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I do DoW / ToD analysis (DoW : Day-of-Week, ToD : Time-of-Day) on my strategies, and use it to filter out unreliable time windows. Be a little cautious, because results might not be statistically significant, if using too short period of time for analysis.

The 31k trades results are just using all system entries & exit signals, no equidistant target/stop. The almost identical average Win & average Loss is not by design on that run. The system really only generate Long/Short/Flat signals ... depending on the current position, any signal can be...

In this campaign, I let the system take all entry signals, and there are a lot more of them than exit signals - so the win-rate for entry signals is just that, the % of entry signals with a positive exit, where the win-rate for exit signals is the % of exit signals where the total sum of P&L for...

This one is a (partial) distribution of exit P&L ... the label under each bar is the average per trade in that bar (each bar is $2k wide). I restricted that view to about 60% of the P&L, the tails are pretty long on each side, and (of course) longer & heavier on the positive side.

P&L per exit:

Per Year:

P&L graph:

I am presenting here the Summary report for this prototype, taking all entry signals (3 types), and using add-ons on 1 of those types. (max number of contracts 58, avg. number of contracts per exit point: 6). This gives me about 55.4% win-rate (for entries), with an avgW/avgL = 0.99 (1-t...

How about using the free version of NinjaTrader ? It will do anything & everything for you, except placing actual trades. When you are ready to go live, just buy a live-trading license. Then, I would suggest you take at least a 1-month subscription to Kinetick Real-Time ... that will give...

If those are real-account figures, you have everything you need. If this is backtesting results, with stocks, the reality if probably a little different ... anyway, assuming no error hidden in these results, I would start trading the system at minimum position size. May-be you can create a...

Mobo: Asus P9X9 CPU : i7-3930k Heatsink: Noctua NH-D14 SE2011 RAM: 2 x Patriot G2 EL 32GB SSD: Intel 520 240 GB HDs: 2 x WD RED 2TB 64MB DVD: LG run-of-the-mill Video: 2 x Asus GF GT610 CSM 2GB (silent) Case: Antec Sonata IV OS: W7 Pro The Noctua is HUGE ... but so much worth it...

I thought I might jump in ... yes, Ninja has a lot of issues, but I have yet to encounter any of the crap that has been listed so far in this thread. FYI, I have multiple BIG systems ... my primary system is 10,000 lines, and I have one in development already past 15,000 lines. And, yet, I...

1) 2) 3) 4) : correct. I am using 1-sec. TF for fills in backtest (there is no point using the 1-tick TF, it is synchronised to the second with the other TFs). Correct I think you are correct, it is the exit signals that create that flat line. Thanks a lot for your analysis. BTW, this...

Using random entries, the flat line would be flat at 50% ... and as the stop/target size increase, I do expect any directional signal to end-up reverting to "random", ie. 50%. It took me a while yesterday to start doing proper measurement, because when I removed the exit signals, I was left...

Correct ... this is just to ensure a move of exact same size either triggers the stop or fills the target. So win% becomes a convenient way of keeping track of the percentage of correct calls.

Directional edge - I hope this is clear, but anyway, I define it as the win% when using Target-size = Stop-size (minus 1-tick), so that really indicates the % of "good" signals. That understood, I currently only vary the size of those Target/Stop (not the entry placement). The idea is to...

Hi there, I am working on a new system, which actually re-uses old parts (trend-identification) in a fairly novel way (for me). One of the things I routinely do, in the course of developing a new system, is to test its directional edge. To that effect, I use a combination of Target & Stop...

Dhalsim: You should certainly go ahead and program the Long side ... that shouldn't take you much time, and will provide you a lot more information. If I read your reports correctly, you can backtest about 6 years (2007-2012) ... if your strat. needs volatility to outperform, its best...

Interestingly, I just ran it on ES using CL parameter values (my mistake) ... got better results doing so, still far from tradable.

This is CL ... it started electronic trading 24/7 in the fall of 2006, and completed that migration as of Jan-2, 2007. The model I use depends on volume, which wasn't tracked for intraday data for the pit. I just ran the exact same algo on ES (of course, the volume-related params are...