I am new to designing auto systems and am working on a couple for Brent and CL. These are the performance summaries so far and I was hoping to get some feedback/opinions. Thank you
The results looks very nice, until you look at the total trades. You're working on too small sample size. It's pretty easy to create a simple system for a very short time frame. I'd try running that system on 500-1000 trades at least, to get a proper idea of how it performs on different market conditions.
We need to know what bar type you are using. If its a Renko bar (vs BetterRenko) then you can throw the strategy out the window.
OK Thank you I have applied it to 3-4 months of prior contracts and get similar results. Because crude rolls every month I have to apply it to each month. It trades on average only 1-2x /day only. I only have 3 contracts of data per product. The most current three now. 05/06/07 which is what those screen shots are
Here are results on CL for contracts 05/06/07/08/09 Performance Results for cl 13/05 Range .75 System bobscrude From 3/19/2013 15:17 to 4/22/2013 11:34 Gross Profit 12.73 Gross Loss -4.51 Net 8.22 Profit Factor 2.82 Total Trades 25.00 Total Winning Trades 18.00 Total Losing Trades 7.00 Average Points per Trade 0.3288 Percent Profitable 72.00 Largest Winning Trade 2.69 Largest Losing Trade -0.7500 Average Winning Trade 0.7072 Average Losing Trade -0.6443 Ratio Average Win/Average Loss 1.10 Average Trade 0.3288 Max Consecutive Winners 6.00 Max Consecutive Profit 4.88 Max Consecutive Losers 2.00 Max Consecutive Draw Down -1.36 Maximum Open Interest 1.00 Maximum Open Interest Average 1.00 Performance Results for cl 13/06 Range .75 System bobscrude From 4/18/2013 21:36 to 5/21/2013 12:12 Gross Profit 12.25 Gross Loss -1.39 Net 10.86 Profit Factor 8.81 Total Trades 16.00 Total Winning Trades 14.00 Total Losing Trades 2.00 Average Points per Trade 0.6788 Percent Profitable 87.50 Largest Winning Trade 3.76 Largest Losing Trade -0.7000 Average Winning Trade 0.8750 Average Losing Trade -0.6950 Ratio Average Win/Average Loss 1.26 Average Trade 0.6788 Max Consecutive Winners 9.00 Max Consecutive Profit 9.13 Max Consecutive Losers 1.00 Max Consecutive Draw Down -0.7000 Maximum Open Interest 1.00 Maximum Open Interest Average 1.00 Performance Results for cl 13/07 Range .75 System bobscrude From 4/12/2013 14:14 to 5/29/2013 13:33 Gross Profit 14.59 Gross Loss -4.17 Net 10.42 Profit Factor 3.50 Total Trades 29.00 Total Winning Trades 22.00 Total Losing Trades 7.00 Average Points per Trade 0.3593 Percent Profitable 75.86 Largest Winning Trade 3.73 Largest Losing Trade -0.7100 Average Winning Trade 0.6632 Average Losing Trade -0.5957 Ratio Average Win/Average Loss 1.11 Average Trade 0.3593 Max Consecutive Winners 8.00 Max Consecutive Profit 6.06 Max Consecutive Losers 2.00 Max Consecutive Draw Down -1.23 Maximum Open Interest 1.00 Maximum Open Interest Average 1.00 Performance Results for cl 13/08 Range .75 System bobscrude From 9/5/2012 13:39 to 5/29/2013 14:28 Gross Profit 40.55 Gross Loss -4.94 Net 35.61 Profit Factor 8.21 Total Trades 45.00 Total Winning Trades 37.00 Total Losing Trades 8.00 Average Points per Trade 0.7913 Percent Profitable 82.22 Largest Winning Trade 5.07 Largest Losing Trade -0.7500 Average Winning Trade 1.10 Average Losing Trade -0.6175 Ratio Average Win/Average Loss 1.77 Average Trade 0.7913 Max Consecutive Winners 11.00 Max Consecutive Profit 9.75 Max Consecutive Losers 1.00 Max Consecutive Draw Down -0.7500 Maximum Open Interest 1.00 Maximum Open Interest Average 1.00 Performance Results for cl 13/09 Range .75 System bobscrude From 10/3/2012 11:12 to 5/29/2013 14:32 Gross Profit 36.53 Gross Loss -6.85 Net 29.68 Profit Factor 5.33 Total Trades 47.00 Total Winning Trades 36.00 Total Losing Trades 11.00 Average Points per Trade 0.6315 Percent Profitable 76.60 Largest Winning Trade 5.89 Largest Losing Trade -0.7200 Average Winning Trade 1.01 Average Losing Trade -0.6227 Ratio Average Win/Average Loss 1.63 Average Trade 0.6315 Max Consecutive Winners 9.00 Max Consecutive Profit 11.23 Max Consecutive Losers 2.00 Max Consecutive Draw Down -1.23 Maximum Open Interest 1.00 Maximum Open Interest Average 1.00
Brent for 05/06/07/08/09 contracts Performance Results for brent 13/06 Range .75 D System bobscrude From 4/11/2013 11:22 to 5/16/2013 16:33 Gross Profit 11.88 Gross Loss -4.11 Net 7.77 Profit Factor 2.89 Total Trades 28.00 Total Winning Trades 21.00 Total Losing Trades 7.00 Average Points per Trade 0.2775 Percent Profitable 75.00 Largest Winning Trade 1.82 Largest Losing Trade -0.6800 Average Winning Trade 0.5657 Average Losing Trade -0.5871 Ratio Average Win/Average Loss 0.9635 Average Trade 0.2775 Max Consecutive Winners 5.00 Max Consecutive Profit 2.75 Max Consecutive Losers 2.00 Max Consecutive Draw Down -1.18 Maximum Open Interest 1.00 Maximum Open Interest Average 1.00 Performance Results for cl 13/07 Range .75 D System bobscrude From 4/12/2013 14:14 to 5/29/2013 13:33 Gross Profit 14.59 Gross Loss -4.17 Net 10.42 Profit Factor 3.50 Total Trades 29.00 Total Winning Trades 22.00 Total Losing Trades 7.00 Average Points per Trade 0.3593 Percent Profitable 75.86 Largest Winning Trade 3.73 Largest Losing Trade -0.7100 Average Winning Trade 0.6632 Average Losing Trade -0.5957 Ratio Average Win/Average Loss 1.11 Average Trade 0.3593 Max Consecutive Winners 8.00 Max Consecutive Profit 6.06 Max Consecutive Losers 2.00 Max Consecutive Draw Down -1.23 Maximum Open Interest 1.00 Maximum Open Interest Average 1.00 Performance Results for brent 13/08 Range .75 D System bobscrude From 9/21/2012 19:36 to 5/29/2013 19:28 Gross Profit 36.77 Gross Loss -8.60 Net 28.17 Profit Factor 4.28 Total Trades 58.00 Total Winning Trades 44.00 Total Losing Trades 14.00 Average Points per Trade 0.4857 Percent Profitable 75.86 Largest Winning Trade 4.01 Largest Losing Trade -0.7500 Average Winning Trade 0.8357 Average Losing Trade -0.6143 Ratio Average Win/Average Loss 1.36 Average Trade 0.4857 Max Consecutive Winners 14.00 Max Consecutive Profit 11.57 Max Consecutive Losers 2.00 Max Consecutive Draw Down -1.35 Maximum Open Interest 1.00 Maximum Open Interest Average 1.00 Performance Results for brent 13/09 Range .75 D System bobscrude From 11/28/2012 13:49 to 5/29/2013 19:28 Gross Profit 26.11 Gross Loss -7.52 Net 18.59 Profit Factor 3.47 Total Trades 44.00 Total Winning Trades 31.00 Total Losing Trades 13.00 Average Points per Trade 0.4225 Percent Profitable 70.45 Largest Winning Trade 3.83 Largest Losing Trade -0.7200 Average Winning Trade 0.8423 Average Losing Trade -0.5785 Ratio Average Win/Average Loss 1.46 Average Trade 0.4225 Max Consecutive Winners 4.00 Max Consecutive Profit 6.05 Max Consecutive Losers 2.00 Max Consecutive Draw Down -1.43 Maximum Open Interest 1.00 Maximum Open Interest Average 1.00
IMHO, and after doing most every mistake one can make when developing automated systems ... 1. for CL, backtest from 2007 (CL transitioned from pit to electronic in the fall 2006), this should give you about 3000 trades if your system trades twice a day - this is a sound basis to analyze a system's performance. 2. make sure any LMT order only gets filled in backtest once price trades beyond that limit. 3. include 1-tick slippage for all MKT & STP orders, and don't use STPLMT orders as they are the trickiest to evaluate if they should have got filled or not. Ideally, you would want to do your development & backtesting on 3 to 5 years of data, then use 1 to 3 years as forward testing.
Any one crude contract is the active contract for only one month of its life so it is kind of hard to get a lot of back data but I hear you. My system expunges the data when it rolls so ill to see if I can find good data for a lot of old contracts. My other problem right now is this was written on a platform that will only trade with Ib and I can't keep Ib up 24/7 now with the secure login thing. A lot of these trades occur overnight and outside of regular hours.