If you read any of my older threads, specifically in the auto trading section, I generally focus on Intraday trading of E-Mini futures. I am now however looking into developing automated strategies on the daily time scale. Since, I really do not have any frame of reference for strategies with holding periods beyond a few hours, I do not know what is considered good returns for this time period. The time period in question is 2000-2007 The stocks are 30 of the nasdaq 100 stocks. The stats are composed by running the strategy on all 7 years of data for the first stock, then the second.. and so on for all 30 and adding the results together... One of the strategies I am currently backtesting has the following stats: Total Trades: 8,277 Wins: 4460 Losses: 3817 Win%: 53.8% Profit Factor: 1.217 Average yearly return: ~19% Each stock spent around ~5% of the year in cash. (EDIT had to fix this, put the wrong number) My main question is, from 2000-2007, is aprox 19% yearly uncompounded returns any good for this time period? What would be considered good returns for this time period? Any help would be appreciated as I try to gain a frame of reference for this set of data. Thanks
(1)Is 19% good? Yes and no. (2) What is the actual sequence of annual returns? Is it uptrending, downtrending, choppy or steady? (3) A common "problem" with back-tested systems is that the best performance numbers "occur" early in the tested time interval, not recently.