What's the average daily or monthly profit per contract you expect in e-mini S&P Day trading? I developed an automated trading strategy and tested it with the past two months data, the daily profit is $120/contract. Is this good? Thanks
You have to look at the other side of the coin(exposure & risk) and 2-months is WAY too little of a sample... If you can avg 2.5 over say an entire year, with tight DD's, then it is solid...
Yes, I guess I should do more testing. The max daily loss around 6pts which is the parameter I set, and the max daily profit is arount 18pts, mean is 9pts. the loss/profit days is 45/55.
I trade from 8:30 to 3:00 CST. Whatever the market gives me in that time frame is what I make or lose. $120/day is rather small. nitro
if it's $120 per contract net, it's not small at all. and, if, as i presume, his system is aimed at capturing the larger intraday swings, then, practically speaking, there is no limit to the position size he can take.... in a word = "compounding" eg, 50 contracts * 2.5pts * $50 * 200 trading days = do the math and, unlike most other wishful thinking prognostications, it's entirely reasonable... provided one doesn't expect to reach that point overnight... then again, if your name is sarasota, and you're averaging, what was it last time, 30pts a day? then his performance might undewhelm you a little...
Unlessyou're generating 100+ trades.. 2 months is a very small sample to be backtesting on. Nevertheless, if a system generates 2.5 points consistently then just add more contracts to reach your desired point total.
I don't think 2.5 points a day is enough to be confident with the system going forward, especially with the small sample. You really need to go back years not months.
Going back years will not help. Backtesting proves nothing. The only way is forward testing. i.e Do it for real and adapt as time passes. The futures are trading over 40% down on their peak value so what sence testing a system that may have fixed stops or profit targets when the normal daily nose was higher? Try PnF. I have a system that has averaged 4.5 points per day over the past two contracts. Worst DD 16 points. JonnyT
Backtesting longer assures that you're not merely curve fitting numbers based on how the past two months work. It gives the system some merit for possible predictive value if it has shown success through all different kinds of markets.