Good Enough?

Quote from rtstrading:

Backtesting is meaningless without an appropriate forward or out of sample test. Where is yours?

Something that backtests well does not mean it will work real time.
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As I said previously, I did forward testing and the results were comparable to the back testing.
 
Quote from nazzdack:

Why time stops? Instead of relying on a stop-loss that potentially maximizes a loss, employ a time-stop also. Generally, large losers are on your statement for a longer period of time. The time-stop can get rid of those trades before the stop-loss does at the worst possible point. Review your biggest losses and see if they were on your statement for a longer than normal period of time. Recalculate your profitability to see the impact it has of minimizing the impact of those trades.
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Nazz, the big losses appear to be a case where the model didn't fit the situation, e.g. there was a big gap up or gap down followed by a quick reversal not immediately caught by the model. In actual trading, I would be able to catch those, but I'm doing the best I can to lay down rules that don't require a lot of discretion. When I have to make judgment calls is where I seem to get into trouble. I'll take a look at the impact of time in position though. Thanks for your comments.
 
Quote from bluedemon77:

The following is a summary of backtesting results for an index futures trading system that consistently trades 5 contracts over a 3-year period.
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The stats look pretty decent, although it should be noted that the last 3 years have marked a bull market. Did you backtest the 2000-2003 period?
 
ROA ( net profit / max intraday DD ) is really impressive. Profit factor is not incredible but OK.

It seems like this system is pretty good as you have performed out of sample tests.

Perhaps, you just have to control if it is not subject of the usual pitfalls : limit order queues and execution, liquidity...
 
Quote from nonlinear5:

The stats look pretty decent, although it should be noted that the last 3 years have marked a bull market. Did you backtest the 2000-2003 period?
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No, but the profit was evenly distributed between long and short positions, so I would think it would do as well in a bear as a bull. Does that make sense?
 
Quote from TraDaToR:

ROA ( net profit / max intraday DD ) is really impressive. Profit factor is not incredible but OK.

It seems like this system is pretty good as you have performed out of sample tests.

Perhaps, you just have to control if it is not subject of the usual pitfalls : limit order queues and execution, liquidity...
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I guess the profit factor is the thing that concerns me the most. I don't like to see lots of losing days either. I'd be a lot happier if the profit factor was more like 2, but is that a realistic expectation for index futures? I guess that's the heart of my issue: what should I expect for a futures trading system? I don't have anything to compare to other than other systems that performed worse.
 
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