Frosty's Strategy Analysis

Here is what happens if i take rules from strategy #2 and rules from strategy #3 and allow either one at a time to provide entry or exit signals:

Total PL: 39,376
Trades: 2096
Win%: 50.5
Max DD: 4209
PF: 1.27
 

Attachments

you have a good chunk of trades but how long is the time sample?

I would definately include 2 ticks of slippage for ES, 1 on entry and 1 on the exit. If using limits... only test if price trades through the entry. The es is a fantasy for a scalping system until you realize it has to trade through your price 99% of the time to get a fill.
 
I wanted to see how well the strategies perform on other data sets. So I just ran strategy2, strategy3, and combined(strat2+strat3) on about the same time period worth of ER2 and YM data. Here are the notable results:

YM:
Strategy 2:
PL: $9,061

Strategy 3:
PL: $1,481

Combined;
PL: 10,957

ER2:
Strategy 2:
PL: -37,776

strategy 3:
PL: 10,014

Combined:
PL: -26,891


I know I am throwing a lot of information and such out there, but I figure the more information I can give about how it performs, the better chance I'll have that someone will have some good ideas for moving forward or maybe spur some ideas for someone else's own strategy development.
 
Quote from frostengine:

I have a question for those of you who looked at the PL chart. If you notice the fist 1/4 of trades or so was basically only about break even. It wasn't until the next 3/4 that it started to really make money.

More...

You would experience that less if your win/loss size could be cranked up a bit... strategies that have a higher percent of winners and similar win/lose size will have a smooth upward account balance curve...
 
Try looking at the longs vs shorts. Were they close to the same amount of trades? Did one outpeform in a big way? You may find different settings for longs and shorts to help with smoothing it out. Another thing to look at is the avg time in winning trades vs avg time in losing trades. With that many trades you might be able to see something statistically significant regarding the amount of time in a trade. Another key filter could be studying the pnl on certain parts of the day. You may find that if you took out the lunch period you would drastically improve the system. During the first 2 hours you could find that is when most of the money is made for the system therefore could increase the size at this time. Just some food for thought. These filters made a big difference in some of the systems I use. Hope this helps...
 
You must log in or register to reply here.
Back
Top