Here are stats for DAX futures trading system which I've developed. It trades two contracts with slightly different rules for each.
Period: 1 June 2001 - 29 July 2002 (14 months)
Slippage & commissions: 1 point/order (2 pts / round-trip) for each contract.
Interest rate: 0
Total Net Profit (in points) 9,834.5
Number of trades: 770
% Profitable trades (incl. flat): 42,2%
Profit Factor: 1.73
Maximum Drawdown (in points) 565.5
Let's assume we take 200k EUR for trading these two contracts.
Maximum drawdown in real trading can be substantialy higher - 2,000 points? Total Net Profit in the next 14 months can be lower - only 4,000 points. Each point is worth 25 EUR, so we will earn 100k with 200k capital ( 50% ) with 50k ( 25% ) drawdown.
I wonder how these stats will look like, if backtesting period will be longer: 36 months or more.
Period: 1 June 2001 - 29 July 2002 (14 months)
Slippage & commissions: 1 point/order (2 pts / round-trip) for each contract.
Interest rate: 0
Total Net Profit (in points) 9,834.5
Number of trades: 770
% Profitable trades (incl. flat): 42,2%
Profit Factor: 1.73
Maximum Drawdown (in points) 565.5
Let's assume we take 200k EUR for trading these two contracts.
Maximum drawdown in real trading can be substantialy higher - 2,000 points? Total Net Profit in the next 14 months can be lower - only 4,000 points. Each point is worth 25 EUR, so we will earn 100k with 200k capital ( 50% ) with 50k ( 25% ) drawdown.
I wonder how these stats will look like, if backtesting period will be longer: 36 months or more.