Good Enough?

Discussion in 'Trading' started by bluedemon77, Apr 22, 2007.

  1. bluedemon77

    bluedemon77 Guest

    The following is a summary of backtesting results for an index futures trading system that consistently trades 5 contracts over a 3-year period. This is the best system I've been able to come up with for futures trading and I'm not completely satisfied with it because it incurs a lot of losses, even though it generates 35% more profits than losses. It also has a lot of losing days and a few losing months, which I'm not happy with, but I don't know how realistic it is to expect to come up with a system that produces much lower losses. My question to some successful and experienced traders is does this seem like a decent system or do I still have work to do?

    Winners 886 (43.33 %)
    Total Profit 1375545.7
    Avg. Profit 1552.53
    Avg. Profit % 9.20%
    Avg. Bars Held 54.63
    Max. Consecutive 9
    Largest win 9465.2
    # bars in largest win 135

    Losers 1159 (56.67 %)
    Total Loss -1016494.9
    Avg. Loss -877.04
    Avg. Loss % -5.20%
    Avg. Bars Held 28.77
    Max. Consecutive 13
    Largest loss -4868.1
    # bars in largest loss 19

    Max. trade drawdown -6250
    Max. trade % drawdown -34.06%
    Max. system drawdown -22205.6
    Max. system % drawdown -13.73%
    Recovery Factor 16.17
    CAR/MaxDD 4.38
    RAR/MaxDD 79.86
    Profit Factor 1.35
    Payoff Ratio 1.77
    Standard Error 10467.1
    Risk-Reward Ratio 9.48
    Ulcer Index 3.22
    Ulcer Performance Index 16.96
    Sharpe Ratio of trades 3.09
    K-Ratio 0.0268
  2. bluedemon77,

    It's really up to you and what you can tolerate as you pointed out. It seems you have enough wisdom and experience to know that...thanks for your post.

    I personally like systems that are when I over-fit and over-optimize to remove the kinks...that means the system was not robust enough to begin with...keep it Lucy...and make it so it can adapt to the changing market and to tolerate variance.

    Keep it loose like veteran NASCAR driver Cale Yaroborough...:) When your loose, you last longer....

    Michael B.
  3. It "appears" good. The average profit being nearly twice the average loss with a ~40%/60% occurrence are good ratios when compared to other long-term traders. You might be able to weed out some of the large losses with a time-stop. The big question remains------>when will you trade it with real money and stop optimizing?
  4. bluedemon77

    bluedemon77 Guest

    Thanks for comments from both ElectricSavant and Nazzdack. As far as "when will you trade it with real money and stop optimizing?," well I thought I had a good system before this one that I started trading with real money and I lost money with it. Some of that was because I didn't trust the system (or ignored the system and went with my gut instead, usually wrong) and some was because it gave me some bad setups. That's why I went back to the drawing board, which I've done now so many times I've stopped counting. This system is the best I've come up with so far, but I guess I'm still in the phase of my trading career where I'm searching for the Holy Grail. The light bulb still hasn't come on for me.

    That's the reason I wanted some input from somebody with a lot more experience than I have--to help me know whether I should be looking for better numbers before I start trading again. I've backtested it and forward tested it with comparable results, but I don't really know what a good system is supposed to look like other than a positive expectation.

    Nazz, why time stops? I've tested dollar stops and those produce worse results than without stops, but I never tested time stops.
  5. is that a tradestation evaluation you posted?

  6. Hey guy,

    did you put in commision in that analysis and did you put in slippage???? The results might be different.
  7. Backtesting is meaningless without an appropriate forward or out of sample test. Where is yours?

    Something that backtests well does not mean it will work real time.
  8. Why time stops? Instead of relying on a stop-loss that potentially maximizes a loss, employ a time-stop also. Generally, large losers are on your statement for a longer period of time. The time-stop can get rid of those trades before the stop-loss does at the worst possible point. Review your biggest losses and see if they were on your statement for a longer than normal period of time. Recalculate your profitability to see the impact it has of minimizing the impact of those trades.
  9. bluedemon77

    bluedemon77 Guest

    No, AmiBroker
  10. bluedemon77

    bluedemon77 Guest

    Yes, commission is included. Slippage was estimated by assuming the trade was done at the average of the next bar after the signal.
    #10     Apr 22, 2007