building the system

Quote from Kris:

Excellent advice, thank you guys for your help. I'm trying to line up some intraday historical as we speak.

The type of market I'm most concerned about is a flat market since the conditions I've been testing under have been extremely volatile.

I tested on the Dow 30 today. I actually seem to make more money with this system by widening the stop a bit which increases the win rate but decreases win size. Results came back as 55% winners, 1.25 - 1 win size. A tighter stop will get about 42-45% winners but win size is increased to around 1.6-2 to one. The higher win rate seems to generate more cash at this stage, we'll see what more testing brings.

Quite happy with this so far :)
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As I said, I believe the early 90s was 2+ years of flat nontrending markets. If you can get through that, then you might have something interesting
 
Quote from lindq:

You will find that commissions and slippage are definitely a factor with that number of trades. So don't buy the Porshe until you are realistic about that.

You don't mention the type of system, but you can assume that yes, your system will probably not perform in a normal VIX environment the way it has the past 6 months. You sound bright enough to figure that on on your own based on what approach you're taking.

Another thing to look at with equities, is what's happening in the overall market environment at times/days that you are cooking? Are your trades all tending to signal at once during particular conditions? If so, you might want to look at trading the index, like ES, as opposed to screwing around with individual stocks. Something to consider, as the market itself can contribute a lot to movement of your watchlist. Run ES or SPY alongside your trades and see if this makes sense. For many traders, myself included, this exercise was enough to cause me to leave equities in the dust.

Good luck.
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I think this is good advice. I have to admit I've only ever traded stocks and options, and have no experience with futures (although I follow the NQ and ES intraday). I would bet that yes, a good portion of my edge is due to overall market movement and trading the futures might simplify things for me. I'm going to backtest the emini's and see how that pans out, thanks for your advice.
 
Those are some good stats .... the large number of trades on only 10 stocks gives you a lot of flexibility to pick liquid stocks and scale up when you want to.
 
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