After trying to find a holy grail for years, I'm changing my expectations. Instead of trying to increase my profit factor, I've been trying to flatten the profit curve and design my strategy to at least hold it's own in all market types to I don't have to guess about the conditions beforehand
I've fully scrutinized my results with the ES and it seems feasible, but the PF is not great. Is this just noise? Or worth executing?
here are my assumptions:
commissions $2 / contract
trade through target limit order by one tick
10 months
750+ trades
1.25 risk / reward ratio
no limits on trades per day
Long and short
here are my results:
PF 1.12 (1.11 long , 1.13 short)
$10K net profit for one contract ES
sharpe 0.9
sortino 7
I've fully scrutinized my results with the ES and it seems feasible, but the PF is not great. Is this just noise? Or worth executing?
here are my assumptions:
commissions $2 / contract
trade through target limit order by one tick
10 months
750+ trades
1.25 risk / reward ratio
no limits on trades per day
Long and short
here are my results:
PF 1.12 (1.11 long , 1.13 short)
$10K net profit for one contract ES
sharpe 0.9
sortino 7