Excellent post. I'd also like to add that most intraday backtests are not realistic because slippage is too high. HF robots know when you are placing an order and move the market their way. If the OP would like to report the profit factor and Sharpe ratio along with avg. win to avg. loss and win rate maybe those will offer a better indication of his strategy dynamics.
I'm sorry that I am just responding. I've been busy over the holiday break. I have the metrics that you suggest I post. Win rate = 68% Profit Factor = 1.42 avg win = 0.33 of stock price avg loss = 0.48 of stock price annualized sharpe ratio = 6.3 What can you deduct from these metrics about the dynamics of my strategy? I was hoping that the avg win would catch more of the price movent. But 0.33 doesn't sound too small to me. Thanks for your post!
I am working towards this now for comparison. I will only be able to compare the last 20 days of trading for the bid ask prices. I have only been saving the market trades. I have not been intentionally trying to capture any of the bid ask spread. I was only assuming that I could buy and sell at market with a small order size in a high volume stock. I had not planned on using limit orders in fear that some of them would not get filled. My intention is to use market orders. I am assuming that the market would move in my favor and not in my favor about equally. Therefore, I do not consider it in my backtests. Is that an unreasonable assumption? Thanks for the post!