Total trades: 151 (ES, 3month period) Total win :87 , 57% Total loss :64, 42% Ave. win : 2.79 or $134.94 Ave. loss : 2.37 or $123.94 W/L ratio : 1.088 *commisions are included to the calculation* just trying to get some opinions on this result. thanks.
I am also curious what other traders systems number looks like. I use market profile and dynamic pivots to take advantage of short term price move against the trend. I think I could be right about 60%of the time and keep W/L ratio to close to 0.
I use Ensign. there is a study, Price histogram. It shows POCs and VPOC. and also enthios.com has great infos trading VPOC.
At an average trade of about $25/contract and 2.5 trades a day, you may not be able to quit your day job with this system I see you've included commissions (good), but what about slippage? This could eat significantly into your $25 on the ES with a $12.50 tick. Does your 3 month test period include the most recent 3 months (i.e. post 2/27 context)? How does your system perform in other 3 month periods? Maybe you can get a little more bang per contract on another index (e.g. ER2). Steve
I would not use that system with real money! You need to account for $30 per contract slippage and commission as a general rule! Actually most of the time itâs $12.50 slippage and then the commission on the es.. Here is what I am running on 90 days back test and this is without commissions on tick data. Total trades: 36 (ES, 3month period) Total win :80.56% Ave. win : $101.29 Ave. loss : $35.71 Gross Loss: $250.00 Gross Profit: $2937.50 Net Profit: $2687.50
I forgot to add that when back testing a day trading system the results should be consistent every month as far back as you can go. If they donât you just found something that is a that does not work long term and soon the system will start loosing.
This cutting is very close. Basically your net profit is about 1/2 a point. So very close to break-even if you count 1 tick slip each way.