What is a profitable strategy?

Discussion in 'Strategy Building' started by asd123, Oct 15, 2007.

  1. I'd say you're off to a reasonable start. Here are the parameters I'd be looking for:

    1. %win > 45%. This is key, because if the number of winning trades is much lower you run the risk of relying on very few trades to make it profitable (think vacation, hospital, etc. You *always* miss the winners, not the losers)
    2. avgtrade > 5-10 x (slip and commish) as a minimum.
    3. profit factor > 1.5 (at the very least)
    4. profit/maxDD > 2.5
    5. 30 to 50 trades per pair. You're probably OK here, IF the rules are identical for all pairs.

    Depending on whether you test with futures or cash, you also need to take carry cost into account. This can be significant for some longer term systems.
     
    #11     Oct 19, 2007