Well, I'm guessing you're using 5 min data and waiting till the end of the day to exit winners? How many shares does the system trade on each trade? Also, it looks like the drawdown of $17K may still be in effect since it says that it ocurred on 10-06-05?
Hmmm...you know, that's not my style to trade that many shares of a stock, so...I honestly don't know. Another question though...can you have the system pick out just 1 stock per day and test it that way? Unless you're at a prop shop with the ability to use a lot of leverage, I don't see how you'd have the capital to trade 5000 shares of each of 10 stocks. Do you have an equity curve graph?
I would say if you have enough capital to trade 5,000 share position sizes across 10 positions, then buy a few more years of historical data. Even if the system only generates half the net profit as the backtests (and the backtests are almost always overly-optimistic), it should pay for itself pretty quickly. later, -rob
Check out tickdata.com. Also, if you are using Wealth-lab developer, Qcharts integrates nicely and they have about 2 years of historical data on 1 min bars.
Thanks for all your comments BUT anybody can tell me if these results too good to be true or it can be done?
JMHO but I don't think you can trade that system. Just looking at the 1.31 profit factor. I feel that is way too low and you can do a lot better. I have made some great systems with the profit factor of over 3 or 4 with some great ideas but could not be profitable trading it tomorrow. I now hold backtesting with a grain of salt. I feel a good system can not be coded into a strategy but it is more of a feel and understanding for the market. I believe that is why a lot of people lose money. They look at well if this and this happens I buy and its just not that simple. Just my 2 cents though. GL to u J
macgibby, without you disclosing further details of your 'system', it's hard to know what's really going on. Maybe if you scale down a bit so that you can use less capital? The $17K drawdown says...be careful. The fact it's a daytrading system is positive but I'd need to see more evidence. What if you made it 40-50 stocks, for instance? Or just 2-3? What if you 'only' traded 500 shares of each stock, for instance? Test as many possibilities as you can in order to get a better idea of the system's 'edge' and that might give you more/less confidence to trade it. good luck!