How can i bring this system to the next level

[Dekor]

It sounds promising, in so far as it goes (yes, the Sharpe ratio is clearly wrong but that doesn't matter), if you've really made all the appropriate allowances for slippage and so on, and if it translates to a funded account without any accidents.

It's certainly possible, if adequately funded, to make a living from a system with a 1:1 R:R and a 60% win-rate, if that win-rate can be maintained indefinitely, if you allow for it appropriately with your position-sizing, and if it trades often enough.

I'm slightly surprised to see something described as a "scalping system" having a 1:1 R:R and slightly surprised to see that it barely trades more than once a day (did I understand that correctly: 24.5 trades per month on average?).

You are correct, so a scalping system might not be the right way to call it
I go for 5 ticks TP or SL based on the 2 tick chart, system is mostly momentum driven.

Edit: corrected sharpe ratio should be 0.34

 

[Dekor]

Sounds too low forzour profit factor. Did zou do this on dailz return or on trades by trades ?

Yes but 1:1 ratio means nothing zou can lose 10 times in a row = large loss...

This is calculated on the average daily return.

 

[Dekor]

This is calculated on the average daily return.

However this is calculated with a tool i found online
With the formula you gave me and based on the average daily return i get 14.8, which still seems to be unrealistic high, correct?

 

[Xela]

You are correct, so a scalping system might not be the right way to call it
I go for 5 ticks TP or SL based on the 2 tick chart, system is mostly momentum driven.

Ok, I hear you ... that's quite a bit closer to scalping than I imagined you meant, admittedly. We could call that "semi-scalping".

I'm actually quite impressed by the figures you've given, if you don't have an "unforeseen slippage issue": something that trades once a day and takes 5 ticks with a 60% SR and a 1:1 R:R could easily be well-designed, realistic and sensible.

(If you can find a way to use your system to pass a "TST Combine" and have the patience to do it, that might be a possible way forward, and may be worth looking at ... but a 10% drawdown would probably be a problem, for that - I'm not sure.)

 

[Dekor]

Ok, I hear you ... that's quite a bit closer to scalping than I imagined you meant, admittedly. We could call that "semi-scalping".

I'm actually quite impressed by the figures you've given, if you don't have an "unforeseen slippage issue": something that trades once a day and takes 5 ticks with a 60% SR and a 1:1 R:R could easily be well-designed, realistic and sensible.

(If you can find a way to use your system to pass a "TST Combine" and have the patience to do it, that might be a possible way forward, and may be worth looking at ... but a 10% drawdown would probably be a problem, for that - I'm not sure.)

I am also trading manually and i have tried a combine in the past.
However doing a combine with these results could take forever, since these results are based on 5 contracts.
With just 2 contracts it would take quite some time to pass the combine and FTP, however it lowers the DD of course.

I would prefer to start the system live with at least 5 contracts to get some decent returns.
I am also working on a similar system for ZN with similar results, if i could get some decent profits from ZB i could focus full time on scaling it and working out the system for ZN.

 

[Dekor]

I just noticed there is a typo in the opening post, since i am unable to edit it i will make the correction here.

It say's 153 winning trades and 104 losing trades, total trades 245.
Total trades of course should be 257.
245 is the number of ticks i made in ZB over these 10 months.

 

[Xela]

doing a combine with these results could take forever, since these results are based on 5 contracts.

Yes, I was thinking it would take a while to "get there", at one trade per day (average).

With just 2 contracts it would take quite some time to pass the combine and FTP, however it lowers the DD of course.

Yes; point taken.

I was also wondering whether you can apply this successfully to any other instrument(s) ... especially if they're not really correlated ones, that could speed things up (maybe)?

 

[Dekor]

Yes, I was thinking it would take a while to "get there", at one trade per day (average).





Yes; point taken.

I was also wondering whether you can apply this successfully to any other instrument(s) ... especially if they're not really correlated ones, that could speed things up (maybe)?

So far i only looked at applying (with some small changes maybe) to ZN.
Results are very similar (maybe even a little bit better).

Once i get these running i am also going to research if i can apply it to ES for example.

 

[wintergasp]

I just noticed there is a typo in the opening post, since i am unable to edit it i will make the correction here.

It say's 153 winning trades and 104 losing trades, total trades 245.
Total trades of course should be 257.
245 is the number of ticks i made in ZB over these 10 months.

You made 245 ticks over 257 trades ?

That means if you have 0.5 tick of slippage in and out, you're completely dead ?

 

[Dekor]

You made 245 ticks over 257 trades ?

That means if you have 0.5 tick of slippage in and out, you're completely dead ?

There is no negative slippage since i enter all positions via limit orders, entry's are limit orders on the current market bid/ask not market orders and take profits are limit orders.