I would be very cautious here. In a way, you have a system within the system - you magically know the middle of the candle. I would recommend using open or close and then deduct slippage.... Feeling good about retesting (manually)? But that is what you have to do, otherwise you _might_ be deluding yourself.
Yes...I have been trading the system using the SPY intraday only. It has worked out nicely for me so far. So far the test results have been true to life. 53.7% accuracy, avg winner = .51 avg loser = .25. As close as it gets I suppose. Probably because I manually backtested and visually chose the trades that fit my mechanical/discretionary system.Best so far has been $720 and biggest loser $300. I wont even bother printing my Net P+L because there will be naysayers and the like. Suffice it to say that it has been successful so far. I am also building an EOD system, the same rules for long and short only flipped. 2506 trades %48.38 winners % 51.62 losers %17.82 ROI (tested through every mkt condition, raging bull, hairy bear and flat lining.) avg profit %2.01 avg loss %1.78 avg drawdown %.0.84 max profit %18.345 max loss %%14.765 1.25 - 1 ratio I will be be going live real soon
How much data (months, years) is being covered? How many trades per day on average? Does the system trade every trading day?
4 years of data. I tested the strategy in every market condition separately. Broken down into 3 time frames. Just under 3 trades daily on average. But one of my rules is no more than 5 open positions. The hypothetical returns posted take that into account.