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Yes, compounding returns.

Just wanted to know if you guys use compounding profits in your back-testing results?? I usually test all my futures strategies with max 1 contract. I test my stock portfolio strats with max $5000 for a trade. Just wondering if you guys compound your results?? What is the correct method...

Thanks Hurricane. I am curious can you put up a screenshot of what one your systems equity curve would look like. Also, can you screenshot data like i have - it would be nice to see what breakdown of a system with 2:1 winners would look like especially year by year results. Thanks.

Hey Dom, the system does not scale it is all in and out and sorry but i forgot to add that when i ran the back test the program had more than one contract as size. With esignal 11 extended history on 1 min chart i only have access going back to 2007 (which is certainly an issue). The...

Thanks for advice. However, i did say i use zero indicators (this is both in my discretionary and automated trading strats). As for 2:1 winners to losers on intra-day time frame and especially on ES that is so difficult to do. I have tried my tests on having at-least 2;1 win to loss targets...

No volatility filter equity curve:

No volatility filter:

Trade data (vol filter):

Okay here is one system that relies on some form of pattern recognition and mean reversion, this is similar strategy to one i traded as discretionary trader for years. I am finding it far more difficult to create short term intraday strategies as obviously the shorter time in market and lack...

Jack Hershey please go away. As for the rest of this thread i have stopped even sampling intra-day random entries as i understand it is pretty much -2 tick (+commissions) mean - i think it was a big waste of time doing this for intraday data. Saying that my strategy with the basic small...

Hey Dom, thanks. I think i did not make my post clear, what i am trying to get at is purely in terms of back testing my entry versus a random entry. I just wanted to know why it would make a difference statistically in the test i outlined in my first post. I think we discussed at length...

Also, guys i was wondering why anytime small stops and targets were chosen in random backtests with random entry (assuming zero slippage and commission) that they all tended to produce negative returns. I assumed that if market intraday was random as some say then surely excluding commissions...

I am by no means a mathematician and need some help on the following. On my previous thread we identified that with my strategy (which required limit orders and limit stops) that the best way to backtest this was making criteria that price had to move through my limit order and only then i...

I have some strategies which use limit orders for both entries and exits. Now when back-testing when target is hit (which is limit order) then the program exits at that target price. My last system trades the ES and therefore assumes when price hits both entry limit order and target limit...

Thanks for the insight. I will increase all my round turn slippage plus commissions to $11 form my previous $9.40 on all my systems.

Thank you GMST, i had read that thread previously and even though i am new to system testing i could outline many faults with this snake oil salesman system just as you had pointed out very methodically in that thread. I think he is looking for people similar to myself who are still learning...

I am using VIX intraday reading - just taking the VIX Opening price. Why should i use prior-day VIX at the close? The reason i am asking because the overnight volatility can be important to my system, hence high overnight volatility meaning VIX can gap and open much higher. All my trades are not...

I just tinkered with the volatility filter again and it seems i can curve fit the data very easily if i wanted too. However, i tried to make it as simple and least optimized as possible - if i take the VIX Open and remove any trades made when VIX open was between 20.26 to 16.68 i get a good...

I just put in a volatility filter and it has smoothed out my equity curve somewhat and given me increase in net to now: $39,395.00. Total trades has decreased to 485 and average trade win is now $81.23. The profit factor is now sitting at 1.73 now. Basically it has removed trades made...

The results all were generated in 2008 and 2011 with both years performing particularly well, 2010 was terrible but 2007 and 2012 are not yet complete so i could get more data points but i don't think its worth the time to keep collecting data points. I will have patience to trade the system...