3 to 1 Ratio

[profitseer]

Quote from Breakout:



Okay...I think I understand what you're saying. Like go long or
short on each breakout of a 10 minute bar at a certain time. Say, 9, 10, 11...etc. And, then find out which times were the most profitable and whether they were long or short trades, then just trade those times....hmmmmm

no, the random test is just to see if your strategy really has an edge or not. You do the random test, then compare that to your actual system test results. If your tests beat the random tests then you have an edge.

This is acrary's edge test. It beats the heck out of just backtesting and going with something that makes money, because if you don't compare it to random, you never know if it is really your system that has the edge, or if the profitable backtest was just a result of mkt conditions which may never repeat.

The trick is finding the proper random correlation.

 

[acrary]

Quote from Breakout:

Hey acrary...I don't know if you want to do any more or not.
If you don't want to that's cool.

But, I was wondering. What if you went long or short on the
breakout of the 1st 10 minute bar, put a 3 point stop in and
got out if you reached a 9 point profit target or , or market on
close if target not hit?

I thought you guys were done. Here's the results this test:

 

[acrary]

Quote from wally_:



My request:
could you test the breakout of first 30 min and first 60 min bar assuming the stop loss of 7.5 and the target of 1% of SP500 value at the time of the trade (rounded to the nearest integer) or MOC if neither the target or stop-loss are reached.

And alternatively, 9 pts for the target or only with this target if it is easier.

I would appreciate that. Some people have been using the breakouts of this kind, so I am just curious how it works in the long run.

If that's too much of a problem, no problem.

Thanks,
wally_

Here's the results for your 30min. breakout:

 

[acrary]

Quote from acrary:




Here's the results for your 30min. breakout:

And here's the results of the 60 min. breakout. Both were done using the 1% of SP 500 target.

 

[traderkay]

acrary, something doesn't look right with your first test. If no commissions and slippage are factored in, then Avg W/L loss should be exactly 3.00, instead you got something more like 2.67 ??

 

[wally_]

Thanks for your time. I appreciate that.

wally_

 

[acrary]

Quote from traderkay:

acrary, something doesn't look right with your first test. If no commissions and slippage are factored in, then Avg W/L loss should be exactly 3.00, instead you got something more like 2.67 ??

The difference is caused by the neither the profit target or stop loss being hit. In that case I put in a exit MOC to make sure we start fresh each day. The shortened trading periods before holidays caused the biggest problem.

A smaller part of the problem is that the market may have gapped above/below the stop or limit order (in which case we end up with fills that are above/below the price points).

 

[acrary]

Just for grins, I thought I'd post the results of one of my daytrading edges over the same period. This is a breakout edge:

 

[0008]

Is 3 points for the ES too tight? I think it is OK. Even for the NQ it may not be too tight. Its well-know volatility already gone.

 

[wally_]

Quote from 0008:

Is 3 points for the ES too tight? I think it is OK. Even for the NQ it may not be too tight. Its well-know volatility already gone.

The tests presented in this thread do not confirm this, that is, as far as profit is concerned. However, if you want to minimize drawdowns, 3 pt stop-loss is better.