Is this a good strategy ? $200K profit in 5 months

Discussion in 'Strategy Development' started by zanek, Feb 25, 2010.

  1. zanek


    The equity curve looks pretty good. On other stocks I backtested, it literally looks like a 45 degree angle.

    This is using a 15-min timeframe trading with 100K per trade. Trading period is 6 months for this backtest.

    <img src="" alt="Hosted by" />

    <b>The thing is, it only wins 40.91% - 50% of the time. </b>

    The profit factor for this particular strategy is 1.82. The Sharpe ratio is 1.81

    Max consecutive winners: 12
    Max consecutive losers: 14

    I've tested up to 9 years and the starts are slightly better. Win rate goes up to almost 50% over a longer time period.

    I've seen some strategies that people say get 80% win rates, so I'm not sure if this strategy I've come up with is that great.

    Thoughts ?
  2. how much did you optimize it?
  3. zanek


    I didnt do any optimization yet (I was trying to avoid curve fitting, etc). This is just a strategy I thought of one day with a bunch of simple rules.
  4. Still, if it only works on a single equity, i would be suspect. Doesn't mean it will work going forward.
  5. zanek


    I've tried it on multiple equities and it works on 20+ of them and I've forward tested it a little bit.

    For instance this is the same 15-min timeframe, but run on C (Citigroup) this time:

    <img src="" alt="Hosted by" />
  6. Two thoughts. Either:

    a) you hope to sell it on ET soon OR
    b) you have a lot to learn about what happens to optimistic tests when real money is traded...

    This sounded like the kind of thing someone gets excited about 4 months after they discover trading, and 8 years before they actually learn to become successful...
  7. Interesting. Can you apply the strategy to ES and report the results?

    If you don't have futures data, you can try SPY or QQQQ.
  8. zanek


    I dont have futures data, but I ran it against the SPY.

    The profit isnt as much but at least its not negative ! This is using the same 15 min timeframe.

    <img src="" alt="Hosted by" />

    @TraderZones: I'm not trying to sell this nor have I ever said this strategy was great. If you READ my original post, you'd see the whole reason I was asking about the strategy was to see if it was any good. But thanks for being a troll as usual
  9. is it some kind of trend strategy? it seems so at least from the W% and the profit factor, etc... allied ot the fact it doesn't perform as well in S&P which is not much a trending asset...

    try it on Russell and it may be better... on oil and currency pairs or soybeans or other agricultural contracts.
  10. Do the results include slippage and trading costs?

    Is it realistic to assume you would be filled when buying or selling 100K

    How many trades are you taking in the test period?
    #10     Feb 26, 2010