how does this system looks?

Discussion in 'Strategy Development' started by fgptrader, Mar 18, 2007.

  1. fgptrader

    fgptrader

    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.
     
  2. fgptrader

    fgptrader

    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.
     
  3. just wondering where you get your market profile from?

    mark brown
     
  4. fgptrader

    fgptrader

    I use Ensign. there is a study, Price histogram. It shows POCs and VPOC. and also enthios.com has great infos trading VPOC.
     
  5. Steveyd

    Steveyd

    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
     
  6. 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 it’s $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
     
  7. 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 don’t you just found something that is a that does not work long term and soon the system will start loosing.
     
  8. NOt tradeable, IMO
     
  9. vikana

    vikana Moderator

    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.
     
  10. There is stuff better out there... keep putting in the screen time.
     
    #10     Mar 19, 2007