I can do it for you as follows: 1000 runs using simulated market data called GBM (this is not random data).
And you can get all the 1000 individual results plus a summary, ie. statistics.
If interested PM me.
Need someone to backtest something.
- Thread starter K-Pia
- Start date
And you can get all the 1000 individual results plus a summary, ie. statistics.
If interested PM me.
The problem with ...
"simulated market data called GBM (this is not random data)"
...is it's FAKE DATA.
ES opened at 2085.25 today. It rallied 13 pts which made today's daily bar H higher than yesterdays HOD. This is an event some traders might have noticed and might be factored into some of the algos which create the NON-FAKE (real) data.
If u look at how today's LOD formed this afternoon it stopped 1 tick above the open, which is a logical place for a blind limit order ...but the 3 pt rally from this level failed and it fell another tick to the exact level of the open. Eventually it broke below the open by 1 tick which non-coincidentally corresponded to the earlier LOD thus creating an opportunity for any algos which might be based on trying to buy the LOD ...on a day in which their crystal ball said it's already guaranteed today's HOD is going to be above yesterdays hod.
What triggered the 10 pt rally from the double bottom with the earlier LOD and double bottom with the earlier open of today? I don't know for certain but I know it was algos that triggered it and these algos can't be reverse engineered from FAKE DATA because your data is created by algos which don't have any knowledge of the algos which create the real data.
ES:
Buy the Open (or lower if it dips). Profit target at 3 points above the Open.
Profitable on 75,8% of the last 1570 days.
With some finesse, perhaps you'll add a trailing stop to capitalize on those days where you get a lot of momentum from the Open and may be able to ride a bigger winner. Perhaps you'll make something worthwhile out of it.
A simple strategy that took me less than 5 minutes to figure out and test.
Of course, drawdown can be a problem.
Buy the Open (or lower if it dips). Profit target at 3 points above the Open.
Profitable on 75,8% of the last 1570 days.
With some finesse, perhaps you'll add a trailing stop to capitalize on those days where you get a lot of momentum from the Open and may be able to ride a bigger winner. Perhaps you'll make something worthwhile out of it.
A simple strategy that took me less than 5 minutes to figure out and test.
Of course, drawdown can be a problem.
75.8% in 1570 business days (year=252 bizdays) would translate to 9.48% per year.ES:
Buy the Open (or lower if it dips). Profit target at 3 points above the Open.
Profitable on 75,8% of the last 1570 days.
With some finesse, perhaps you'll add a trailing stop to capitalize on those days where you get a lot of momentum from the Open and may be able to ride a bigger winner. Perhaps you'll make something worthwhile out of it.
A simple strategy that took me less than 5 minutes to figure out and test.
Of course, drawdown can be a problem.
The original strategy gives only about a meager 1.5% p.a. when tested in a simulation using GBM (average of 100 times yearly tests).
Not worth the effort and risk in both the cases, IMO...
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Where is the SL ?ES:
Buy the Open (or lower if it dips). Profit target at 3 points above the Open.
Profitable on 75,8% of the last 1570 days.
With some finesse, perhaps you'll add a trailing stop to capitalize on those days where you get a lot of momentum from the Open and may be able to ride a bigger winner. Perhaps you'll make something worthwhile out of it.
A simple strategy that took me less than 5 minutes to figure out and test.
Of course, drawdown can be a problem.
It can be profitable 75.8% of the time.
But if you burn your wings 25% of the time ..
No one would board a plane if they were 95% safe.
I have a bias for positive asymmetries.
Strategy with stop loss. But no TP.
Or let's see the expectency.
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No. 75.8 is P(Win).
75% of the time you get 3 points.
So we do not know the profitability,
Since the loss amount is an unknown.
The average loss must be less than 9 points
In order for the strategy to be profitable.
If it's 5 points loss in average,
You'd make 1 point average,
Per day (50$ Min).
But without Stop Loss,
I assume the average loss,
To be superior than 9 points.
But with a SL inferior to 9 points,
I assume P(Win) to be far less.
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Ah! Sorry, I misread it.
No Problem ^^
Must be because you didn't sleep.
I've forced you to work all night for nothing =P
The win rate you're talking about,
Is about Laissez Faire's system.
The one I asked to be backtested is 0.5.
And is explained post #2.
BotPro tested on GBM.
It wasn't that great.
Otherwise I can sell it to you,
Friendly price because ET members.
As cheap as 2500$. It's cheap compared,
To the money you could make with the system.
Kiddin.
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