Sell a strategy

Discussion in 'Strategy Building' started by m&m&m, Sep 19, 2003.

  1. Bob111

    Bob111

    i did post picture with monthly report(graal2.png) -so -you can count them in entrees column
     
    #51     Oct 3, 2003
  2. nkhoi

    nkhoi

    sell high, buy low? :D
     
    #52     Oct 3, 2003
  3. lindq

    lindq

    Your system is just barely marginal in backtesting. In reality a professional wouldn't give you a penny for it. Why would someone want to take on a multiday hold for a possible payoff of only 1-2 percent per trade? There are many equity strategies available that are much more profitable. I would say that if your system isn't returning at least 3% net per trade in backtesting, with an average hold time of 3-5 days, then you need to toss it and start over. Because anything less than that isn't worth the risk of tying up capital.
     
    #53     Oct 3, 2003
  4. m&m&m

    m&m&m

    I agree, i should have given more realistic example.
    But my question was not about a strategy but about the mechanics - how it (the sell) can be accomplished at all???
    here is something about a strategy now
    It was back tested for 1998-2002 years only for S&P500 stocks.
    Average Profit Percent: 5.7%
    Average Holding Period: 2 weeks
    Average Win/Loss ratio 2.1/1
    Profitable months – 9-11
    Average positions/year – 450
    Average profit of winning trades: 15.1%
    Average lost of loosing trades: -14.0%

    Picture shows one year random test run based on 300 and 450 trades a year, 1000$ bets with 10.000$ initial capital
     
    #54     Oct 3, 2003
  5. m&m&m

    m&m&m

    the trades distribution:
     
    #55     Oct 3, 2003