E-mini Strategy

Discussion in 'Strategy Development' started by lmelo, Jun 28, 2006.

  1. lmelo


    I would like some input on a simple e-mini intraday trading strategy I have developed. I've backtested it with e-signal and can't seem to get more that 6 months of e-mini intraday data from e-signal. Does anyone know of another system I could use to get further historical intraday data?

    Attached are the screens from the e-signal strategy analyser:
  2. lmelo


    Attached is the other screen.

    The default settings are:
    Account Size: $10,000
    Contracts: 1 per/trade
    Commissions: $2 per/Trade
  3. if you are going to back test an intra day trading strategy I would not use esignal data
  4. Okay, some critical observations... not trying to pick on you.

    1. Only 50 trades in six months, or about in 120 days? In my view that is too selective for an intraday system. Of course if it is a secondary system, then it is okay.

    2. I think you need atleast 200 trades to draw reasonable statistical conclusions... of course others may disagree, but that is my opinion.

    If you want me to backtest, and the rules are fairly straightforward and won't take too long to code, I can do it. I use Genesis, and have tick data for ES for about a couple of years.

    Good luck.
  5. fletch2


    A 50 trade backtest is almost entirely worthless. I agree 200 is a start, but prefer 1000.

  6. Stakler


    If it worked well last week, I'd go with it.
  7. Unless you're using a reasonable tick size in your chart, I'd suggest refraining from going live. A strat which shows good historical performance on 55T charts won't execute properly enough to make an money.

  8. What have you done to take slippage into account?