I'm hoping others can point out things I may have missed with the system I have been designing/testing.
It's a very basic trend following system applied to a 5 minute chart. I developed it based on what fit into my day, my personal trading style and with drawdowns that are tolerable. It is intended to be a system that I can follow without second guessing. Commissions are accounted for, as is a small slippage.
When applied to 25 momentum stocks the results for the last 5 months are :
119% profit, 178 trades, 49.4% win rate, 13.5% Max Drawdown.
When Applied to only a select 5 stocks (FB, TWTR, TSLA, DUST, NUGT) the results are:
134% profit, 87 trades, 55.1% win rate, 13.2% Max Drawdown.
Obviously the second configuration is better. The problem is it doesn't trigger every day and can be hard to watch and wait for. I'm still working on the portion that will text me when a signal is triggered. Eventually my goal is to have it fully automated. The drawdowns between highs are also more drawn out which may be harder to tolerate. Right now when this is happening (like this last week) I console myself by being proud of the fact that I have lost money according to plan.
I've also tested it against stocks in a downtrend and it performs within expectations. DUST and NUGT are bear/bull etfs which move opposite to each other and both generate positive returns over the test period. I've also ran simulations of randomly selecting trades instead of just taking them in order and the system returned positive results, although obviously less trades results in lower returns.
At this point what I really need is more historical data for the stocks that meet the volatility criteria. I'm afraid I may have inadvertently curve fit the system, although it has been running for two months now with results that are within expectations.
Can anyone see anything I may have missed or potential problem I may run into? Also a good source for 5min historical data would be appreciated.
It's a very basic trend following system applied to a 5 minute chart. I developed it based on what fit into my day, my personal trading style and with drawdowns that are tolerable. It is intended to be a system that I can follow without second guessing. Commissions are accounted for, as is a small slippage.
When applied to 25 momentum stocks the results for the last 5 months are :
119% profit, 178 trades, 49.4% win rate, 13.5% Max Drawdown.
When Applied to only a select 5 stocks (FB, TWTR, TSLA, DUST, NUGT) the results are:
134% profit, 87 trades, 55.1% win rate, 13.2% Max Drawdown.
Obviously the second configuration is better. The problem is it doesn't trigger every day and can be hard to watch and wait for. I'm still working on the portion that will text me when a signal is triggered. Eventually my goal is to have it fully automated. The drawdowns between highs are also more drawn out which may be harder to tolerate. Right now when this is happening (like this last week) I console myself by being proud of the fact that I have lost money according to plan.
I've also tested it against stocks in a downtrend and it performs within expectations. DUST and NUGT are bear/bull etfs which move opposite to each other and both generate positive returns over the test period. I've also ran simulations of randomly selecting trades instead of just taking them in order and the system returned positive results, although obviously less trades results in lower returns.
At this point what I really need is more historical data for the stocks that meet the volatility criteria. I'm afraid I may have inadvertently curve fit the system, although it has been running for two months now with results that are within expectations.
Can anyone see anything I may have missed or potential problem I may run into? Also a good source for 5min historical data would be appreciated.
