i am currently searching the forum but any insight about effects of trailing stops and profit targets on sustainable success of a system will be helpful. sorry that sounded a topic sentence from an academic paper results 7/26/2013 3% 7/29/2013 -9% 7/30/2013 1% 7/31/2013 10% 8/1/2013 -1% 8/2/2013 -2% 8/5/2013 2% 8/6/2013 -1% 8/13/2013 9% 8/15/2013 1% 8/16/2013 10% 8/20/2013 4% 8/22/2013 10% 8/24/2013 -9%
Not academic - very practical question. See this for example. I do not agree with everything but it is a good start.