Forward trading vs Back testing & doubling my account

Discussion in 'Journals' started by Businessman, Jul 31, 2011.

  1. I trade the stock index futures markets with an automated trading system of my own design.

    Here are the weekly backtest results for my system.


    This back test sample is based on the last year of back data (August 2010 onwards) and is fairly typical of other years i have tested.

    Im showing weekly% returns because this journal will be updated on a weekly basis.

    As can be seen the majority of weekly returns fall in the -5% to +10% range, with some outlier weeks outside that range (down to -10% and upto +20%). However in forward trading i expect the weekly outliers to eventually exceed -10% on the downside (and also exceed 20% on the upside).

    In back testing around 66% of test weeks are profitable. So losing streaks of 4 or more weeks in a row should be expected. There is in fact a 5 week losing streak in the back test.

    The total simple return over the test period was 120%. But when we introduce compounding the return grows to 200% for the year (the second graph in the image shows the equity growth with compounding)

    It took about 7 months in the back test sample to reach 100% profit.

    This is also my first profit objective in real foward trading: to double my account. This could take anywhere from 3 to 15 months, depending on how well the system captures market movements going forward.

    This trading journal is mainly for my personal record keeping. I am not going to discuss my trading system details and i dont promise to answer any questions.

    The idea behind this journal is to compare how real world forward trading of this particular automated system compares to the back testing results shown in this opening thread post.

    I plan to update this journal every weekend.
  2. I'm interested to hear about your backtesting approach. I am a fanatic about avoiding "curve fitting" and am always interested to learn from what others do.
  3. Week 1


    Great start for my forward trading, the market action was very good this week :)

    I have split the following chart into 2 parts, left hand side is the back test results (the same chart from the opening post), the right hand side will contain the forward test results, at the moment there is only 1 bar on that side.

  4. What chart increments have you back tested and are you trading?
  5. Week 2


    First losing week, a relatively small loss.

  6. gmst


    What happened to you Businessmann ? Did you stop trading or just lazy to post the numbers every weekend?

    From the way you started, I was hoping that this journal will turn out to be one of the better ones out there.
  7. gmst

    gmst what happened Businessman? This journal was on my watchlist - but it seems the watch has broken down ....LOL
  8. Some journals die a quick death.