You are correct, so a scalping system might not be the right way to call it I go for 5 ticks TP or SL based on the 2 tick chart, system is mostly momentum driven. Edit: corrected sharpe ratio should be 0.34
However this is calculated with a tool i found online With the formula you gave me and based on the average daily return i get 14.8, which still seems to be unrealistic high, correct?
Ok, I hear you ... that's quite a bit closer to scalping than I imagined you meant, admittedly. We could call that "semi-scalping". I'm actually quite impressed by the figures you've given, if you don't have an "unforeseen slippage issue": something that trades once a day and takes 5 ticks with a 60% SR and a 1:1 R:R could easily be well-designed, realistic and sensible. (If you can find a way to use your system to pass a "TST Combine" and have the patience to do it, that might be a possible way forward, and may be worth looking at ... but a 10% drawdown would probably be a problem, for that - I'm not sure.)
I am also trading manually and i have tried a combine in the past. However doing a combine with these results could take forever, since these results are based on 5 contracts. With just 2 contracts it would take quite some time to pass the combine and FTP, however it lowers the DD of course. I would prefer to start the system live with at least 5 contracts to get some decent returns. I am also working on a similar system for ZN with similar results, if i could get some decent profits from ZB i could focus full time on scaling it and working out the system for ZN.
I just noticed there is a typo in the opening post, since i am unable to edit it i will make the correction here. It say's 153 winning trades and 104 losing trades, total trades 245. Total trades of course should be 257. 245 is the number of ticks i made in ZB over these 10 months.
Yes, I was thinking it would take a while to "get there", at one trade per day (average). Yes; point taken. I was also wondering whether you can apply this successfully to any other instrument(s) ... especially if they're not really correlated ones, that could speed things up (maybe)?
So far i only looked at applying (with some small changes maybe) to ZN. Results are very similar (maybe even a little bit better). Once i get these running i am also going to research if i can apply it to ES for example.
You made 245 ticks over 257 trades ? That means if you have 0.5 tick of slippage in and out, you're completely dead ?
There is no negative slippage since i enter all positions via limit orders, entry's are limit orders on the current market bid/ask not market orders and take profits are limit orders.