Which strategy would you trade?

Thanks for the suggestion. I'm a little rusty on my sharpe ratio calculation, but I will take a look at it.

 

there is no logic to the explanation,it comes from experience

I only looked only at 4th scenario,at first i was sure OP is talking about 4 to 8 months test,

time to recover to break even is too short to have that many losing trades without this being curve fitted and effected somehow by stop loss implemented not being realistic.If net positive trades are that good why there is so many losing trades.
If these presented results were truly robust the amount of trades to produce these results in given time period would need to be X times higher.I can't give an estimate by how much without doing simulated tests.
The give away is time spend in a draw down,when you break this down zero negative months is not what you want in 5 yrs period

 

I'm not sure what AUM is. I ran this back test in a spreadsheet with imported daily data. Trading NQ YM EMD & RTY. Thanks for the opinion.

 

Thanks for the suggestion. I can't trade all of them at once because they are already combinations of the same instruments.

 

Excellent question, and the reason for my post. I like to be in the market, so I prefer more trades (I don't think this is necessarily a good trait, but it is reality). Like everyone, I don't like draw-downs - the draw-downs are close enough that this isn't a factor. I hate periods of no profit, so the shortest breakeven is appealing - five days' difference doesn't sound like much, but I know an extra week to get back to even will feel like a long time. I would like to scale up, and the most scalable option is the least profitable. Naturally, it's all about the profit.

So, each strategy has some good and some bad - the answer is not clear to me, so I thought this thread would help. Thanks again for the input.

 

I agree. Thanks for the suggestion. I am inclined to choose one and scale it up with profits. I like the idea of trying them all, but that would take many months. Since they all use the same instruments, I can't really trade them at the same time. Maybe I will choose one and paper trade the others to see what happens...

 

Thanks!

 

So futures. That is good but you need some reference to know how much capital you needed to create that profit, how much margin was used and what your returns were. It make a big difference if it required $1mm or $25K.

 

Thanks for your thoughts. What do you mean by "rusty"?

If anything, my stops are much larger than many would use. The only stops are: flat at the end of the day, and whatever the balance in my account is. Intraday draw downs may be slightly larger than what is shown - but not enough to trigger a margin call. I was trading a version of these strategies on 9/11 (real money) and survived without significant damage (I had open positions that I did not close on 9/10 - that wouldn't happen with the strategies under consideration). A day like that teaches you something about the false security provided by stops...

 

I do the same. I don't really want to discuss the particular strategies at this point, but thanks for your input.