Strategy Profit Factors for ES.D

Discussion in 'Strategy Development' started by bearded_clam, Oct 22, 2008.

  1. What kind of historical and/or real time Profit Factors are you guys acheiving for automated strategies on the ES.D?

    I am mostly interested in strategy ideas that are intraday.
     
  2. For the past five years Avg. 2.83 (Longs 2.61, Short 3.75)

    If I cranked up my system and got more aggressive I might see, using historical testing, Avg. 3.11(Longs 2.83, Shorts 4.14) WITHOUT commissions on 1000 total trades.

    I hope this helps.
     
  3. Nice. Is this trading 1 contract only
     
  4. If your base or minimum trading size is 1 contract I will generally be between 1 and 10 times that base trading size with entries. 1 to 5 times is typical.


    Better risk/reward = more size.
     
  5. about 1.5
    enough for me :)

    see attached TS report if you want to compare with your systems
     
  6. Very nice DT.

    How do you create that link?
     
  7. Is this system taking trades outside of reg market hours for daytrade?
     
  8. all trades are within 8:30 am - 3:15 pm chicago time
    and this system holds overnight.