intraday strategy %`s

Discussion in 'Strategy Development' started by indahook, Mar 31, 2003.

  1. Greetings all,
    I know I can count on the posters here to give me some advice. I sat down this weekend to backtest a system that has been on my mind for some time and here are the results.
    It is an intraday strategy using one of the ETF`s

    out of 720 trades =
    53% accuracy
    Average winner .53
    Average loser .26

    I ran the test using the same indicators to enter and exit the trade, I do feel I can get slightly better results utilizing a different set of parameters to exit. What I was wondering is?

    Am I on the right track? Are these %`s enough to make it strictly trading intraday? Has anybody had a system with these kinds of numbers? What kind of size should I trade?
    Thank you much,
    Chris
     
  2. 50% wins and 2to1 W/L is a very common profile.

    if the system parameters persist into the future, you're in the land of milk and honey. there's really no need for improvement if you think it's *robust*. if you think it's robust (meaning will hold up in the future), i'd start trading it right away and concentrate on money management and shopping for an island in the karibian:)

    P.S. o ya tell us the system!:)
     
  3. Thats nearly a 50 cent expectency which is usually very good.

    The question is.. whether you accounted for slippage/commisions... what type of drawdowns have you seen.. and whether this type of trading can actually be duplicated..



    --MIKE
     
  4. Thank you both for your replies! I had to manually backtest because my software (AIQ) does not allow for intraday backtesting. It was extremely tedious, yet rewarding. When I calculated my entries and exits I took the average of the high and low of the candle I was entering on to account for slippage. I did account for comm(.0125). It eats up 16.5% of my profits. Trading lots of 1k leaves me like this= 108,576-18,000(comm)=90,576.
    I do feel this is a robust system because the base of the system is the volatility of the market itself. And as long as the mkt has swings the trades are there to be had.
    Thanks again,
    Chris.
     
  5. Vishnu

    Vishnu

    It doesn't look like you expected value per trade is going to be enough to beat out commissions and slippage, best to have an EV of approximately 0.40% or greater to give a degree of confidence that in the long haul you can beat the vig.
     
  6. Can you please elaborate. I am not familiar with the term EV.
     
  7. Went live today.
    4/1/03
    3 trades today
    $196.50 after comm.
    Its a start!
     
  8. Very good start. You may want to test your results after 100 trades to see if your actual results match the backtested results. Interesting!

    :cool:
     
  9. Thank you Spreadem, (are you a MM? :D )
    Its funny you should say that, I was thinking the same thing...just to make sure my numbers werent tweaked at all.

    I need an opinion on a few of my risk managment rules. Any takers?

    No more than three trades a day.
    2 losers in a row = done for the day.

    Thanks much,
    Chris.
     
  10. Is it how you backtested this system? With such management rules or are you imposing them now?
     
    #10     Apr 1, 2003