Is this a good strategy ? $200K profit in 5 months

It doesnt include slippage, however, it is very reasonable to expect to be filled with $100K if you're trading a liquid stock (eg: C, FAS, GE ,FAZ, BAC, etc) . I traded with $100K per trade for months last year and was always filled within a few seconds.

Total trades were around 500.
 
The slope of the equity curve is meaningless. The slope is just a relationship between your time and equity scales.

It IS important to have an equity curve that is a straight line if the amount risked per trade is equal.

If the amount of risk is a percentage of capital then the equity curve on a good system would be a near straight line on a log chart.
 
tell us about:

how many trades per day?

if it is just one trade, then is the system using the open/close price? if it does then that's the problem, as in most cases those prices are not tradable realistically .

it averages down positions?

let us know

BTW you have to add slippage (2 ticks minimum) and comms.
 
Quote from zanek:

I dont have futures data, but I ran it against the SPY.

The profit isnt as much but at least its not negative ! This is using the same 15 min timeframe.
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How many trades in the test?
 
You need more data. 6 months is not enough(make sure at least mid 2003 is in it). Slippage in stocks for mean reversal 0.5 basis points on your turnover and in trendfollowing something like 1 or maybe even more. Try duplicating your results in excel.
 
I had a system once that looked like this, also with some simple rules.

The rules were:
1) wait for HOD and go short
2) wait for LOD and go long

For some reason it didn't work when I tried it live :confused:


..seriously, the only way to know is to test it live on small size. I suspect there's some hidden pitfall here, but maybe you've found a great system.
 
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