Just looking to get some feedback from the knowledgeable folk on this board regarding a strategy that I have created, to see if you think that my strategy is reasonable/tradeable/realistic etc. Basically, I am interested to know if there is anything glaringly obvious that I am doing wrong. I am a discretionary trader that is in the process of becoming more quant styled, so mechanical systems are somewhat new to me, although trading is not. A basic outline: daytrading system based on intraday timeframes does not use standard TA, is calculation (quant) based only two criterion/elements/calculations are used to define entry trade management: multiple profit targets, stops to entry once first target is hit, no additional trailing stop I have tested this strategy on numerous global equities and futures without changing the parameters and have found it to be profitable on many. My aim is to maximise profit compared to drawdown. I do not like drawdown. As we know, apart from altering the components of a single strategy, a good way to reduce drawdown is to trade multiple strategies and/or multiple instruments. As such, below are the simplified results of my strategy when tested on NQ_F and FDAX from 1st June 2012 to Christmas 2012. Accompanying stats: no. of trades = 972 net returns = 140.5R largest drawdown = 26R largest time in drawdown = 6 weeks net return/drawdown ratio = 5.404 profit factor = 1.322 win rate = 55.041% avg win = 1.079R avg loss = 1.000R expectancy = 0.145R stddev = 1.234 exp/stddev = 0.117 SQN = 3.652 sharpe ratio = 1.858 Take your pick.. About the backtesting. Testing has been completed manually because frankly I find backtesting in MC/NT to be inadequate and I do not trust the results that these programs generate. The downside is that manual testing takes a significant amount of time to complete, which is why the backtest is only for 6 months at present. Although time-limited, I believe that the no. of trades (~1000) is approaching statistically significant, and the SQN number would agree. As I have mentioned, I have also tested this strategy on several other instruments and achieved similar results. I have chosen to show NQ and DAX as they can be manually traded in two different sessions. This system does not trade the entire day, only part of the session. Now if I apply a bit of money management rigour to these trades I get the following results. Accompanying stats: initial account value = $20,000 risk = 2% of account value , reduced by 50% for every 5R of drawdown (such that at -5R, 1% is risked, at -10R, 0.5% is risked etc.) minimum 2 contracts traded, maximum 20 contracts traded commissions $5 round trip per contract final account value = $105,226.30 net return = 426.132% largest drawdown = $23,803.629 (27.85% from interim equity high) largest time in drawdown = 6.5 weeks net return/drawdown ratio = 15.300 profit factor = 1.303 win rate = 55.041% avg win = $990.83 avg loss = -$930.92 expectancy = $126.84 stddev = $1344.37 exp/stddev = 0.094 SQN = 2.94 sharpe ratio = 1.498 Note the significant increase in net return to drawdown ratio, ahh the magic of compounding.. The drawdown is still larger than I would like, but I am risking a fairly high amount (2%) to compensate for a small starting account size. I would like to put this strategy into action this year. But first, I would like to hear your thoughts. Do these numbers seem reasonable for a profitable system? What more do you think I need to do before going live? Further work: How I would see this trading in reality is that once a reasonable amount of capital is reached, say $100,000, I would reduce the starting risk to 1% of the account. This would reduce drawdowns to (lazy man calcs) ~ 14% and reduce returns to ~ 200% (obviously rough, cbf doing it properly right now). This is because 200% of $100k is obviously a much more reasonable return than 200% of $20k. Nothing is infinitely scalable. I would also like to try and make this strategy 90%+ reliant on limit orders alone to assist with scalability and (i think) reduce drawdown. This is a work in progress and if there is interest I will update you in time as to how I am going about this. At present, both market and limit orders are used by the strategy. Thanks for reading folks, please leave any comments that you have, I will respond.