I think your number of trades is (too) low, and your max drawdown is (too) high. Let's say you start trading this strategy ... anyone will say "make your system stop 2 or 3 times its max historical drawdown". Best case, your max historical drawdown was 7200, worst case it was about 72000 (peak P&L 102,000 - 71.8% = 28765) - how do we know, if you only have a % ??? Anyway, let's just assume it was 7200. Your system stop should be ~ 15000, so your starting account must be higher than that, say 20000 ... now your average return is down to 5%, and this is only backtest on 300 trades.
Another result, the low number of trades is due to my strategy which is to identify trends. For the mean time I'm particularly interested in my win %. I have also found (I am a newbie) there's a "mountain climb a PEAK and then a decline" when adjusting my trailing stoploss. Which affects my win/loss rate quite dramatically. How would you suggest I get my max DD lower? Back test 1.3 is over 20 years , to try get closer to the 1000 trade mark. Cheers Benji
what about putting in here to make it easier : - an equity curve - a sharp ratio - aka risk adjusted return - average winnning and losing streak - maximum losing and winning streak - average time in losing trade - average time in winning trade - average trade duration? winners and for losers? This will help studying your strategy.
Heres the dates, stock, entry, exit, PNL and total capital. would it be hard to transfer this into a list containing what you have named above. I have a separate Sharpe ratio excel sheet, but is there anything I can do with this excel sheet here to get ore accurate results?
Psychologically, you'll never be able to handle this with real money.... You'll never be able to sleep at night... It's the journey, not the pot of gold at the end, that's most important...
10% or 20% annually with 70% drawdown is something I don't consider an edge. Also, win percentage doesn't mean anything at all, possibly the most useless statistic. Profit Factor is what matters matters. Do you want 2 trades, one with a profit of 20% and the other with a loss of 5% or 2 winning trades with 5% return?
Very good point! What type of max DD + annual return , would start beginning to indicate an edge. Im still back testing like crazy! Anything else I can do that will help? Cheers guys , I love this site
I look at monthly drawdown and maximum drawdown. High exposure systems, I'm looking for triple digit returns with a DD not over 35% over a 10 year period. For low exposure, return should be double that of max drawdown. Take a good look at the equity curve, it shouldn't flat-line for significant periods as it's mind numbing to trade something daily for a year that doesn't produce anything.