Check out my systems performance in the last 3 weeks. I kid you not !

Z

zanek

Yes, its a backtested system, but I'm about to run it live on Sunday at 6pm ! Slippage is calculated during trades !

Trading $100K of NQ contracts each trade

Total Profit: $162,250.00 trading @NQ
Last profit: ($1,475.00)
Total trades:75

Biggest winner: $44,987.50
Biggest loser: ($19,175.00)
Total Losses: 41 (54.67%)
Total wins: 31 (41.33%)
Gain % of profit: 162.25
Avg Loser: ($3,849.39)
Avg Winner: $10,325.00
Longest Losing Streak: 6 (total drawdown: ($23,600.00))
Longest Winning Streak: 5 (total runup: $32,450.00)

Thoughts ?
 
You better pray for the bears... Your system won't work in a sideways/bull market.

I don't even need to see it to know that...
 
zanek, don't get too excited with those back tested results. The real money trading arena tends to humble people very quickly, you will see.

If you can duplicate those results in live trading, then you can jump up and down like a wild man.
 
Quote from zanek:

Yes, its a backtested system, but I'm about to run it live on Sunday at 6pm ! Slippage is calculated during trades !

Trading $100K of NQ contracts each trade

Total Profit: $162,250.00 trading @NQ
Last profit: ($1,475.00)
Total trades:75

Biggest winner: $44,987.50
Biggest loser: ($19,175.00)
Total Losses: 41 (54.67%)
Total wins: 31 (41.33%)
Gain % of profit: 162.25
Avg Loser: ($3,849.39)
Avg Winner: $10,325.00
Longest Losing Streak: 6 (total drawdown: ($23,600.00))
Longest Winning Streak: 5 (total runup: $32,450.00)

Thoughts ?
More...

Have you pinpointed what it is about this back tested trend following system that's appealing enough for you to put capital at risk for the potential reward?
 
I have very little knowledge of "systems" but would expect any system to account for a specific trade size based upon some factor like volatility or an amount one is willing to lose. A system where one can lose 20% of ones equity on one trade such as your biggest loser strikes me as above my risk tolerances with real world money. When that money was lost, was the next trade the same size or was size reduced and therefore amount risked decreased accordingly?
 
Go back and back test it with the amount of money you are willing the commit,as if it was a real time account, and see if you can live with the results.

You might want to do a Monte Carlo analysis to see if you went broke at some point.

20% drawdown=trouble.:eek:
 
3 weeks? That's an awfully short period of time to base real-money decisions on. Now, if you are using this system on the NQ for the first time, but you've used it in other markets for a while, it might make sense to place some trades on the NQ based on 3 weeks of data, but otherwise, I would say that the market will be there when you've got more data to justify trading, but 3 weeks isn't enough to test.
 
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