i would say if all cost included "like commissions and any slippage" if you can achieve 1.25 or better you can make money. a profit factor of 2.80 only indicates that it hasn't been run for years and years. many systems will have burst up to 4.00+ occasionally but that's not sustainable, i feel right at home with 1.25 to 1.75 over a decade or two at least of trades. i like to see and use 5000 trades to get a sense of how durable the model is. almost always the more data you add the more it degrades the results. if i don't have enough data, i make a synthetic data stream that mimics the markets i'm trading. i love demolishing trading systems, very seldom i will find one that holds up. the most consistent models are those that exploit reaction of human emotion .
Good Morning MarkBrown, I agree with you fully. Finding a trading system with edge tested on X-XX years of historical data with +X,XXX trades is not easy, and it should not be easy.
Finding profitable edges is easy. But finding really good profitable edges is hard. Low edge, 40% to 60% profitable months. (eg. Sharpe ratio between 0.5 to 1.5) Medium edge, 60 to 80% profitable months. (eg. Sharpe ratio between 1.5 to 2.5) Really good edge, 80% to 100% profitable months. eg. Sharpe ratio above 2.5. Above should not include blow up strategies like selling premium. Which win for many months but then lose it all...
Good Morning Businessman, You right. Your right about that. You are so right. I agree. I am stuck in the Low edge range from my work and research. I personally have not obtained any credible edge above profit factor 1.0 with my out-of-sample testing. Finding credible edge is a tuff business. But as Jim Simon quoted, "thank God, edges are not easy to find"