realistic profit factor, please help

Discussion in 'Automated Trading' started by oldtrader70, Aug 2, 2011.

  1. After trying to find a holy grail for years, I'm changing my expectations. Instead of trying to increase my profit factor, I've been trying to flatten the profit curve and design my strategy to at least hold it's own in all market types to I don't have to guess about the conditions beforehand

    I've fully scrutinized my results with the ES and it seems feasible, but the PF is not great. Is this just noise? Or worth executing?

    here are my assumptions:
    commissions $2 / contract
    trade through target limit order by one tick
    10 months
    750+ trades
    1.25 risk / reward ratio
    no limits on trades per day
    Long and short


    here are my results:
    PF 1.12 (1.11 long , 1.13 short)
    $10K net profit for one contract ES
    sharpe 0.9
    sortino 7
     
    beginner66 likes this.