Dozu, for purposes of comparison here are the summary results of the testing I did on a very simple system for the NQs last year (2000). The testing was not rigorous, it did not include every day of the month and the exclusions were random, not based on systematic predefined conditions. Also the entries and exits were based on interpolation from charts rather than rigorously calculated. No allowance was made for slippage and commissions.
The column headings are
Month, Days Included, Number of Trades, Gross Points, Average Points per Trade
April, 11, 54, 1721, 31.9
May, 16, 69, 520, 7.5
June, 19, 70, 542, 7.7
July, 15, 88, 732, 8.3
Aug, 23, 132, 560, 4.2
Sep, 4, 19, 159, 8.4
The results looked pretty darn good to me, although let me emphasize I have never traded a future in my life and I am not an expert in system development or evaluation. In fact, sufficiently good that I was willing to give it a try with real money. Unfortunately the Canadian regulators just then cut off access to the broker of my choice, so I didn't.
I had another look at it recently, but in nowhere near such detail. My first observation was that the index is now only half what it was. So it is likely that my average points per trade figure would be cut in half. However, slippage and commissions would be unchanged, so we are now perhaps looking at a net edge per trade in the 2 point range. With no experience I am not sure how good that guess is. Not only that, but the limited amount of testing I did using more recent data suggests that the big wins are fewer and farther between due to the choppier nature of the markets, so my average gain might be less still.
My conclusion was that I had better do a hell of a lot more back testing over a wider range of market conditions if I am seriously going to consider trading my rules. Perhaps the regulators did me a favour by stopping me. But you can be sure I will be seriously interested again if and when we revisit 4000 on the index.
The column headings are
Month, Days Included, Number of Trades, Gross Points, Average Points per Trade
April, 11, 54, 1721, 31.9
May, 16, 69, 520, 7.5
June, 19, 70, 542, 7.7
July, 15, 88, 732, 8.3
Aug, 23, 132, 560, 4.2
Sep, 4, 19, 159, 8.4
The results looked pretty darn good to me, although let me emphasize I have never traded a future in my life and I am not an expert in system development or evaluation. In fact, sufficiently good that I was willing to give it a try with real money. Unfortunately the Canadian regulators just then cut off access to the broker of my choice, so I didn't.
I had another look at it recently, but in nowhere near such detail. My first observation was that the index is now only half what it was. So it is likely that my average points per trade figure would be cut in half. However, slippage and commissions would be unchanged, so we are now perhaps looking at a net edge per trade in the 2 point range. With no experience I am not sure how good that guess is. Not only that, but the limited amount of testing I did using more recent data suggests that the big wins are fewer and farther between due to the choppier nature of the markets, so my average gain might be less still.
My conclusion was that I had better do a hell of a lot more back testing over a wider range of market conditions if I am seriously going to consider trading my rules. Perhaps the regulators did me a favour by stopping me. But you can be sure I will be seriously interested again if and when we revisit 4000 on the index.
But with that behind me, and a rather painful year of mistakes, I have found a few things to be true.
I traded it this summer through a painful drawdown and subsequent recovery. But it didn't feel very good I can tell you that. I only had 1 summer of backtest results before this year, so I wasn't properly prepared. Next summer, I will simply pass on trading most of June and July. August seems ok.
I'm not sure what character of the market changed, but it did. Since Jan 1, the system is actually up a couple thousand, but with an ugly drawdown in the middle.