ES System Evaluation

B

brad1970

Here are some stats on my trading system. This trades the ES on a 3 minute chart 1 contract and date from 10/7/02. Any insight is greatly appreciated.... Of course I know, at least, the short part of the system needs some tweaking!!

Let me know if any further info is required..

All Trades Long Short
Net Profit $34.50 $59.75 $-25.25
Profit per Bar $0.04 $0.15 $-0.06
All Trades 68 31 37
Avg Profit/Loss $0.51 $1.93 $-0.68
Avg Profit/Loss % 0.07% 0.24% -0.08%
Avg Bars Held 11.79 13.03 10.76
Winning Trades 36 (53%) 19 (61%) 17 (46%)
Gross Profit $132.75 $99.50 $33.25
Avg Profit $3.69 $5.24 $1.96
Avg Profit % 0.45% 0.64% 0.24%
Avg Bars Held 8.89 11.11 6.41
Max Consecutive 5 4 3
Losing Trades 32 (47) 12 (39%) 20 (54%)
Gross Loss $-98.25 $-39.75 $-58.50
Avg Loss $-3.07 $-3.31 $-2.92
Avg Loss % -0.38% -0.44% -0.35%
Avg Bars Held 14.97 15.83 14.45
Max Consecutive 7 3 4
Max DrawDown $-48.25 $-23.25 $-42.25
 
Hi,
If you stay in trade for 30-40 min your average profit should be higher then figures you have posted. What kind of system is that, I mean what is based on ?
Walter
 
I've been tinkering around with a bunch of stuff not really putting anything together until now. So simply, yes this is the first "real" system I have put together...
 
With your avg. profit so close to your avg. loss (almost a 1:1 ratio), you'll want to see at least a 60% win rate, preferably 65%. You may also want to look at the effects of a mere 1 tick slippage on your results.
 
It's the short part of the system that is killing me:

Long 58.9% to 41.1% (w to l) with avg. p to l of 4.16 to 2.21
Short 46.2% to 53.8% (w to l) with avg. p to l of 2.24 to 2.67

finally max DD winners: 16.5 / losers 34.0.

Going to tweak some more...
 
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