Yearly Returns when trading basket of stocks

Discussion in 'Strategy Development' started by frostengine, Mar 2, 2007.

  1. 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.

  2. (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.