Your best backtested results

Discussion in 'Trading' started by psytrade, Oct 23, 2005.

  1. Indicate system timeframe, annual return, drawdown, market traded, #trades, and leverage/margin
  2. This post misses an important point about system testing.

    You can over-optimize any system to within an inch of its life and tweak out the last 0.001% of profitability. And then go & try to trade it - it falls flat on its face.

    Also, to increase profitability, just increase the length of time you are optimizing over.

    I counter that it is less important to find a system that yields 500% returns with 20%maxDD, than a system that yields 40% with a 10% maxDD and can consistently be expected to work for the next 6 months.

    That's what I am after.
  3. Did you mean systems that TESTED well or TRADED well?
  4. Good points

    -please note if your system rules were optimized. simple yes / no is suffucient.

    -also noted if this is on the bench or a traded system

    -Have you found a system with only a 10% drawdown earning 40% returns?
  5. The idea is to get an idea of the average number of traders with systems. I already use a backtesting environment and have a system.

    What number of traders stick with existing systems such as aberattion, etc? Is the average Elitetrader user a developer of systems or user of systems?
  6. I'm using two different systems I developed myself. One is a dip buying system that I did completely from scratch the other is a trend following system based on something I found on the wealthlab website.

    The trend following system is customized for both the Russell 2000 and S&P 400 midcap e-mini futures. Either version of the system works well on the other future, but I do have the parameters changed to get the maximum historical profit.

    The dip buying system works across a fairly broad array of markets without changes, although I'm now considering whether or not to optimize for some currencies that have had problems in the past.

    I don't see a problem with some optimization, but if the system didn't work before the optimization then optimizing it to give a good profit is a bad idea. At least in my opinion to be a candidate for optimization a system should start with a profit factor of at least 1.5.