Frosty's Strategy Analysis

Welcome back Frosty. Subbed.

 

Here is what happens if i take rules from strategy #2 and rules from strategy #3 and allow either one at a time to provide entry or exit signals:

Total PL: 39,376
Trades: 2096
Win%: 50.5
Max DD: 4209
PF: 1.27

 

you have a good chunk of trades but how long is the time sample?

I would definately include 2 ticks of slippage for ES, 1 on entry and 1 on the exit. If using limits... only test if price trades through the entry. The es is a fantasy for a scalping system until you realize it has to trade through your price 99% of the time to get a fill.

 

apex82,

The sample goes from 2003 till now.

 

I wanted to see how well the strategies perform on other data sets. So I just ran strategy2, strategy3, and combined(strat2+strat3) on about the same time period worth of ER2 and YM data. Here are the notable results:

YM:
Strategy 2:
PL: $9,061

Strategy 3:
PL: $1,481

Combined;
PL: 10,957

ER2:
Strategy 2:
PL: -37,776

strategy 3:
PL: 10,014

Combined:
PL: -26,891


I know I am throwing a lot of information and such out there, but I figure the more information I can give about how it performs, the better chance I'll have that someone will have some good ideas for moving forward or maybe spur some ideas for someone else's own strategy development.

 

You would experience that less if your win/loss size could be cranked up a bit... strategies that have a higher percent of winners and similar win/lose size will have a smooth upward account balance curve...

 

Try looking at the longs vs shorts. Were they close to the same amount of trades? Did one outpeform in a big way? You may find different settings for longs and shorts to help with smoothing it out. Another thing to look at is the avg time in winning trades vs avg time in losing trades. With that many trades you might be able to see something statistically significant regarding the amount of time in a trade. Another key filter could be studying the pnl on certain parts of the day. You may find that if you took out the lunch period you would drastically improve the system. During the first 2 hours you could find that is when most of the money is made for the system therefore could increase the size at this time. Just some food for thought. These filters made a big difference in some of the systems I use. Hope this helps...

 

apex82,

You made some good suggestions. I'm going to take a look at some of those.

Thanks

 

Here are charts from strategy2, strategy3. These charts show how much money was made or loss for each hour of the day...

 

Here is the one for strategy3...... Anyone notice anything helpful in these charts?