How do you make 45,000 on 100k of NQ futures? Or are you fully margined? If you are fully margined then you are trading about 40 contracts in one position - at $20/point, that's 800/point. So you made 60 points on one trade?
The results are accurate, as I audited the trades and they are legit. However, I tested back to 2007 and the results were not that great. Damn it ! The results for the last 3 weeks are good but during the financial meltdown in 2008, the strategy lost a ton. The longest losing streak went up to 17 when I trade back to 2007 so the losers add up to quickly for the winners to catch up. Argh, fooled again by the market ! Bitches Back to the drawing board I guess ?
Yes. But before you do, I would 'suggest' stopping what you're currently doing, and learning more about managing risk, as you were close to throwing that mess in drive.
I used to think backtesting on ohlc was the way to go. It made the most sense, but as I was never able to come up with anything profitable I looked around and noticed the ones who were making money didn't do any of that crap. So all in all your wasting your time
Might wanna wait til Monday night. Monday is a trading holiday. The futures market will be open but it won't be normal.
Are you planning on taking the system with you in a time machine so you can trade 2008 all over again, or are you going to trade tomorrow's market, tomorrow?
Nothing wrong with where you are, as long as you understand this is a necessary step along the way ... if your system shows solid performance from 2009, then it is certainly worth spending a little time trying to understand what was different in 2008, so that you can incorporate this in your strategy. Of course, if your current results are just the fact of the optimizer, you might be doomed ...
I tweaked it a bit but my biggest loser is huge, although the total profit is still $1.9M. I backtested starting in November 2007. At the lowest point, the account was down $164K. Assuming you trade $100K worth of contracts each trade ! Total Profit: $1,924,137.50 @NQ Last Profit: ($3,687.50) Open profit: Not in position Total trades:2349 Biggest winner: $160,037.50 Biggest loser: ($189,537.50) Total Losses: 893 (38.02%) Total wins: 1335 (56.83%) Gain % of profit: 1924.14 Avg Loser: ($12,480.52) Avg Winner: $9,789.69 Longest Losing Streak: 7 (total drawdown: ($32,450.00)) Longest Winning Streak: 11 (total runup: $279,512.50) ---------------------------------------------------------------------- If my account has $400K in it and I trade $100K each time, even if I'm down $164K, I still will make 20x that and my account will never be wiped out. Thoughts ?