Exactly. If win rate (WR) was important in any way, trend following strategies wouldn't exist because none of the good ones go above 50% WR. As a newbie, I had 85% win rate and lost money. Now I have something like 55% and it's profitable. It's as clear cut as can be.
You don't know what you're doing if you think these backtests have any meaning. Having 100-200 trade backtests for less than one year (!) AND single symbols are about as precise as throwing darts. You might have a rude awakening.
As a retail, I agree with your statements. We, perhaps due to lack of sophistication, tend to bet on the up trend in the market and in this bull market starting 2009, we are all geniuses. I do worry about the coming bear market.
Sorry I cannot resist to comment. Expected return is what counts. In options, one can make a nice living with win rate < 50%: Asymmetric payout. Regards,
here are some more performance reports: aapl 2005 - 2018 TradeStation Performance Summary Expand All Trades Long Trades Short Trades Total Net Profit $18,213.00 $16,284.00 $1,929.00 Gross Profit $70,892.00 $43,042.00 $27,850.00 Gross Loss ($52,679.00) ($26,758.00) ($25,921.00) Profit Factor 1.35 1.61 1.07 Roll Over Credit $0.00 $0.00 $0.00 Open Position P/L $1,561.00 $0.00 $1,561.00 Total Number of Trades 1,279 701 578 Percent Profitable 35.42% 37.52% 32.87% Winning Trades 453 263 190 Losing Trades 819 434 385 Even Trades 7 4 3 Avg. Trade Net Profit $14.24 $23.23 $3.34 Avg. Winning Trade $156.49 $163.66 $146.58 Avg. Losing Trade ($64.32) ($61.65) ($67.33) Ratio Avg. Win:Avg. Loss 2.43 2.65 2.18 Largest Winning Trade $2,040.00 $2,040.00 $1,496.00 Largest Losing Trade ($1,044.00) ($1,044.00) ($548.00) Max. Shares/Contracts Held 100 100 100 Total Shares/Contracts Held 128,000 70,100 57,900 Account Size Required $4,617.00 $2,608.00 $2,759.00 Total Slippage $5,116.00 $2,804.00 $2,312.00 Total Commission $2,558.00 $1,402.00 $1,156.00 the buy and hold returns of 100 aapl shares from 2005 to this day would be something like 16,000 usd in profit. however, buying and holding would have gone through a number of awful periods where aapl has been sold down significantly and a 100 share position would have given back more than 4,000 usd in paper profits each time. my strategy generates superior returns with far smaller largest losses to buying and holding even when it does not include the instructions for all positions to be closed before each earnings announcement. but well, people who don't know anything about automated strategies or rules based trading but still feel like running their mouths could still not be convinced. the price of aapl was bought higher by almost 4,000% from 6 to 230+ usd which would have helped a lot of non performing strategies pass a superficial examination, but ¿what about symbols that have gone nowhere like ge? ge 2005 - 2018 TradeStation Performance Summary Expand All Trades Long Trades Short Trades Total Net Profit $2,899.00 $140.00 $2,759.00 Gross Profit $8,647.00 $3,458.00 $5,189.00 Gross Loss ($5,748.00) ($3,318.00) ($2,430.00) Profit Factor 1.50 1.04 2.14 Roll Over Credit $0.00 $0.00 $0.00 Open Position P/L $474.00 $0.00 $474.00 Total Number of Trades 136 73 63 Percent Profitable 36.76% 36.99% 36.51% Winning Trades 50 27 23 Losing Trades 86 46 40 Even Trades 0 0 0 Avg. Trade Net Profit $21.32 $1.92 $43.79 Avg. Winning Trade $172.94 $128.07 $225.61 Avg. Losing Trade ($66.84) ($72.13) ($60.75) Ratio Avg. Win:Avg. Loss 2.59 1.78 3.71 Largest Winning Trade $993.00 $421.00 $993.00 Largest Losing Trade ($336.00) ($336.00) ($298.00) Max. Shares/Contracts Held 100 100 100 Total Shares/Contracts Held 13,700 7,300 6,400 Account Size Required $793.00 $824.00 $773.00 Total Slippage $272.00 $146.00 $126.00 Total Commission $272.00 $146.00 $126.00 my solid, robust, profitable strategy would have returned very handsome profits in ge, even when buying and holding would have been absolutely destroyed. ge went from 36 usd in 2005 to less than 8 today with very modest volatility over this period and my strategy was still able to ride the wave for a significant profit. and here are some performance reports for other strategies i have developed: aapl 2005 - 2018 strategy -"b"- TradeStation Performance Summary Expand All Trades Long Trades Short Trades Total Net Profit $12,931.00 $11,057.00 $1,874.00 Gross Profit $18,415.00 $13,175.00 $5,240.00 Gross Loss ($5,484.00) ($2,118.00) ($3,366.00) Profit Factor 3.36 6.22 1.56 Roll Over Credit $0.00 $0.00 $0.00 Open Position P/L $5,934.00 $5,934.00 $0.00 Total Number of Trades 30 13 17 Percent Profitable 50.00% 69.23% 35.29% Winning Trades 15 9 6 Losing Trades 15 4 11 Even Trades 0 0 0 Avg. Trade Net Profit $431.03 $850.54 $110.24 Avg. Winning Trade $1,227.67 $1,463.89 $873.33 Avg. Losing Trade ($365.60) ($529.50) ($306.00) Ratio Avg. Win:Avg. Loss 3.36 2.76 2.85 Largest Winning Trade $4,676.00 $4,676.00 $1,652.00 Largest Losing Trade ($1,698.00) ($1,698.00) ($1,286.00) Max. Shares/Contracts Held 100 100 100 Total Shares/Contracts Held 3,100 1,400 1,700 Account Size Required $1,922.00 $1,764.00 $1,568.00 Total Slippage $120.00 $52.00 $68.00 Total Commission $60.00 $26.00 $34.00 aapl 2005 - 2018 strategy -"c"- TradeStation Performance Summary Expand All Trades Long Trades Short Trades Total Net Profit $15,902.00 $17,156.00 ($1,254.00) Gross Profit $57,321.00 $38,928.00 $18,393.00 Gross Loss ($41,419.00) ($21,772.00) ($19,647.00) Profit Factor 1.38 1.79 0.94 Roll Over Credit $0.00 $0.00 $0.00 Open Position P/L $1,463.00 $0.00 $1,463.00 Total Number of Trades 684 415 269 Percent Profitable 42.25% 44.82% 38.29% Winning Trades 289 186 103 Losing Trades 393 227 166 Even Trades 2 2 0 Avg. Trade Net Profit $23.25 $41.34 ($4.66) Avg. Winning Trade $198.34 $209.29 $178.57 Avg. Losing Trade ($105.39) ($95.91) ($118.36) Ratio Avg. Win:Avg. Loss 1.88 2.18 1.51 Largest Winning Trade $2,271.00 $2,271.00 $1,291.00 Largest Losing Trade ($1,246.00) ($1,246.00) ($610.00) Max. Shares/Contracts Held 100 100 100 Total Shares/Contracts Held 68,500 41,500 27,000 Account Size Required $4,002.00 $2,669.00 $4,247.00 Total Slippage $2,736.00 $1,660.00 $1,076.00 Total Commission $1,368.00 $830.00 $538.00 like i initially wrote, i have several (10+) strategies, like these 3 i have showcased, that make money consistently while trying to ride the wave and keeping risk capped, even when evaluated on positions in shares, not options. i can't post so much text and images in a forum as it would require to document these methods extensively, but those are the materials i have been sending by email to the people who have contacted me. in conclusion, i have been doing a lot of thinking this week and it seems to me that the best thing i can do will be to get a regular job, with the primary objective of getting used to performing consistently during the morning hours again. a number of programmers that have contacted me have assured me that it is possible to automate strategies on options, so i will be leaning on their expertise and learning how to adapt my strategies to much more demanding programming languages like python, c and c#. once i have managed to get used to a daylight schedule again, trading my strategies as a side hustle, either by hand or with a fully automated setup is something that won't be a problem at all.
Take it easy pal There is nothing here to be excited about. Your expectancy per trade is low,understandable you are trading scared at times. I don't run any tests on stocks,but in futures that number can be from $200 to $1800 per trade with similar number of trades. Where is max draw down and longest time in a draw down plus average time to recover? Most of your stats are just a bite and if you had the stats you would be reluctant to post them in the open forum.
@rtw how does the system behave across ALL listed equities? Individually testing equities is almost always a bad thing. One notable exception is if you trade on the spread, like with say C in 2009 when the edge was very different from typical timing. The most symbol fitting I've done in the past 10 years is excluding a sector (oil) when it was too volatile and correlated, causing massive volatility in the portfolio. Out of the 10 or so strategies you said you have, realistically there's 1 or maybe 2 really good ones. I have a bunch that can show beautiful equity curves on many symbols -- throw the whole market at them and they fail miserably. Totally useless for practical purposes.
mr. @ajacobson , i appreciate your comment. however, you must be aware that as i see, your profile is restricted and it is impossible to privately message you.