After my first thread about false breakouts on NQ/ES I started to make a "paper backtest" of my strategy on 5 min historical datas on the NQ, coz I needed to make a pause in my trading activity and understand if I could really rely on my breakout strategy. Now I'd like to share my results with you. Briefly my strategy was to enter on the breakout of ranges, after confirmation of the breakout bar with a new bar closing 2 ticks above or under the breakout bar's high or low, and only if I noted a good volatility increase in the last 2-3 bars (this was a totally discretional judgment). In case of well established uptrends I used to enter on the breakout of the high of the previous retracement bar (breakout of the low of the previous bar in case of downtrends). Filters: I used 5,10 simple MAs, parabolic SAR and stochastic (5,3) as filters for the chart signals. I only took long positions if the sar was long, the 5 period MA was above the 10 p MA, and the stoch was above is %D parameter. Viceversa for the short positions. I used fixed take profits (5 pts.) and stop loss (2 pts). I considered also 0.5 pts. for commissions (I know it's a lot but that's the lowest price I can currently have in my country for a roundtrip). I tested this system on 2 different periods: from 01/04/2002 to 2/5/2002 and from 3/12/2002 to 3/25/2002. I counted 94 trades in total (2-3 trades per day on average), with a 59% profitability, and a cumulative score of 97 points. I did every effort to simulate my real trading style as best as I could. The most unprofitable trades were made during well established trends with low volatility. I'd like to receive any "sound" comments on this, I'd appreciate to know what statistics have those of you who use a similar strategy; most of all I'd like to know if in your opinion it is reasonable to expect to have similar results in real trading. Thanks Pawpaw
Your testing period does not even span 2 months altogether. That's not enough to draw any meaningful conclusions about the system performance. Get at least 2 years of data and see what you get then. Then come back and tell us how your system did.
Cool...thanks for sharing the settings. To get a better feel for the actual results you might try some sort of trading simulator. There are several that work with Interactive Brokers TWS, and this software works with esignal and DTN.