robust tradingstrategy?

Discussion in 'Trading' started by ninja11, Aug 2, 2010.

  1. ninja11

    ninja11

    Hi guys,

    I backtestet my trendfollowing tradingsystem with these markets.
    Could you score this System?
    Is it OK to trade with this strategy ?
    Is is robust?

    Thanks for help!



    CL (cruide oil)
    backtest 5min entry – 120 min trend

    from august 2008 bis till 15. july 2010
    40 wins - 48 losses together 88 trades 45% hit ratio
    92,2 R win - 57,80 R loss 1,59 profit factor
    …...........................................................................................................



    ES (e-mini)
    3 min entry – 60 min for trend
    03.aug.2009- 22.july.2010
    42 win - 54 loss together 96 trades 43% hit ratio
    102 R win – 55 R loss 1,85 Profit factor
    …...........................................................................................................



    stocks: VZ

    05.august.2009 till 24.july.2010
    5min - 120 min
    19 W - 46 Loss togehter 65 Trades 29,23 % hit ratio
    53,6 R win - 45,90 R loss 1,16 profit factor
    .............................................................................................................




    GBL ( german bonds) 05.august.09 – 25.july.10
    5 min – 120 min
    24 win - 57 loss together 81 trades 29,6% hit ratio
    44 win R - 59 Loss R profit factor 0,75
    .............................................................................................................




    amzn (stock) 05.august.2009-01.august.2010
    5 min 120 m
    19 win - 30 loss 49 trades 38,7% hit ratio
    33 R win - 33,5 R loss 0,98 profitfaktor
    ............................................................................................................



    eur—usd (forex)
    07.april 2010 till 11.july 2010

    12 win / 27 loss all trades 39 30% hit ratio
    41 win R / 29,60 loss R 1,38 Profit factor

    ..........................................................................................................



    GBP/USD (forex)
    15. april 2010 till 06. juli 2010
    15 win - 29 loss together 44 trades 34% hit ratio
    27 Win R / 29,2 Loss R 0,92 Profit factor





    All markets together :

    160 win trades / 295 loss trades 35% hit ratio
    392,8 Win R / 309,8 loss R profit factor 1,26
     
  2. Very small trade samples. You need hundreds of trades to reach any conclusions about robustness. Then, you have several systems with pf < 1. This is unprofitable situation. Why did you even bother posting the here?
     
  3. ninja11

    ninja11

    I testet all these markets with one strategy. This is the result of the backtest.

    Alltogether I have 455 Trades. Is it still not enough?
     
  4. Retief

    Retief

    That would be enough for me, but I wouldn't use it on any instruments with a profit factor of less than 1.50. Test it with a simulation account first for a month or two.
     
  5. ninja11

    ninja11

    Hi,

    do you ever find a system, which has a better profit factor than 1,3 on all markets?

    Markets are changing! what would you do, if your profitfactor goes down from 1,5 to 1,2 or 1,3?
     
  6. Retief

    Retief

    (1) do you ever find a system, which has a better profit factor than 1,3 on all markets?

    No.

    (2) Markets are changing! what would you do, if your profitfactor goes down from 1,5 to 1,2 or 1,3?

    Monitor closely and stop using the system if it starts to lose money.
     
  7. Not enough. Intraday testing results require increased samples. Maybe 1000 trades per market. This even may not be enough depending on whether you optimizing parameters in your system.

    Have you calculated you combined profit factor?

    Regarding your question: I have systems with pf 3.5 and as high as 5.5 in real trading. Not for all markets though.
     
  8. d08

    d08

    Why are you comparing stocks to CL and the bund, these instruments are completely different. When it comes to testing stocks, you should choose the components of some indices since individual stocks tend to get too many abrupt movements.
    You also need more trades, less than 100 trades is rather useless. As said before the profit factor on many instruments seemed really low and generally drops when applied with real money (since most probably you did some type of optimization).
     
  9. ninja11

    ninja11

    All markets together I have 455 Trades:

    160 win trades / 295 loss trades 35% hit ratio
    392,8 Win R / 309,8 loss R profit factor 1,26

    You guys think, that is not enough trades? It isn't intraday trades.
    I keep it overnight.

    I didn't optimize my tradingstrategy. I just have had a simple tradingidea, then I make some simple rules and Backtest this Idea.
    My konzept is really simple. I am watching on the higher time frame for trend, then waiting for a retracement on the higher timeframe. then I will entry with the lower timeframe in the direction of the trend of the bigger timeframe. So i use the lower time frame for entry, stop and tailingstop.

    The results are ok, I think. It is not great, but it is profitable I think. Do you guys have any Ideas or comments?
     
  10. Your profit factor is way to low. It is maybe slightly lower than what would have been gained by chance. If you factor in slippage and other real trading effects that work against you this pf will go <1.

    Q1: how many bars and what time frame did you use in your testing?

    Q2: what testing program did you use?
     
    #10     Aug 3, 2010